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Incorporating stop losses into excel backtesting


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Incorporating stop losses into excel backtesting

  #1 (permalink)
shipop
Arlington, TX
 
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I've been backtesting my strategies on Excel and I'm trying to find a way to incorporate stop losses into all of my strategies. Is there a way to do this on Excel?

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userque
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shipop View Post
I've been backtesting my strategies on Excel and I'm trying to find a way to incorporate stop losses into all of my strategies. Is there a way to do this on Excel?

It depends.

What type of data are you using? Daily OHLC? Five minute bars? Something else?

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shipop
Arlington, TX
 
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I've been using OHLC data on a daily chart. Been thinking about incorporating four hour charts as well (if that's even possible). I want to be able to do this for five years of data if possible.

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userque
Chicago IL
 
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shipop View Post
I've been using OHLC data on a daily chart. Been thinking about incorporating four hour charts as well (if that's even possible). I want to be able to do this for five years of data if possible.

I assumed you'd be using profit targets and/or adjusting your stop level intraday (trailing stop, for example). If so, you'd have the following problem:

The larger your time slice (24 hours, in your case), the less reliable your results will be. For example, imagine a daily OHLC bar consisting of the respective values: 100, 110, 90, 100. You are long. You had a stop in place at 95, and a profit target in place at 105. Problem: which hit first, the stop, or the target?

However,

If you are only utilizing and testing the stop-loss, then I don't see a problem and this is very doable in Excel with daily bars.

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Last Updated on January 15, 2020


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