Support Board
Date/Time: Wed, 27 Nov 2024 04:14:22 +0000
Market Depth Bar Based Backtesting.
View Count: 62
| [2024-11-18 18:05:42] |
| skalaydzhiyski - Posts: 59 |
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Hello, I have a study written in ACSIL that uses depth data to decide entries and exits (sc.UsesMarketDepthData = 1). It's not a high frequency trading strategy it just computes depth based signals and trades based off those. Is it possible to do bar based back test with my study somehow ? Currently whenever I run the bar based backtest I am only getting 1 depth level (even though when I run replay on the exact same chart -> I can clearly see 20 levels (which is my default setting)). |
| [2024-11-18 21:15:07] |
| John - SC Support - Posts: 36309 |
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You can not run a Bar Based Back Test and have access to the Market Depth data. A Bar Based Back Test only uses the Open, High, Low, and Close of the existing bars in the chart, so the Market Depth data is not updated during this process. Refer to the following: Auto Trade System Back Testing: Bar Based Back Testing You would have to do a Replay Back Test for your particular situation. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-11-18 21:56:18] |
| skalaydzhiyski - Posts: 59 |
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Thank you for the quick reply! It would be great to be able to fast backtests with market depth data. I could probably do it with a for loop over the decoded .depth file, but it will be a great feature if we could do this from within Sierra (i.e. backtest without wasting CPU cycles rendering graphics). Has anyone requested this before or is it deep in the backlog ? Date Time Of Last Edit: 2024-11-18 21:56:46
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| [2024-11-18 22:02:53] |
| John - SC Support - Posts: 36309 |
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You could create a custom study that controls the replay for a hidden chart in order to accomplish this. Refer to the following: sc.StartChartReplayNew() For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
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