by Nikolay.Gekht » Sun Sep 26, 2010 6:05 pm
1) To backtest stops and limits you must choose non-FIFO simulation mode (by default, backtester simulates FIFO account where stops and limits does not exist).
2) For more realistic simulation I recommend to use smaller time frame to simulate prices. For example, if you "run" your strategy on 15 minutes timeframe, use 1-minute history to simulate price. In that case you'll have 45 "ticks" per minute instead of 3 "ticks" (high, low, close). This let you to have more "smooth" prices for stops and limits, especially for trailings.
Hm... Isn't "smoother" simulation for bars more convenient? If it is, I can prepare unofficial update with smoother price movement (something like open, (open + high) / 2, high, (high + low) / 2, (close + low) / 2, low) - 6 tick instead of 3 and so on (using 4 as divisor instead 2 we can have 12 ticks per candle).