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Alan wrote regarding my comments below:
> 3)TS assumes the ticks go in order depending on the relationship of the
open
> and close to the high or low of the day. This can be a "system wrecker"
> when using stops of only a few points.
This enters on a stop order above or below the market so how would
this make any difference ? Also the trailing stop & money management
stops are both 2 points or $1000
(I only tested this using the full contract of $500 per point)
It makes a huge difference......Let's say you had a buy stop for the day
at 970.00....during the day prices hit 970.00 and then drop to 960.00,
but close on the high of the day at 970.10.......EOD data will assume you
were filled just before the market closed, when you actually were filled at
970.00 and the market then retreated to 960.00 and then closed on the high
of the day.....real trading=you would have been stopped out...TS
backtesting=you bought on the close.
Tom Stein comfut@xxxxxxx
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