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Date/Time: Tue, 07 May 2024 13:19:36 +0000

Post From: Limit order Fills on Replay

[2017-03-02 18:10:23] Link To Thread - Link To Post [Go To First Post]
User794640 - Posts: 33
I just got done with a longer backtest and I've noticed that the price improvement discussed above stopped occurring starting the week of 01/22/2017. Please see attached screenshot of weekly trading results in particular the largest winner and largest loser columns. This backtest was 4 tick profit and 6 tick loser for CL so max profit should be $40. If you reference the screenshot, every other week had largest winners in excess of $40 (which shouldn't happen with limit order take profits) but the last 6 weeks functioned as one would expect. I thought this may be helpful in your analysis of my issue. Thank you.


backtest.PNG / V - Attached On 2017-03-02 18:10:13 UTC - Size: 159.51 KB - 315 views