Hello,
I have a problem with the system tester. I want to test a smoothed indicator.
The logic of the system is to buy if this indicator is higher than at the
previous bar. Accordingly, a sell is allowed if the indicator is lower than at
the previous bar. The buy order should be executed at the next bar but only if
the high of the current bar is exceeded. Similar, a sell order should be
executed only if the low of the next bar is lower than the low of the current
bar. The system would be always in the market. Thus, orders should be entered
on a stop and I have put in the Limit or Stop Price field High for the orders
to buy and Low for the orders to sell.
The problem is now the accuracy of the system test reports. I have tested the
system also with TradeStation and with Excel. In the case that the order could
be executed at the next bar after the indicator turned direction, the results
of the system tester in MetaStock are the same as those from TradeStation or
Excel. However, if the condition for the order is still in place but the order
could be executed only a few bars later, the results diverge significantly. The
system tester uses not the high or low price of the current bar, but of some
bars ago. Even the number of bars ago is not constant but differs from trade to
trade.
The manual does not provide any help. Are those incorrect order executions a
bug of the system tester or do I have to put in another value in the Limit or
Stop Price field for the various order types? Any hint is highly appreciated.
Best regards
Peter
