Which come first: High or Low?

[houseofai]

When processing a new bar, how does Backtesting decide which price from High/Low comes first?

TradingView's Strategy Tester uses the closest price to the Open price to decide which one comes first. Strategies that use small triggers (small TP/SL), can cause significant inaccuracies in the results.

To illustrate the issue, let's say that my strategy has a Long position with a Stoploss at 10$ and a Takeprofit at 20$. A new bar comes, with an Open price of 15$, a High price of 25$, and a Low price of 5$. The High price triggers the TP, and the Low price triggers the SL. So depending on which tick comes first, it can change the result.

[houseofai]

Just come by issue #119. I believe the comment made by @rokups makes things closer to reality.

This issue popup when Entry, SL, or TP are close enough to trigger on the same bar - and which happens more often using high time frames.

To add on these two comments:

• If trade entry and take-profit prices are within wicks - close trade in-profit.
• If trade entry and take-profit are within same candle - close trade in-profit only when candle matches trade direction (green candle for longs, red candle for shorts).

I would go for a more pessimistic approach and assume that:

• If there is Entry and TP on the same bar: hit the Entry last and don't hit TP.
• If there is Entry and SL on the same bar: hit the Entry and then the SL.
• If there is Entry, TP, and SL on the same bar: hit the Entry and then the SL.
• If there is TP and SL on the same bar: hit the SL

[houseofai]

question SL/TP hit on the same bar as trade opened refers to the same problem

[kernc]

To illustrate the issue

Do you have code that triggers the issue?

---

See #119 (comment).

But in other regards, the framework's policy is already pessimistic, i.e. SL-first:

backtesting.py/backtesting/backtesting.py

Lines 1000 to 1011 in 0ce24d8

	def _open_trade(self, price: float, size: int,
	sl: Optional[float], tp: Optional[float], time_index: int, tag):
	trade = Trade(self, size, price, time_index, tag)
	self.trades.append(trade)
	# Create SL/TP (bracket) orders.
	# Make sure SL order is created first so it gets adversarially processed before TP order
	# in case of an ambiguous tie (both hit within a single bar).
	# Note, sl/tp orders are inserted at the front of the list, thus order reversed.
	if tp:
	trade.tp = tp
	if sl:
	trade.sl = sl

.