Does wealth lab 7 natively support running a backtest on bid ask data?
I previously used a hack in wealth lab 6 where I created a dataset with:
- open = bid
- low = bid
- high = ask
- close = ask
Then executed trades on the open or close of bar to replicate bid and ask. The total backtest pnl was accurate however the intraday equity curve and drawdown was incorrect as it was based only on the close (ask) of each bar.
I previously used a hack in wealth lab 6 where I created a dataset with:
- open = bid
- low = bid
- high = ask
- close = ask
Then executed trades on the open or close of bar to replicate bid and ask. The total backtest pnl was accurate however the intraday equity curve and drawdown was incorrect as it was based only on the close (ask) of each bar.
Rename
No, WL7 does not support bid/ask data. Without knowing the details, your hack may work but you should backtest it in WL7 to make certain.
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