Backtesting in ONE

[kdawg]

Hi Kim,

 

In ONE, do you manually perform backtests by setting the trade entry point under "Trading Date & Time" and advancing through each day to see how it turns out?

Or are you able to use the AutoExplorer functionality to build rules and analyze etc?

 

Thanks!

[Kim]

I do it manually.

[samico]

In One, the spread prices i ve noted that they are not in line with what ib or tos say, because it took each leg to compute the mid and the real mid is usually higher. 

 

Have anyone noted this? AM i wrong? Is there a way to correct it?

 

 I saw that the prices for the spreads shown are a little lower from that i observe in tos or interactive brokers. I think that it is because the system takes each leg price separately to build the price of the combo. This can be misleading as when doing backtests, i can think that i would have been filled at a price that, in reality, would never happen. 

 

Rodrigo

Edited June 2, 2015 by samico

[Kim]

The price of the spread is always based on the individual leg prices. This is the correct way to do it.

[TDM]

Is there any way to see the "true" spread prices in IB, or do you have to calculate it yourself based on the individual legs?

[Kim]

No, you need to calculate it.