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The only thing I can come up with (with the
information you are giving us) is gap up/gap down
bars.
Suppose you have a weekly bar like this:
Open 80
High 100
Low 70
Close 90
Then you have an order to buy at 86.25 stop. On the
weekly bar, you would be filled at 86.25 (or the
nearest valid price).
Now when you do all the same calculations and you
apply the system to a daily chart (like you are doing)
and we have the following data:
Monday
Open 80
High 84
Low 78
Close 82
Tuesday
Open 88
High 92
Low 75
Close 91
We can stop right here and you will see that your buy
stop order will not be filled on Monday, but will be
filled 'at the first price above 86.25 available',
which is Tuesday's open at 88. So your fill would be
on the Tuesday at 88$. Quite different from the fill
on the weekly chart.
This, by the way, is one of the problems with the bar
assumptions that ts and everyone takes when looking at
bars. The first (often unstated) assumption is that
"the market traded continuously at every valid price
within a bar" wich is obviously not true almost 100%
of the time.
H
--- "Klinchik, Vitali" <VKlinchik@xxxxxxxxxxxxx>
wrote:
> While building system based on a weekly bars, which
> tested well,
> I wanted to optimize my exits based on a daily price
> behavor.
> So I calculated my entry price by building syntetic
> weekly bars,
> which was the same entry price as for actual weekly
> bars, but
> the system performance was much worse.
> When I looked at the Strategy performance report, I
> realized that
> actual entry price on both systems on some trades
> was different.
> I was using stop orders.
> Exits are the same on both systems.
>
> Using ProSuite 2000i build 768 (sevice pack 4)
>
> Could anybody expain to me, how actual entry is
> generated in TradeStation
> and why there is such a difference in actual entry
> price between two
> systems.
>
> Here is an example:
>
> Trade Calculated entry price Actual
> entry price
> type Same for weekly and daily
> Weekly
> Daily
> ------ --------------------------------
> ----------- ----------
> 1. L 10.6250 10.63 10.73
> 2. S 64.0630 64.00
> 60.13
> 3. S 87.5630 87.50 86.25
> 4. S 92.1250 92.13 90.06
> 5. S 99.8750 99.88 96.44
> 6. L 89.6880 89.75 89.75
> 7. L 87.3130 87.38 88.25
>
>
> Thanks a lot.
>
>
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