|
PureBytes Links
Trading Reference Links
|
Hello Dennis,
If you are using daily bars for example, TS doesn't know after the
fact in what sequence the ticks occurred. Only open and close have
defined times. bouncing ticks makes some reasonable assumptions about
the sequence but stop based entries and exit can yield false results.
if you go to 5 min bars lets say, the effect is confined to a given 5
min bar. some people do their backtesting using the worst possible
fill just to avoid any advantage from bouncing ticks and to mimic the
worst slippage.
Best regards,
Jim Johnson mailto:jejohn@xxxxxxxxxxx
--
Monday, September 2, 2002, 4:47:04 AM, you wrote:
DS> Hello,
DS> Just a question about the trailing stop in TS2000i. If I remember correctly
DS> one should be cautious with using this stop. But why, I don't remember.
DS> Could someone refresh my memory?
DS> Maybe something with bouncing tick problem, but if you backtest it on a tick
DS> resolution would this solve the problem?
DS> Regards,
DS> Dennis
|