Trading Performance Calculation?

[terryzz5]

Hi Everyone

I recently built a trading system. I've got the daily data "Open, High, Low, Close and Volume". Currently, I'm using Current Day's Open Price to find the signals and use Current Day's Closing Price to calculate the Trading Strategy Performance.

However, in reality, the Closing Price may not be able to obtain. What Price "Open, High, Low or Close" should I use? or should I use the average price between "Open" and "Close" to calculate the performance?

Many Thanks

 

[Rhody Trader]

You should use the price (adjusted for spreads, of course) which most closely approximates where you will be entering positions. If that's the end of the period, use the close. If it's the start of the period, use the open. You're not going to get it exactly where you're fill would end up being, but unless the market is always moving rapidly you'll be pretty close.