GTCStop & GTCLimit hit on same day ?

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GTCStop & GTCLimit hit on same day ?

Postby rjay » Mon Mar 16, 2015 7:24 am

If I specify a relatively small GTCStop and GTCLimit of, say, 5%, and on a volatile day both prices are hit, how does Stratasearch treat that trade ? As a loss of 5% or a win of 5% ? If entry & exit all happened on same day does that affect the accuracy of the test results in any way ?
rjay
 
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Re: GTCStop & GTCLimit hit on same day ?

Postby Overload » Mon Mar 16, 2015 9:53 am

Because this isn't a scenario that can be properly handled using EOD prices at all, StrataSearch doesn't have a documented method that it uses. But as a general rule, the one that is located first in the Exit String will be the one that triggers. If your GTCStop() is first in the Exit String, then it will trigger first. And vice-versa with GTCLimit().

The reason this can't be handled with EOD prices is that it is impossible to know with EOD prices whether the stop or limit would be hit first. So any back test results that are created might not be indicative of what would have really happened. It's not possible to use intraday stops and intraday limits at the same time with EOD prices.

Likewise, there is an additional problem if you attempted to use a stop or limit order on the entry as well as the exit. It's impossible to know which would happen first.

As a rule, you can use only 1 stop or limit order on any given day with EOD prices. If you use more than that, you'll be attempting to make use of more data from EOD prices than is actually available.

Pete
Overload
 
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Re: GTCStop & GTCLimit hit on same day ?

Postby rjay » Wed Apr 15, 2015 4:59 am

As a follow-on to this problem, is there anyway I can ensure that a One-Click strategy never exits on the day of entry ?

I've tried this exit rule:

GTCLimit(10) and $daysheld>0

but I still have strategies with trades exiting on the day of entry. As discussed, trades that enter & exit on the same day are not a good idea with EOD data, so hopefully there is a way of avoiding it.
rjay
 
Posts: 116
Joined: Wed Jul 26, 2006 6:51 am

Re: GTCStop & GTCLimit hit on same day ?

Postby Overload » Wed Apr 15, 2015 10:13 am

Sorry, but GTCLimit orders are in place for the lifetime of the position, and there isn't a way to have them only begin on the day after the position was entered. Others have requested this and I have begun to look into that possibility.

Pete
Overload
 
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Joined: Wed Nov 30, 2005 12:14 pm


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