Changing Fill to Current Bar

[sausaulius]

Hello Josh,
You wrote:
"Your CrossAbove condition can switch between true and false many times within a bar"
Yes, but using default fill type in Optimizer(not liberal) You can have only one fill at a time.
If I want to trigger limit order at cross if price has a cross in that bar it is not very important how many times it will swich. I simply need one LMT entry on cross, because most of the time it will happen only in this one bar....and will be no longer actual in the next bar...

Thank you for your deep analysis and I will look what do you mean by forward test.

[NinjaTrader_JoshP]

Hi sausaulius,

Crossing above and below many times is a characteristic of real-time trading. In backtesting/optimizing/etc. you will not have enough information to deduce anything about the scenario within the signal bar. The problem is simply that you can only guarantee that this cross above condition was satisfied at the bar's close. Any time intrabar, there is just not enough information to make such a claim with only OHLC. Since we can only confirm that the cross happened at the tick with the Close price of the bar, the bar becomes untradeable so therefore the only tradeable time is the Open of the next bar.

By forward testing I mean running your strategy in simulation on a live data feed or the use of Market Replay. These methods will provide you unparalleled levels of accuracy and should not be taken lightly. They will provide you with information on how your strategy will most likely behave. Bear in mind that even with forward testing you will still not get the true performance characteristics of your system though. There is no way to truly emulate market factors and slippage.

[sausaulius]

Thank you Josh. Understood.