Stop Out calculation for backtesting
Here you find it: https://www.mql5.com/en/articles/75
The Algorithm of Ticks' Generation within the Strategy Tester of the MetaTrader 5 Terminal
- www.mql5.com
MetaTrader 5 allows us to simulate automatic trading, within an embedded strategy tester, by using Expert Advisors and the MQL5 language. This type of simulation is called testing of Expert Advisors, and can be implemented using multithreaded optimization, as well as simultaneously on a number of instruments. In order to provide a thorough testing, a generation of ticks based on the available minute history, needs to be performed. This article provides a detailed description of the algorithm, by which the ticks are generated for the historical testing in the MetaTrader 5 client terminal.
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If you are using Bars in MT5 for back-testing, how does the back-tester handle a possible stop out during a candle on which the order was filled.
For instance, the order could have been filled after the low was reached, and the stop for the subsequent filled order would be at the recent low of the candle.
Hopefully someone knows the answer to this.
Thanks in advance for your time.