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> I have the sense that attempting to enter and exit on the same bar (
> next bar ) is problematic.
It can be. The problem is if you have multiple stops that can be
hit in the same bar. Let's say you are trading an EOD system and
you want to have the profit target and stoploss all set for
tomorrow's trading. If both of those stops are hit within the
bar, which was hit first?
If you backtest with EOD data, so all TS has to look at is OHLC,
then there is NO WAY for it to know which stop got hit. You
don't know if you hit your profit target or got thrown for a
loss. TS makes some reasonable guesses but the data doesn't tell
it enough to say for sure.
If you have intraday data that you're displaying as daily bars --
say you have tick data that you display as 405min bars for the SP
-- then TS can look "inside" the bar to see which stop gets hit
first.
Gary
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