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#1
29th January 2007, 09:22 PM
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Basic backtest questions
Hi,
I am putting together a backtesting framework and have become a little stuck. If anyone could help it would be great. 1. How do I code for open gaps (ie. place buy order. The entry bar gaps up through this buy order price, so the actual entry price is not the one originally specified, but the open of the bar that gaps up) 2. How do I code for gap downs through a stop loss (ie. I place a stop loss order, but the price of the bar that triggers the stop loss opens below the stop loss. Therefore I would be stopped out at the new open price) 3. How do I tell the backtester to simulate spread betting (I live in the UK). I will explain it here: - Spread betting is betting £x per point (or pip) of movement. - I risk 5% of my total capital on any one trade - Therefore the calculations are as follows (an example): Buy Price = 1.9000 Initial Stop Loss = 1.8950 Risk = 50 pips Capital = £20000 5% risk per trade = £20000 * 5% = £1000 to risk on this trade Price to bet per point: £1000 / 50 points = £20 per pips Thanks! Alex 
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