Hi Everyone
I recently built a trading system. I've got the daily data "Open, High, Low, Close and Volume". Currently, I'm using Current Day's Open Price to find the signals and use Current Day's Closing Price to calculate the Trading Strategy Performance.
However, in reality, the Closing Price may not be able to obtain. What Price "Open, High, Low or Close" should I use? or should I use the average price between "Open" and "Close" to calculate the performance?
Many Thanks
I recently built a trading system. I've got the daily data "Open, High, Low, Close and Volume". Currently, I'm using Current Day's Open Price to find the signals and use Current Day's Closing Price to calculate the Trading Strategy Performance.
However, in reality, the Closing Price may not be able to obtain. What Price "Open, High, Low or Close" should I use? or should I use the average price between "Open" and "Close" to calculate the performance?
Many Thanks
