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backtest problem with trailing stop on a daily chart

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San Diego, USA
 
Trading Experience: Intermediate
Platform: MC
Favorite Futures: All
 
Posts: 48 since Aug 2016
Thanks: 7 given, 13 received

backtest problem with trailing stop on a daily chart

Hello all,

I have a strategy (as many of you) that uses daily bars for entries and trailing stops for exits. The problem with daily bars is that is you set stops too narrow then MC (I am using Multicharts and TS too) test trailing stops from four points on the bar OHLC during the backtest. So, if say the strategy is long, then MC checks L of the bar and from that defines whether my trailing stop worked or not. But of course it does not know how the bar was filled. The only solution to this problem I found was to create a chart with two data where data1 is 1 minute data for the instrument and data2 is daily data for the same instrument, thus i use data1 for execution and data2 for model calculations that defines entries and exists (another solution would be not to put stops too narrow but it does not look like appropriate solution to me). Also, it appears to me that if only stop loss is used (not trailing) then backtest would close the position at the appropriate price.

Question - what are other solutions to the trailing stop problem for backtest on the daily bars to make executions mirror live trading? Any suggestions/referrences are much appreciated.

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