Support Board
Date/Time: Tue, 11 Feb 2025 17:53:14 +0000
Post From: Sierra Support: Too much difference between back-tested and live results
| [2019-01-25 14:47:47] |
| rahul - Posts: 167 |
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Hello, I am using Real-Time Sierra Chart Exchange feed along with CQG WebAPI as a trading service. I have noticed the back-testing results is very different from live results. There seems to be a lot of slippage on order fills. The back-testing results are always more favorable than real-time results. My current setup: Sierra Chart Package: Level 3 Symbol Traded: ES, NQ (CME futures) When traded: Traded on Bar Close Order Type: Market Order Relevant code in Study: sc.UpdateAlways = 1 (so study is always called at chart update interval, even though there is no new market data) Back-Testing Settings: (Instance of Sierra Chart on computer 1) Service: SC Data - All Services Intraday Data Storage Time Unit: 1 Second Number of Stored Time and Sales Records: 4000 Allow Support for Sierra Chart Data Feeds: True (Checked) I am using "Auto Trade System Back Testing" using "Accurate Trading System Back Test Mode" Chart Update Interval: 200ms Real-Time Settings: (Separate instance of Sierra Chart on computer 2) Service: CQG WebAPI Intraday Data Storage Time Unit: 1 Second Number of Stored Time and Sales Records: 4000 Allow Support for Sierra Chart Data Feeds: TRUE (CHECKED) Chart Update Interval: 200ms I can see [M] next to the CQG WebAPI symbol, so Real-Time Sierra Chart Exchange feed is working My questions are around how I can get a closer values of back-testing and real-time trading? 1. Should I change the Intraday Data Storage Time Unit = 1 Tick for the Back-Testing? 2. Should I be back-testing using the Real-Time settings instead but with Simulated Mode on? Should I change this value to 1 Tick or keep it at 1 second? 3. Should I increase the chart update interval for real-time trading? If yes, to what value? 4. Should I change my trading service to CQG FIX or something else? 5. The documentation says that "You will have the greatest consistency between back testing and real-time auto trade system evaluation when you are performing a Replay Based Back Test on tick by tick data". Since the replay method is very slow, what's the fastest speed I can replay at to still maintain accuracy? Date Time Of Last Edit: 2019-01-25 19:48:10
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