Better fills in backtesting

[dsmith1]

I have a concern re: the validity of my results from backtesting. I understand that only completed bars may be used (in backtesting), thus Strategy.MARKET = bar open, and Strategy.CLOSE = bar close.
Is it possible to perform math operations on these 'types', i.e.
var realLongFill = ((Strategy.CLOSE) - (Strategy.MARKET))/2 - Just as a better approximation, and then:

setLimit(realLongFill);
and then using Strategy.LIMIT for fill type?

I've coded the above, and get no syntax errors, but I also don't get filled...

In a nutshell, how can we get more realistic fills in the backtesting environment? Hopefully I'm missing something obvious here... Thanks for the help!!

[ACM]

dsmith1

Is it possible to perform math operations on these 'types', i.e.
var realLongFill = ((Strategy.CLOSE) - (Strategy.MARKET))/2

It is not possible to use the strategy methods in that way.
A simple solution to accomplish what you want could be to compute a 1 period moving average of (High+Low+Close)/3 eg
var realLongFill = sma(1,hlc3());
and then use that as the Limit price eg.
Strategy.doLong("Long", Strategy.LIMIT, Strategy.THISBAR,Strategy.DEFAULT, realLongFill);
Hope this helps
Alex

[dsmith1]

thx

thx - got it to work - gives me much more realistic results. Using that '.MARKET' can really skew a system's results.

[ACM]

dsmith1
You are most welcome.
Strategy.MARKET should be used only if one is entering a trade based on the conditions that exist at the prior bar.
Alex