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Glenn,
Thanks for your suggestion -- unfortunately, the 78.75 Entry Price appears
nowhere in any of the Daily Bars, before or after the Entry Day -- it
appears to be generated internally by TS --
In the real-world, the trade would have filled at (or slightly below) the
specified STOP price of 79.625 -- In TS System testing, the trade opens 7/8
below where it would have in the actual market. The problem seems to
possibly be associated with the use of a STOP order. LIMIT and MARKET
orders do not appear to cause the same error, since they properly use the
OPEN or CLOSE of the specified Bar for their price.
The Stock in the example is INTC and the Entry Date for the Short is
11/24/97 -- The trade would likely have filled in the first 20 minutes of
11/24, at around the 79.625 price -- if not, it would have filled mid-day
when the Market ran off into the Close.
If anyone has seen this problem, or knows how to tell TS to use a specific
Entry Price and have it show up on the Performance Summary, please let me
know. Thanks!
--------------------------------------------------
At 09:19 am 12/16/97 -0500, you wrote:
>Check the NEXT day's O,H,L,C and you may find it there. I had the same problem.
>
>Glenn
>
>Ron Augustine wrote:
>
>> Would one of the TS Systems people be willing to take a shot at this dilemma?
>>
>> In testing a TradeStation Trading System on a Daily Chart, I am telling TS
>> to Sell Short at or below a specific price if certain Entry Criteria is met--
>>
>> Example:
>> -------------------------------
>> EntPrice = 79.625;
>>
>> Sell Next Bar at EntPrice Stop;
>> -------------------------------
>>
>> TS Enters the trade, but at 78.75, not at the specified 79.625
>>
>> The stats on the Entry Bar are: Open=79.68, High=80.87, Low=78.12,
Close=78.12
>>
>> The Market traded below the specified Entry Price during the first 20
>> minutes of the Entry Day, then rallied and again reached the Entry Price
>> around mid-day then sold off to close at 78.12
>>
>> The question is, where did TS get the 78.75 Entry Price and how is it
>> possible to tell TS to use the 79.625 Entry Price that a Broker would have
>> executed?
>>
>> Thanks in advance for any insight on this.
>
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