Difference in BuyAtStop in 5.6 vs 6.2
Author: Lunev
Creation Date: 1/28/2012 8:09 AM
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Lunev

#1
I used to use this code function Buyatstop(bar,close[bar]) in WLD 5.6Now I’ve tried to use the same code with this function in WLD 6.2.WLD 6.2 has skipped many trades and also change entries for many trades compared to WLD 5.6Is this an issue of version compatibility?
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Eugene

#2
Yes, there was a change but it's just the opposite: version 5.6 could be skipping otherwise valid AtStop/AtLimit orders taken at bar's extremes whereas 6.2 finally fixes this issue.

By default, Wealth-Lab adjusts stop/limit trigger prices to a "tick" value for stocks as well as futures. The tick value depends on the Pricing Decimal Places (configured in Wealth-Lab's Preferences > Advanced Options). Sometimes this adjustment may cause a stop/limit order to fail due to precision issues. In previous versions, Wealth-Lab assumed a 2-decimal "tick value" for stocks. This could cause skipped AtLimit/AtStop orders.

Version 6.2 provides more precision because the tick value will now use the number of Pricing Decimal Places configured (Preferences dialog). For instance, the tick is 0.001 if you set the number of decimals to 3. To sum it up, if you enter 3 Pricing Decimal Places in 6.2, stocks will be displayed and traded at 3 decimals.

To completely ignore tick value adjustments, use the new option (in 6.2) called "Turn off limit/stop order rounding entirely" (Preferences > Backtest Settings). By enabling this option, you tell Wealth-Lab not to adjust stop/limit prices to a stock's tick value, instead executing the orders at full decimal precision.

Note: to get the correct results when comparing backtests between 6.2 and earlier versions, the number of Pricing Decimal Places must be set at 2 in both versions of Wealth-Lab.
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