Precise Backtesting: Difference between revisions
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→Understanding Precise Backtesting
Dave Masalov (talk | contribs) (Created page with "==Understanding Precise Backtesting== Depending on the strategy, Precise Strategy Back Testing can give the user a more realistic emulation during back testing. To back test...") |
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<syntaxhighlight>If Time=1000 Then Buy 1 Contract This Bar on Close; | <syntaxhighlight>If Time=1000 Then Buy 1 Contract This Bar on Close; | ||
If Time=1100 Then Sell 1 Contract This Bar on Close;</syntaxhighlight> | |||
If this strategy was back tested on simply a data series of historical trade prices, then the back test will assume that the trades were filled at the close prices of the bars. However, it's unclear whether the trades would have been filled at the close prices, because the close prices could have been on either the bid or the ask. | If this strategy was back tested on simply a data series of historical trade prices, then the back test will assume that the trades were filled at the close prices of the bars. However, it's unclear whether the trades would have been filled at the close prices, because the close prices could have been on either the bid or the ask. |