Hello AmiFriends. Hoping some people with Forex trading experience (esp.
auto trading) can chime in here. I have yet to trade, but have been
trying out different Forex systems in the backtester, then
forward-testing those systems on out-of-sample data.
But here's the rub - in the backtester, it makes a HUMONGUS difference
if the sellprice/coverprice is set to either Close or High or Low.
Profitable systems can turn into huge losers just by changing what the
exit price is on the same bar. I know we can set SellPrice and
CoverPrice from within the AFL and even set minimum profits levels and
what not with coding. But what about the actual Fill Price? Is there any
way to set minimum Fill Prices from the AFL (and eventually feeding that
into the broker's interface in an automated fashion)? For example let's
say I buy EURUSD at 1.5305 and my AFL has a profit target at 1.5310 (5
pips). When a sell signal is triggered by my AFL and I send in a sell
order, the price of the next bar might be fluctuating anywhere from
1.5300 to 1.5320 (or wider). I want to ensure that the actual fill price
is at minimum 1.5310. In real life trading, is there any way to specify
that? Or will the broker just fill in the price, at market, at the
instant they receive my sell order? And finally, given the realities of
trading, what, if any, is a realistic backtester SellPrice and
CoverPrice? To be conservative should SellPrice always be set to Low and
CoverPrice always be set to High? Or is Close a good compromise for both
that mimics an "average fill price" that one is likely to see in the
market? In other words, how can we simulate the most realistic fill
prices?
Please excuse my newbie ignorance if my questions are a bit off base!
[:)]
