I have done a lot of searching in the forums to try and find a decent solution to this problem.
I have a channel that I want to buy or sell a breakout via a market stop order. Due to the restriction of not being able to have two simultaneous opposing orders with NT 6.5 (hope v7 "fixes" this), I am trying to monitor the recent price action to either submit the appropriate closest stop order.
The problem is when a single bar (for example on a 1min chart) spans a large range and effectively triggers both conditions to submit the buy/sell stop orders.
I believe in real-time, just monitoring Close[0] with CalculateOnBarClose = false; will allow the strategy to execute fine as it will cancel/replace the orders as needed should price bounce around before filling. However, I am concerned with backtesting this strategy first to get a feel for how robust it is and if there are any tweaks I can make to it. So far I cannot find a way during backtesting to determine how to allow the appropriate buy/sell stop order to get submitted in time in situations where a single bar may span from one side of the channel to the other and go through where the buy/sell stop order should be. Are there any good examples or resources on how I can better improve my backtesting results with this type strategy?
I have a channel that I want to buy or sell a breakout via a market stop order. Due to the restriction of not being able to have two simultaneous opposing orders with NT 6.5 (hope v7 "fixes" this), I am trying to monitor the recent price action to either submit the appropriate closest stop order.
The problem is when a single bar (for example on a 1min chart) spans a large range and effectively triggers both conditions to submit the buy/sell stop orders.
I believe in real-time, just monitoring Close[0] with CalculateOnBarClose = false; will allow the strategy to execute fine as it will cancel/replace the orders as needed should price bounce around before filling. However, I am concerned with backtesting this strategy first to get a feel for how robust it is and if there are any tweaks I can make to it. So far I cannot find a way during backtesting to determine how to allow the appropriate buy/sell stop order to get submitted in time in situations where a single bar may span from one side of the channel to the other and go through where the buy/sell stop order should be. Are there any good examples or resources on how I can better improve my backtesting results with this type strategy?
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