Cone8
 ( 26.90% )
- ago
Glitch indicated in post #7 (https://www.wealth-lab.com/Discussion/7473) that we could add a block for same-bar Profit/Stop exits by making a feature request. Here you go!

Background -
WealthLab supports same-bar exits for profit and/or stops in C# coded strategies for backtesting and live Auto-Trading using the Transaction properties AutoProfitTargetPrice and AutoStopLossPrice. This request would give Block Strategies the same capability.
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- ago
#1
Please do this!
1
- ago
#2
I am for it
2
- ago
#3
That would be a really big deal for some of us, I believe.
2
- ago
#4
Yes, Please.
2
- ago
#5
Yes, please add.
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Cone8
 ( 26.90% )
- ago
#6
Creating a post to "please add" doesn't help the cause. You need to vote by clicking the "thumb's up" in the first post.

I'll take this opportunity to mention that a MarketClose order is also requiested to be considered for a same-bar exit.
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Glitch8
 ( 9.67% )
- ago
#7
Activated for Build 55.
3
- ago
#8
dumb question: Would we need to have intra-day data subscription for this to be worthwhile for backtesting?
0
Glitch8
 ( 9.67% )
- ago
#9
No it works just as well on a daily scale.
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- ago
#10
I thought the intra-day data was needed to accurately determine what time of day the stop would be hit? I would very happy if I'm wrong. I thought a scenario like this was when you would check the granular stop/limit processing.
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Glitch8
 ( 9.67% )
- ago
#11
Granular Processing currently only applies to determine which of several possible entry orders would fill. It would be a good enhancement to expand its scope later on.

For now, WL8 uses the following setting to approximate what would happen:

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Cone8
 ( 26.90% )
- ago
#12
@Moptop13
Correct. Not all scenarios are covered. Only scenarios that can be determined with certainty are filled in a backtest.

In addition to the behavior Glitch pointed to, which determines if the backtest fills the stop or limit order if both were possible to be filled on the same bar, see QuickRef > AutoProfitTargetPrice or AutoStopLossPrice for more details.
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Glitch8
 ( 9.67% )
- ago
#13
Just released for Build 55, enjoy!
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