Hi,
Could someone please explain to me which price is used for the transactions when doing backtesting? If, for example, I have a strategy of ordering when the MA is above certain threshold, would it use the close price of the same day or of the next day for the transaction?
Thanks,
Zvi
The backtester now uses exclusively minute bars for pricing. Historically, it offered either daily or minutely bars (user-selectable in the backtester), but eventually dropped offering daily bars as an option for backtesting. So, orders are always filled using minute bar data.
Regarding trading decisions, you can still access daily data, if you want. See https://www.quantopian.com/help#ide-history .
Hi Grant,
Thank you for your reply! I'm actually using zipline and running the backtests locally on daily data. I found this post which I think answers my question: https://www.quantopian.com/posts/confused-with-order-execution-time.
Thanks,
Zvi
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