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comment Backtesting - can you buy/sell at open and closing prices?
Does this mean that order types such as Market On Open(MOO) and Market On Close (MOC) orders also fail to get you a fill at opening price or closing price as claimed?
comment Inferring Returns From Minimal Data Points
@chrisaycock I agree. However, I guess I did not put my question clearly. I basically wanted to estimate the likelihood of extreme returns because of my sample data being limited. I found the following discussion on the topic:… And thanks for the link, it answers my question. I guess that renders this post as "redundant" :)
comment What latency should I use for backtesting a high-frequency strategy?
Q:Is our execution model reasonable? It looks reasonable, but are you keeping the liquidity and order quantities in the mix? Its easier to ignore the Qty of a quote available on book, but it may hurt you later in case you are using huge quantities and the market liquidity is not enough for it. Q:What X should be used for our setup? What kind of a network connection is being used? What speed? Copper or fibre? After this information is available to you, you should be able to make an educated guess. But it is always best to run your own tests to find the network time X.