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Date/Time: Sat, 27 Apr 2024 00:25:02 +0000

Post From: issues with how exit prices are calculated using bar based back

[2013-04-08 16:42:09] Link To Thread - Link To Post [Go To First Post]
User76625 - Posts: 49
I'm seeing an issue with how the exit prices are being calculated using bar based backtests - specifically, when the market opens higher than your target limit order price, then the trade results show you the open price of the opening bar. But, if your stop is hit instead, it shows the fill arrow somewhere between yesterday's close and today's open, even though no shares were traded at that price. For example: Long at 100, target at 101, stop at 99: If the day gaps up to 102, you see 102 as the exit price. If the day gaps down to 98, you see 99 as your exit price. This is giving an false sense of success! I'm seeing plenty of times where it's showing my P/L as -$500 (my specified stop amount) and my Drawdown for the same trade at -$4,000, which is much more accurate on big gap down days. If you need specifics, I can provide plenty of examples.