Lee Schmidt

43 reputation

	43 reputation	bio	website		visits	member for	7 months
3 badges		location			seen	Mar 6 at 21:39

3 Comments

Oct 4	comment	How to account for bid/ask spread when backtesting? Because it will affect profit.
Oct 4	comment	How to account for bid/ask spread when backtesting? Selling works the same way. Sell orders only execute for day N+1 if the high on day N+1 exceeds my sell-limit-order price (which was formulated only with data available through day N).
Oct 4	comment	How to account for bid/ask spread when backtesting? My strategy is based on limit orders. After market close on day N, I have all the information I need to create buy-limit-orders good for day N+1 only. My backteser then only executes a trade for day N+1 if Yahoo's low price for day N+1 is lower than my limit price that was set on day N. My trade will be executed at whichever is lower: my limit buy price, or the open price for day N+1 (plus my estimated spread, plus a flat trading fee).