Skip to content
GetProfitable
Search
Dictionary

Fill assumption

What your backtest believes about whether an order executed, at what price, and in what size. Usually the most optimistic part of the whole model.

Defaults to interrogate: do market orders fill at the bar close or at the far side of the spread; do limit orders fill whenever the price merely touches the level; is the full size always available; do stops fill at the stop price or at the next traded price after it.

The limit-order assumption is the worst offender. Being touched is not being filled, because you sit in a queue behind everyone who was already resting there. A realistic rule is to require the price to trade through your level, not merely to it, and even then to assume partial fills in thin names.

Worked example: a strategy assuming limit fills on touch shows 2,400 trades and a 1.4 profit factor. Requiring a trade-through drops it to 1,500 trades and 1.05. Nothing about the idea changed; one unexamined assumption held the result up.

Related: slippage-model, next-bar-execution, quote-data, event-driven-backtest

Educational only, not advice. Spotted an error? Post in Site Feedback.