- ago
I'm writing this up because Glitch advised me to in this thread: https://www.wealth-lab.com/Discussion/Same-bar-Stop-not-working-with-Stop-entry-orders-10165.
This ticket is both a Feature Request as well as a way to partially overcome the limitation of price determination logic currently present on weekly-and-higher scales as discussed in the aforementioned thread.
Priority: High
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Granularity selection for backtesting is located here:
Strategy Settings tab\ Backtest Data\ Advanced Settings\ Use Granular Limit/Stop Processing


Currently, one can only use intraday granularity for higher-scale trading. This is slow, requires extra data download & storage, and rather impractical if one is backtesting across large datasets and/or over large time frames. Besides, intraday data can be quite noisy.

For weekly-and-higher scale trading/backtesting Daily granularity is very highly desirable. Here's why:
1. Greater Price Accuracy: More accurate determination of trade entry/exit prices for Limit and Stop orders.
2. Entry Price has a widespread impact: A corollary of #1 would be more accurate calculation of Profit and Stop prices, including for same-bar exits, as well as MAE, MAE %, MFE, MFE %, and so on.
3. Avoid mistakenly held positions: When the entry price, and consequently everything else dependent upon it, is incorrect it can lead to situations where one's strategy may show a position being open though in real life it got closed out e.g. a stop was hit. This takes up account equity, miscalculates metrics and, if the Max Positions count is hit (if using), prevents new positions from being opened. Or vice versa.
4. More accurate Backtesting & Metrics: It will result in better, truer-to-life backtest results.
5. No extra data download required: Weekly-and-higher scales are derived from daily scale so it follows one already has the data, unlike when using intraday data.
6. Etc. (whatever I may have missed).

The time impact on backtesting with daily granularity selected shouldn't be all that much but if it is it can always be UN-selected.
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Some examples of where Daily data helped in better resolution of Weekly trades can be found in post #7 here: https://www.wealth-lab.com/Discussion/Same-bar-Stop-not-working-with-Stop-entry-orders-10165.
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