714
edits
Changes
Jump to navigation
Jump to search
Created page with "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,..."
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, [[Intra-bar Price Movement Assumptions|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" ''' and select '''Show Properties...'''.
There are 4 different variants:
# 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'''.<div style="background-color: #E5F6FF;">'''Example''': Generated order: sellshort limit @ 121; available prices: 120, 122, 125, ...; order is filled @ 122.</div>
# 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'''.<div style="background-color: #E5F6FF;">'''Example''': Generated order: sellshort limit @ 121; available prices: 120, 122, 125, ...; order is filled @ 125.
# 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'''.<div style="background-color: #E5F6FF;">'''Example''': Generated order: sellshort limit @ 121; order is filled @ 121 or better if 121 (or better) is between High and Low of the bar.</div>
# 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]]
Portfolio Backtester works with all prices between Open, High, Low, Close of a bar, [[Intra-bar Price Movement Assumptions|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" ''' and select '''Show Properties...'''.
There are 4 different variants:
# 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'''.<div style="background-color: #E5F6FF;">'''Example''': Generated order: sellshort limit @ 121; available prices: 120, 122, 125, ...; order is filled @ 122.</div>
# 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'''.<div style="background-color: #E5F6FF;">'''Example''': Generated order: sellshort limit @ 121; available prices: 120, 122, 125, ...; order is filled @ 125.
# 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'''.<div style="background-color: #E5F6FF;">'''Example''': Generated order: sellshort limit @ 121; order is filled @ 121 or better if 121 (or better) is between High and Low of the bar.</div>
# 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]]
