Optimism in backtesting

[Lavafang]

Hi,

I have a feeling this has been covered somewhere before, but I couldn't find it spelled out exactly. Sorry about that.

I am developing a strategy, and running it through optimization on daily bars over a large scale (2004-2010). Once I have this optimized, I'll reapply over a shorter time period with intra day granularity (minute bars). My question pertains to how NT will process daily bars with profit targets/stop loss and entries.

I understand I am using OnBarClose. So if I enter a long position using EnterLong, it will use the open value of the next bar, right?

Next, say I set a profit target of 10%. How intelligent is NT in getting the exit price?

Say that in the next candle, the position shows a profit of 9% at open, 12% high, and 11% at close. Obviously, it passed through the 10% mark at some point during that candle. Will I see an exit showing profit of 10%, 11% or 12%? What about the reverse situation with a stop loss? Will NT detect that the price moved through this range inside of a bar, and allow me to exit at that price?

Is the only way around this to use intraday granularity?

[NinjaTrader_Jesse]

Hello,

Thank you for the question.

For your first question yes this is correct.

For your second question If you set set 10% NinjaTrader is smart enough to calcuate a price of 10%.

For your third question. If the bar has prices that at least touch the 10%, it will fill at that 10% mark the same would go for the reverse as well.

The last question would not apply in this case.

Please let me know if I may be of additional assistance.

[Lavafang]

Thanks for the speedy reply. Glad to hear it!