Profit and SL on same tick in backtesting - optimal solution?
-
Hi,
I was wondering how backtrader deals with situations where both Profit and SL are hit on the same bar during backtesting. FIFO only works of course if a better timeframe resolution is added; for example if my profit as well as my SL hit on the same 4h-bar during backtesting, the optimal solution would be to look at 2h, or even something like 1-min charts, to see what was hit first.Is there such an implementation in the backtrader, which I might have missed?
I found a similar question, but not an adequat answer:
Re: What happens when a profit and sto order are filled in the same bar?
-
Backtrader (similar to real life broker) doesn't make any tricks. It uses FIFO which applicable in any situation. You just need to think about it more.
-
@jeanpaul said in Profit and SL on same tick in backtesting - optimal solution?:
FIFO only works of course if a better timeframe resolution is added
As @ab_trader said, FIFO works in any case. If multiple orders are filled on the same bar, multiple notifications will be received (notify_order) on this bar - still in FIFO order.
-
ok, I think I m not making myself clear. Let s say the close price of this 4h bar is 100. Now I go long, with a take profit at 105, and a stop loss at 99. On the next bar, the high is 106 and the low is 98. Which one closed my order, and why?
-
@jeanpaul order issued first will close your position, next order will open new position. If it will not be cancelled in time.
-
hey guys,
I found the solution for my question. I didnt realize that I can have multiple timeframes in parallel. This solves my issue of course.
