I was wondering if i could have your thoughts on this please guys. I'm fairly new to all this and i'm very interested in creating a mechanical system. I've learnt a few things (stay away from yahoo historical data for one!) but i was wondering how you would account for not knowing what price you would get filled at. e.g. your system may say to go long when blah blah blah X% above blah blah, but if you cant get a fill at that price, then it's immaterial. It seems that this problem can turn a winning system on paper, in to a loser when traded for real.
Directional
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depends on your method of entry & the market you trade - if you're using limit orders in an automated strategy then there is a high probability that you will miss a lot of fills and that any backtest will give you misleading results.
always better to use market orders and to correctly account for the possibility of a tick slippage. This way you wont have a winning system on paper unless it really is a winning system on paper.
always better to use market orders and to correctly account for the possibility of a tick slippage. This way you wont have a winning system on paper unless it really is a winning system on paper.
