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Don't use intrabar order generation if you want an accurate backtest
Use 1 minute Look Inside Bar backtesting for most accuracy
Don't use SIM for anything other than verifying that orders are firing correctly. Trying to measure and compare performance results with TS sim is a TOTAL waste of time.
If you set up your strategy logic correctly, and avoid certain keywords (setpercenttrailing, for example), you should get a good match between backtest and live real money trading, assuming you have accurate results for slippage
It seems daunting at first, but once you get it, it becomes second nature.
Start with a simple strategy with "buy next bat at market" "sell next bar at market" etc. That will always work, and give excellent match between backtest and live (after accounting for slippage), except in very rare occasions.
Why do you say to avoid setpercenttrailing? I am experimenting with it. With look-inside-bar-backtesting turned off, it gives a great backtest. With it turned on, the backtest sucks. So I came here looking for some answers.
If not percent trailing, what other options are more reliable?
The setpercentrailing and setdollartrailing keyword only work correctly with 1 tick resolution for Look Inside Bar Backtesting. With any other setting it is inaccurate. Tradestation explains why on their forum somewhere (sorry, I do not have link). I would recommend creating your own trailing stop, you can use keywords maxpositionprofit and openpositionprofit to do so.
