, so called settlement. Among other things, and the fact that the official closing price is not the last price of the trading day, she still, I attached it, is not the last price of a point in time, to which the settlement is assigned. For example, if you open the description of the settlement procedure for Soybeans,
you will see that settlement is defined as the reading of the volume-weighted moving average over the period from 22:14 to 22:15, plus a few more different additions and conditions
What this means for the system trader. Imagine the situation that the system needs to close at the close of the session today. Let's say we closed at the last second of trading at 1277. Отлично, seems to be the last price— this is clearly the closing price of the session. But it was not there — exchange workers quickly recalculated the settlement and it turned out to be 1280, since the volume-weighted average shows exactly this figure. It could have happened, for example, if in 22:14 the price was 1283 and in a minute dropped to 1277. And that, now trader должен иметь машину времени, to from 22:15 move to 22:14 and a half (that is on 30 секунд назад) to close at the official closing price? But on the backtest, with data where settlement is used as the closing prices of the session, closing will be exactly 1280. Three points of difference between the price at which the position is actually closed and the theoretical price of closing the position on the backtest is 150 Dollars. For a short-term system, this may well be the average profit per trade.. And the complete discrepancy between real trading and theoretical indicators of the system…..
