Strategy Desk Users' Group

[vegasfoster]

I don't know how to make backtesting mirror real trading, but we have speculated that you may be able to make automated trading mirror the way most people perform their backtesting,
i.e. evaluating only at the close of the bar. For 15 minute bars, you could add the following to your formula:

AND ( (Bar[Minute,1]=14 AND Bar[Second,1]=59)OR
(Bar[Minute,1]=29 AND Bar[Second,1]=59)OR
(Bar[Minute,1]=44 AND Bar[Second,1]=59)OR
(Bar[Minute,1]=59 AND Bar[Second,1]=59) )

In this manner, if the condition is true at the end of each 15 minute interval, then the order would be placed. Otherwise, it would not be placed. However, Tony G speculated the 1 second limitation may be too restricted for SD, so maybe try:

AND (
(Bar[Minute,1]=14 AND Bar[Second,1]>55 AND Bar[Second,1]<=59)OR
(Bar[Minute,1]=29 AND Bar[Second,1]>55 AND Bar[Second,1]<=59)OR
(Bar[Minute,1]=44 AND Bar[Second,1]>55 AND Bar[Second,1]<=59)OR
(Bar[Minute,1]=59 AND Bar[Second,1]>55 AND Bar[Second,1]<=59) )

This would create a 5 second window, which should get you darn close to the closing figure in most cases, but I haven't tried it yet because I haven't created a strategy that backtests well. I will let you know when I do. If anyone else tries it, I would be interested to know how it works.