Backtesting a Stock Limit Entry at Two Percent Below the Open
Article BigQuant
Summary
This legacy platform example shows how to model a stock purchase at a specified price relative to the day’s open. A custom slippage model sets buy orders at 98% of the opening price, while sell orders use the current close. A daily order check compares the day’s low with that buy threshold and cancels an open order when the low never reaches it. The example also explains slippage as the difference between intended and actual execution, including the effect of order size relative to available market volume. It notes that partially filled orders may remain open for later sessions, subject to the platform’s rules.
Key ideas
- A custom slippage model can represent a buy price set below the opening price.
- The example sets the purchase threshold at 98% of the open.
- A daily check cancels an unfilled order when the low does not reach that threshold.
- Slippage and volume constraints affect whether an order fills as intended.
- The article is marked as outdated and does not report backtest results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.