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backtest problem with trailing stop on a daily chart
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backtest problem with trailing stop on a daily chart

  #1 (permalink)
Elite Member
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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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  #2 (permalink)
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  #3 (permalink)
Market Wizard
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Apologies if you already know this but since you mention TS, I thought I would mention it just in case.
In Tradestation there is a special feature purely to do what you want.


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  #4 (permalink)
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SMCJB View Post
Apologies if you already know this but since you mention TS, I thought I would mention it just in case.
In Tradestation there is a special feature purely to do what you want.


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

No worries as any help is much appreciated.
Yes, i have seen it and used it. The problem here is that 1 minute data for TS is limited. I am not sure why but for some instruments data is more less ok in terms of look back period for 1 minute and in some cases it is very short. For instance, when backtesting continious non-adjusted ES futures, i got the following message from TS:

- You strartegy will begin calculating on 09/28/2000 but the data required for Look-Inside-Bar Back-testing is only available starting on 08/25/2016. Strartegy calculation prior to 08/25/2016 will not use Look-Inside-Bar testing.

That is way too short. May be i need to load up the quotes first somehow, not sure about that. ?

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  #5 (permalink)
Market Wizard
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alko View Post
For instance, when backtesting continious non-adjusted ES futures, i got the following message from TS:

- You strartegy will begin calculating on 09/28/2000 but the data required for Look-Inside-Bar Back-testing is only available starting on 08/25/2016. Strartegy calculation prior to 08/25/2016 will not use Look-Inside-Bar testing.

I'm not a TS expert but I've never seen that message before. @kevinkdog can u help?


Last edited by SMCJB; October 9th, 2016 at 03:23 PM. Reason: corrected kevinkdig
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  #6 (permalink)
Market Wizard
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SMCJB View Post
I'm not a TS expert but I've never seen that message before. @kevinkdog can u help?

It probably tried to run strategy before all data was loaded. I would trun off the strategy and turn it back on and see if the message returns - it should not.

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  #7 (permalink)
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kevinkdog View Post
It probably tried to run strategy before all data was loaded. I would trun off the strategy and turn it back on and see if the message returns - it should not.

Yes, you are absolutely right. I did not allow the data (minute data) to upload to a daily chart and set the model on. For some reason, it stops loading up data while model status is on.

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