Difference between revisions of "Limit Order Execution Assumptions for Portfolio Backtester"

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# Chart resolution is '''not''' 1 tick and Bar Magnifier is not enabled. Backtesting Assumptions is set to '''Fill limit order when trade price goes beyond limit price by 3 points'''.<div style="background-color: #E5F6FF;">'''Example''': Generated order: sellshort limit @ 121; order is filled @ 121 if 124 price is between High and Low; order is not filled at all if there is not 124 price between High and Low of the bar.
 
# Chart resolution is '''not''' 1 tick and Bar Magnifier is not enabled. Backtesting Assumptions is set to '''Fill limit order when trade price goes beyond limit price by 3 points'''.<div style="background-color: #E5F6FF;">'''Example''': Generated order: sellshort limit @ 121; order is filled @ 121 if 124 price is between High and Low; order is not filled at all if there is not 124 price between High and Low of the bar.
  
[[Category:Portfolio Backtester]]
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[[Category:Portfolio Trading]]

Revision as of 13:44, 6 October 2014

Limit orders are filled at a specific price or better (for long better = lower, for short better = higher). Portfolio Backtester works with all prices between Open, High, Low, Close of a bar, assuming that all these prices are real, since Bar Magnifier feature is not available for Portfolio Backtester.

Limit order execution behavior for backtesting can be modified in the Backtesting tab of Strategy Properties window. To open this window, make a right-click on "Strategy 1" in Portfolio Tree and select Show Properties....

There are 4 different variants:

  1. Chart resolution is 1 tick or Bar Magnifier of any resolution is enabled. Backtesting Assumptions is set to Fill limit order when trade takes place at limit price or better.
    Example: Generated order: sellshort limit @ 121; available prices: 120, 122, 125, ...; order is filled @ 122.
  2. Chart resolution is 1 tick or Bar Magnifier of any resolution is enabled. Backtesting Assumptions is set to Fill limit order when trade price goes beyond limit price by 3 points.
    Example: Generated order: sellshort limit @ 121; available prices: 120, 122, 125, ...; order is filled @ 125.
  3. Chart resolution is not 1 tick and Bar Magnifier is not enabled. Backtesting Assumptions is set to Fill limit order when trade takes place at limit price or better.
    Example: Generated order: sellshort limit @ 121; order is filled @ 121 or better if 121 (or better) is between High and Low of the bar.
  4. Chart resolution is not 1 tick and Bar Magnifier is not enabled. Backtesting Assumptions is set to Fill limit order when trade price goes beyond limit price by 3 points.
    Example: Generated order: sellshort limit @ 121; order is filled @ 121 if 124 price is between High and Low; order is not filled at all if there is not 124 price between High and Low of the bar.