Hello,
I am back testing in NT7, 5 min chart on YM and ES.
My concern is if an entry limit order and Profit target is pending on the same bar, how does the backtesting simulation (Strategy Analyzer) know which actual direction price movement went first.
See the attached for example.
A 5 min bar shows a trade of profit target 20866 and entry limit order of 20855
1. Does the back testing simulation/algorithm have the logic to know that price actually went down first to fill entry 20866 and then back up to exit trade with profit 20855? Price could have went up first and then down, which could have resulted in a loss.
2. Since most of my testing have similar (profit targets and entry in same bar) to this example, what is your recommendation for more realistic intra-bar fills that use static OHLC values NT7 if the strategy analyzer does not account for examples like this?
Thank you very much.
I am back testing in NT7, 5 min chart on YM and ES.
My concern is if an entry limit order and Profit target is pending on the same bar, how does the backtesting simulation (Strategy Analyzer) know which actual direction price movement went first.
See the attached for example.
A 5 min bar shows a trade of profit target 20866 and entry limit order of 20855
1. Does the back testing simulation/algorithm have the logic to know that price actually went down first to fill entry 20866 and then back up to exit trade with profit 20855? Price could have went up first and then down, which could have resulted in a loss.
2. Since most of my testing have similar (profit targets and entry in same bar) to this example, what is your recommendation for more realistic intra-bar fills that use static OHLC values NT7 if the strategy analyzer does not account for examples like this?
Thank you very much.
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