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strategy backtest trade assumptions

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    strategy backtest trade assumptions

    While doing Ninjatrader backesting, is it possible to configure such that whenever OnBarUpdate() generates EnterLong() or EnterShort(), the backtesting P&L assumes that a "market order" was filled at the "Open" of the very next bar?

    #2
    Originally posted by uday12 View Post
    While doing Ninjatrader backesting, is it possible to configure such that whenever OnBarUpdate() generates EnterLong() or EnterShort(), the backtesting P&L assumes that a "market order" was filled at the "Open" of the very next bar?
    I'm pretty sure that this is exactly what happens when CalculateOnBarClose=True.

    And, you're in luck, the Strategy Analyzer window (where you do all your backtesting) always assumes CalculateOnBarClose=True. I mean, the property grid in the Straegy Analyzer window doesn't even show this property.

    However, if you want to experiment with the settings in the Historical Fill Processing section, changing 'Fill type' from Default to Liberal may affect what you're looking for.

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