|
Neaples Italy
Posts: 2 since Mar 2015
Thanks Given: 0
Thanks Received: 0
|
Hi.
I use NT7 with imported 1 min forex data, that Ninjatrader handles by considering only bid prices.
I saw there is no way to include bid-ask spreads into backtesting, so my workaround is that of setting a commission, then backtesting with "Include commissions" set to true, and simulating trades with a fixed lot size, proportional to commission.
Example:
- I want to backtest on EURUSD, assiming a bid-ask spread o 1 pip.
- On Instument Manager I set Minimum Commission = 0.5 (because it's per side).
- I backtest assuming single trades with 10000 units, so that I pay 1 pip = 1$ per trade and the spread is equalized the commission.
This is all good and working if I want to test the pure signal, or if I'm using a fixed lot type position sizing.
But, let's assume that the lot size traded depends on an ATR stop so that the lot size is variable every time.
In this case I would pay a 1$ spread for every trade, regardless from lot size, and the equity line would be wrong.
This means that I can backtest this kind of strategy only without commission.
Any way to work around the problem?
Would I have this problem were I using Kinetick?
What's another backtasting platform that would not have this inconvenience?
(I'm testing Seer Trading, but it has bugs loading historical data)
Thank you.
|
