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seen Oct 18 '13 at 22:05

Jul
30
comment Backtesting - can you buy/sell at open and closing prices?
@chrisaycock On a side note, in researching slippage and how to incorporate it into backtesting, I come across descriptions such as "big orders" just like you have used it. In general, what qualifies an order as a "big order?" A certain dollar amount?
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).