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Backtesting confusion
Started: by mastertrader31 Views / Replies:184 / 3
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Backtesting confusion

  #1 (permalink)
Trading Apprentice
Tallinn Estonia
 
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Backtesting confusion

I am backtesting a sample strategy using vwap indicator. It basically buys es if close is above 3 points. Stops if stoploss is reached 8 points or Take profit is reached also 8 points. But my backtest shows what seems to me intrabar buying and stoping. How can I make it buy and sell on bar close?

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Attached Files
Register to download File Type: cs vwapLong.cs (17.8 KB, 4 views)
Register to download File Type: cs VitVWAP.cs (6.1 KB, 3 views)
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  #2 (permalink)
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mastertrader31 View Post
I am backtesting a sample strategy using vwap indicator. It basically buys es if close is above 3 points. Stops if stoploss is reached 8 points or Take profit is reached also 8 points. But my backtest shows what seems to me intrabar buying and stoping. How can I make it buy and sell on bar close?

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try to run your strategy in 'replay' mode..
what does that give ?

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  #3 (permalink)
Trading Apprentice
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Sry about the delay. Had to learn market replay. So anyway I tested with it and it shows the same result. Seems like its closing on every tick not bar
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  #4 (permalink)
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mastertrader31 View Post
I am backtesting a sample strategy using vwap indicator. It basically buys es if close is above 3 points. Stops if stoploss is reached 8 points or Take profit is reached also 8 points. But my backtest shows what seems to me intrabar buying and stoping. How can I make it buy and sell on bar close?

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At a quick glance, this can happen if your stops and profit targets are tight, within the range of the entry bar. NinjaTrader 8 has been improved in this area.

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