This has caused a problem for me too. In the process of using the low-level Custom Backtester to control other parameters, it also means that a "real world" approach is taken in that Buys are processed before Sells.
Graham --- In [email protected], "jmdeacon" <[EMAIL PROTECTED]> wrote: > > I use EOD data and am having a problem with the backtest entering > positions I would never be able to enter. > > Position size is set to -10 so that I can have a maximum of 10 open > positions. My Buy and Sell signals are limit orders. The problem is > that if I have 10 positions at the start of the day and I get a sell > signal and a buy signal on the same day, the backtest assumes I sell > and have an open slot and fill that slot the same day with the buy > signal. Well, in reality, that can only happen if the sell signal > triggered before the buy signal which is rarely true. > > I want the backtest to not enter any new positions freed up by a sell > on that same day. Is there any way to do that? >
