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Limit orders settings


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Limit orders settings

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  #1 (permalink)
soacm
Bucharest, Romania
 
 
Posts: 58 since Mar 2022
Thanks: 36 given, 13 received

Hi, does anyone have suggestions on how to make the back test results as reliable as possible when using limit orders? What settings are the most appropriate on platforms like MultiCharts or TradeStation? I already added $30 as slippage (Gold futures), let me know, thank you.

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 syswizard 
Philadelphia PA
 
Experience: Advanced
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soacm View Post
Hi, does anyone have suggestions on how to make the back test results as reliable as possible when using limit orders? What settings are the most appropriate on platforms like MultiCharts or TradeStation? I already added $30 as slippage (Gold futures), let me know, thank you.

This seems to work:
If vGoLong Then Buy("SIG-Long") vNumContracts Contracts Next Bar At Close Limit;

Rationale: For day trading, the close of the current bar should be equivalent to the open of the next bar.

Remember: to keep the backtesting as reliable as possible avoid using SetStopLoss, SetProfitTarget, etc.
Also, do not use IOG (IntrabarOrderGeneration).

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  #3 (permalink)
soacm
Bucharest, Romania
 
 
Posts: 58 since Mar 2022
Thanks: 36 given, 13 received



syswizard View Post
This seems to work:
If vGoLong Then Buy("SIG-Long") vNumContracts Contracts Next Bar At Close Limit;

Rationale: For day trading, the close of the current bar should be equivalent to the open of the next bar.

Remember: to keep the backtesting as reliable as possible avoid using SetStopLoss, SetProfitTarget, etc.
Also, do not use IOG (IntrabarOrderGeneration).

Hi, what about the "Backtesting assumptions" settings on MC14? Also, there are many different opinions on IOG, can you elaborate on why it shouldn't be used?
Thank you.

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 syswizard 
Philadelphia PA
 
Experience: Advanced
Platform: Multicharts
Broker: Ironbeam, Rithmic
Trading: Emini ES / NQ / CL / RTY / YM / BTC
 
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Posts: 344 since Jan 2019
Thanks: 20 given, 138 received


soacm View Post
Also, there are many different opinions on IOG, can you elaborate on why it shouldn't be used?

Oh, you can use it, but don't expect to have realtime trading results replicated later with a backtest.

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