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"Henry Amand" <h.amand@xxxxxxxxx> wrote:
> Tradestation will alway's deside what it will
> do on the end of a bar and not within the bar.
>
> Imagine that you would trade an MA crossover
> system. During the 15 minutes of building the bar
> it might very well be that the first minute the MA is
> crossed and the second minute it is below again. ...
> So trading within a bar is not what TS will do.
Henry is right, but let me clarify a bit.
* TS *does* obviously handle trades within a bar if you have set
stop orders in the previous bar. The instant that the price is
hit, the order is filled.
* Your system logic runs only at the close of the bar. So if you
make buy/sell decisions in your code, e.g. an MA crossover system
like Henry mentions, that code can only buy/sell/exit at the
close of the bar, no matter how often the MA crosses while the
bar is building.
* Neither of those cases apply to the original question, which
asks about the backtesting resolution option. When your system
uses stops, TS knows the stop was hit if it falls between the H
and L of a bar. If there is only one stop in the bar, there is
no ambiguity. However if you run very tight stops -- say you
have both a trailing stop and a profit target that fall within
the range of a single bar -- then which stop was hit first? Did
you hit your profit target, or did it hit your trail? There is
NO WAY to know for sure if you have only the OHLC of the bar. By
default TS will make some guesses based on the bar -- so (if I
remember right) if C > O then TS assumes the price went directly
from O to L to H to C, and vice versa if C < O. That isn't
always accurate. By turning on the backtest resolution, you can
have TS track the price action **within** the bar, so the stops
get hit in the proper order. Obviously you must have finer-
resolution data for TS to examine for this to work -- maybe you
built your EOD bars out of 10min data, or your 5min bars out of
tick data. This ONLY applies to stops, since (as I said above)
your system code won't get executed until the close of the bar.
Gary
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