Hi Popov,
I have two concerns....
First, should we disable typical/weighted, high/low from price move if using current bar?
Second, shouldn't intrabar scanning pickup this error during backtesting?
For example take this strategy below. I open a position long on a 20 pip downward move in weighted price on the 15 minute bar data, then take a profit at 25 pips. Run this strategy with scanner and interpolation methods and you'll receive outstanding results every time , even with 1 minute data/pessimistic, etc.. Test it in real time and results are completely different.
90% accomplished for this strategy using 1 minute data.
Forex Strategy Builder v2.12.0.0
Strategy name: Generated
Exported on: 4/25/2010 8:39:51 PM
Description
(This description might be outdated!)
Market: EURUSD 15 Minutes
Spread in pips: 2
Swap Long in pips: 1
Swap Short in pips: -1
Commission per lot at opening and closing in pips: 0
Slippage in pips: 1
Use account % for margin round to whole lots
Maximum open lots: 100
Entry lots: 5% of the account for margin
Adding lots: 5% of the account for margin
Reducing lots: 5% of the account for margin
Intrabar scanning: Accomplished
Interpolation method: Pessimistic scenario
Ambiguous bars: 3
Tested bars: 663
Balance: 7179 pips (14179.09 USD)
Minimum account: 0 pips (7000.00 USD)
Maximum drawdown: 88 pips (87.82 USD)
Time in position: 68 %
A same direction signal - Adds to the position
An opposite direction signal - Reverses the position
Permanent Stop Loss - 200
Permanent Take Profit - None
[Opening Point of the Position]
Price Move
Enter long after a downward move
Base price - Weighted
Price move - 10
Use previous bar value - No
[Opening Logic Condition]
Enter Once
Enter no more than once a bar
[Closing Point of the Position]
Take Profit
Exit at the Take Profit level
Take Profit - 25