Author Topic: backtest entry price question  (Read 4236 times)

deziyuan

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backtest entry price question
« on: March 09, 2016, 07:09:01 pm »
how to determine the entry price in backtest, since there is spread in level2
which option is used for the entry price in backtest(consider long now)??

1, use market order price
2, place order at bid  price?
3, place order at ask price?
4, place order at last print price?
5, place order at price between bid and ask?(spread like 10 cents)
6, place order at signal price?

this will effect the big change of result in backtest.




deziyuan

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Re: backtest entry price question
« Reply #1 on: March 09, 2016, 08:00:35 pm »
how come the exit time always on complete minute, like at 09:41:00AM

deziyuan

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Re: backtest entry price question
« Reply #2 on: March 09, 2016, 08:05:48 pm »
I checked this signal, the exit price is at 44.09, which is never be printed at reality,
in backtest, this trade make profit, but in real time, it didn't get exit with profit.

those replay i got from nasdaq data store.

after the entry time 09:40:09M, the print never reach 44.09,

braddoubleu

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Re: backtest entry price question
« Reply #3 on: March 10, 2016, 06:10:38 pm »
1. The OddsMaker uses the last signal price for the entry.
2. The exits use completed 1 min candles for the analysis
3. Because of the 1 min candles used for exits, this will not be effective for super tight stops or sub 1 minute exits.

deziyuan

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Re: backtest entry price question
« Reply #4 on: March 16, 2016, 05:45:17 pm »
but in this case, the price 44.09 at 09:40:00min bar, is happened before the entry signal, after the entry signal, it didn't print this price again, how could you use this price as exit price.