Re: [amibroker] Re: Simple slippage implemented in CBT generates COM error

[Aron <aron.groups@xxxxxxxxx>]

Tomasz Janeczko wrote:

You don't need custom backtester to do such things.

BuyPrice = BuyPrice + Slippage:

SellPrice = SellPrice - Slippage;

CoverPrice = CoverPrice + Slippage:

ShortPrice = ShortPrice - Slippage.

 

When using ApplyStop make sure to switch "ExitAtStop" argument to false

and it will use prices defined above.

Best regards,
Tomasz Janeczko
amibroker.com

Hello Tomasz,

I'm not sure that applies to the following scenario (for simplicity we lets not consider slippage):

Trading conditions:
Price = (bid+ ask)/2
tickSize = 0.1
Spread  = 2 * ticksize
commissions = 0


system rules:
Buy on  bar Close;
takeProfit = 2 * ticksize = 0.2;
stopLoss = 100 * ticksize = 10;


trade entry:

Close Price= 100;
buyprice = close + 0.5*spread = 100.01;



trade exit:

Check Bid prices next bar for an exit


Convert  High and Low to bid prices:

High = 100.03
Low = 99.81   
BidHigh = 100.03 - 0.5 * spread  = 100.02
BidLow = 99.81 - 0.5 * spread = 99.80

check if stopLoss is hit:
buyPrice - bidLow < stopLoss (stop not Hit)

check if profit target is hit:
bidHigh - buyprice  = 100.02 - 100.01 = 0.1 (take profit not hit either)

Continue checking  the same way  the rest of the bars....

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