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Hi,
Glad to see the threads on performance were of interest to so many
people. Anyhow, I have a new question!
I have a play-system that I run a backtest for over the last 10
years. On 8/18/1999, it Shorts the stock "DITC" at a price of
$14.32. In my code, I have a 50% intraday max-loss stop,
ActivateStopsImmediately = TRUE, ExitAtStop = 1. On 8/20/1999, the
day's data is as follows:
Open = $20.50
Close = $28.19
Low = $20.28
High = $28.76
The Backtester exits the stock at a price of $28.64 (exactly double)
and beside the word "Short" in the "Trade" column, there is a "(6)",
so it looks like "Short (6)". I have checked and this stock did not
split or anything. With my 50% stop, it should have exited at $21.48
on 8/20/1999. My stop works properly on dozens of other occasions on
many other stocks in the same backtest, but it seems that when a
stock goes bad by over 100% in a single bar, strange things happen
with the Backtester.
Interestingly, even if I remove my max-loss stop (and my code should,
in theory, exit the following bar, 8/23/1999, at open), it STILL
exits on 8/20/1999 with a "Short (6)" in the "Trade" column at $28.64
for a loss of exactly 100%.
This also happens in other situations, but I figured I'd just pick
this one as an example.
How can I make the Backtester behave correctly in this situation? I
am stumped. Any input is welcome. Thanks!
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