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Improve backtest assumptions with fill rules

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Matthias 2021-04-04 07:02:59 +02:00
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docs/backtesting.md
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@ -420,6 +420,7 @@ It contains some useful key metrics about performance of your strategy on backte
Since backtesting lacks some detailed information about what happens within a candle, it needs to take a few assumptions: Since backtesting lacks some detailed information about what happens within a candle, it needs to take a few assumptions:
- Buys happen at open-price - Buys happen at open-price
- All orders are filled at the requested price (no slippage, no unfilled orders)
- Sell-signal sells happen at open-price of the consecutive candle - Sell-signal sells happen at open-price of the consecutive candle
- Sell-signal is favored over Stoploss, because sell-signals are assumed to trigger on candle's open - Sell-signal is favored over Stoploss, because sell-signals are assumed to trigger on candle's open
- ROI - ROI