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Just to add to this:
SetTradeDelays(1,1,1,1); are the MINIMUM values for backtest framework.
Stops can exit same bar as signal in backtest framework. But it's
generally not recommended or even possible for all people.
(eg You have setup with your broker "price limits" for the stock
purchased. This is dependent on broker services, And should be
considered a Bonus, Not a standard.)
Not all "Delayed" data comes with O/H/L/C. eg Quotetracker delayed
quotes (5min) populates OHLC values with "Last sale" price.
ATB
Michael.
Michael.S.G. wrote:
>
> I'm noodling around with some *backtest framework for system comparison.*
>
> If one were running an EOD system. When a signal is generated, The most
> reasonable buy/sell price would be the next bar's open price. We can't
> realy expect to "Get" the High or Low, And the Close for the next day is
> not appropriate either.
> As such, the following default setting to all *EOD* backtest should be
> reasonable....
> SetTradeDelays(1,1,1,1);
> BuyPrice = Open;
> SellPrice = Open;
>
> As per Richards help, I figure delayed quotes (5/15/60min etc) should be
> handled the same way as EOD.
> As such, the following default setting to all *DELAYED* backtest should
> be reasonable....
> SetTradeDelays(1,1,1,1);
> BuyPrice = Open;
> SellPrice = Open;
>
> (If using any timing below 5min, Then getting order to market by the
> next bar may not be possible!)
>
> As Realtime data is sent in Ticks containing the price in the "Close"
> field, Buy/Sell price must be "Close" value.
> As such, the following default setting to all *REALTIME(TICK)* backtest
> should be reasonable....
> SetTradeDelays(1,1,1,1);
> BuyPrice = Close;
> SellPrice = Close;
>
> (Im not realy sure how realtimers calc their entry price/delays, Because
> I doubt you could get an order to market "In the next Tick!")
>
> Any comments would be warmly welcome.
>
> ATB
> Michael.
>
> (I'd like to post a common framework for people to reasonably compare
> trading systems if there is enough people interested)
>
>
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