Cheating fill price

What it is

A cheating fill price is a price the strategy could not actually have got — most often the day’s low for a buy and the day’s high for a sell.

The Chinese term for this is 偷价 (“stealing the price”). It is the most common way a backtest curve is manufactured, and the one that takes the least effort to disprove.

Why it matters

Of every number in a backtest, the fill price is the single easiest thing to attack, because you do not need the code. You only need to ask what price was used.

A strategy that fills at the low and exits at the high will look profitable even if the signal has no edge at all. The entire profit can come from a fraction of a percent per trade, repeated.

Common forms

Form	What happened
Same-bar close	Decided on the close, then filled at that same close
Intraday extreme	Bought at the low and sold at the high of the same bar
Sealed limit-up	Filled at the limit-up price on a day the stock never opened
No size impact	Filled a large order at a price only available for a tiny one

The last one is the quiet version: the price was real, just not for the size being traded. It shows up as a strategy whose returns vanish when capital capacity is modelled.

How to check

Ask one question: what price was used for the fill, and why that price?

Then change the fill to the next bar’s open and rerun. A real edge survives a one-bar delay. A curve built on cheating does not — it usually loses most of its return in a single step.