Backtest Settings
Posted: Sun Jun 11, 2006 9:41 pm
I'm trying to model and backtest an intraday short term system for future.
(i have almost 3 years of 1min data)
I wanted to go safe and used
Long entry = High
Long exit = Low
Short entry = Low
Short exit = High
This worked great on my 15 second data, as i knew i'd get filled within
15 seconds and i knew the most disadvantageous price in that timeframe.
And guess what - that doesnt work on 1min. Spend days/nights fruitless.
Changing to bars average price already gives very decent results.
But i refuse to switch to the open of that bar, as this would be "optimal".
And life isn't.
Now I ask you - whats your setting and how does it compare to reality?
(i'd propably enter via market order-but thats not optimal either)
(i have almost 3 years of 1min data)
I wanted to go safe and used
Long entry = High
Long exit = Low
Short entry = Low
Short exit = High
This worked great on my 15 second data, as i knew i'd get filled within
15 seconds and i knew the most disadvantageous price in that timeframe.
And guess what - that doesnt work on 1min. Spend days/nights fruitless.
Changing to bars average price already gives very decent results.
But i refuse to switch to the open of that bar, as this would be "optimal".
And life isn't.
Now I ask you - whats your setting and how does it compare to reality?
(i'd propably enter via market order-but thats not optimal either)