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I'm using eSignal On-Demand with forex intraday data.
The backtesting tutorial says
Strategy.STOP – Records the fill price at a user-specified price.
Strategy.LIMIT – Records the fill price at a user-specified price.
In my (UK) dealing account, a Buy with a Limit order will only buy when the price drops down through the specified level, whereas a Buy with a Stop order will only buy when the price rises up through the level; similarly a Sell Limit order will be triggered when the price rises up through the level while a Sell Stop order will be triggered when price drops down through the level.
Is it correct that Strategy.LIMIT and Strategy.STOP don't distinguish between the directions of the price changes, they both simply apply their order at the specific price regardless of the actual price data, so
Strategy.doLong( "Long", Strategy.LIMIT, Strategy.THISBAR, Strategy.DEFAULT, entryPrice );
and
Strategy.doLong( "Long", Strategy.STOP, Strategy.THISBAR, Strategy.DEFAULT, entryPrice );
will both start a long trade at entryPrice regardless of whether the price is rising or falling at this time - ie the two calls have exactly the same action, and there really is no need for two separate .LIMIT and .STOP constants, a single Strategy.AtPrice constant would do as well?
I'm trying to backtest a strategy that selects an entry price for a long trade below the current price, in the real world by placing a Limit order to buy at the entry price; but in eSignal it looks as if I have to implement the "wait for the price to drop back down below the order entry price, and start the trade when the price comes back up through the entry price rather than now" logic myself?
Phil Bell
The backtesting tutorial says
Strategy.STOP – Records the fill price at a user-specified price.
Strategy.LIMIT – Records the fill price at a user-specified price.
In my (UK) dealing account, a Buy with a Limit order will only buy when the price drops down through the specified level, whereas a Buy with a Stop order will only buy when the price rises up through the level; similarly a Sell Limit order will be triggered when the price rises up through the level while a Sell Stop order will be triggered when price drops down through the level.
Is it correct that Strategy.LIMIT and Strategy.STOP don't distinguish between the directions of the price changes, they both simply apply their order at the specific price regardless of the actual price data, so
Strategy.doLong( "Long", Strategy.LIMIT, Strategy.THISBAR, Strategy.DEFAULT, entryPrice );
and
Strategy.doLong( "Long", Strategy.STOP, Strategy.THISBAR, Strategy.DEFAULT, entryPrice );
will both start a long trade at entryPrice regardless of whether the price is rising or falling at this time - ie the two calls have exactly the same action, and there really is no need for two separate .LIMIT and .STOP constants, a single Strategy.AtPrice constant would do as well?
I'm trying to backtest a strategy that selects an entry price for a long trade below the current price, in the real world by placing a Limit order to buy at the entry price; but in eSignal it looks as if I have to implement the "wait for the price to drop back down below the order entry price, and start the trade when the price comes back up through the entry price rather than now" logic myself?
Phil Bell