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TradeStation Back-testing/Intra-bar Order Generation/Slippage
Actually, I don't know why but the code was actually buy next bar at market, which I know now is a completely different scenario. Here is a simpler version of the code below anyways.
I know next bar at market is completely different from this bar on close, especially if you're trading on volatility, but it would still be great to learn your reasoning for the difference with backtesting.
Can you help answer these questions from other members on NexusFi?
Without IBOG on, this code when backtested will match live results very well. Just don;t forget to include slippage in backtest.
To be sure, you are saying that the 5 minute interval backtesting with the SMA with orders to buy next bar at market will match the live results? Or, the tick by tick?
To be sure, you are saying that the 5 minute interval backtesting with the SMA with orders to buy next bar at market will match the live results? Or, the tick by tick?
The strategy you show (which is just an entry), with IBOG off, will show the same results as live with Look Inside Bar Backtesting off, or equal to 1 minute, or equal to 1 tick resolution.
But that could change depending on the exits you use...