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Direct MessagesDate/Time: Mon, 16 Sep 2024 19:10:50 +0000
Post From: Replay tick data changes week to week
| [2024-06-24 20:58:46] |
| User414533 - Posts: 106 |
|
One thing to be aware of is variable time frame chart bars can change when a chart is reloaded. And the reason for this is explained here:
Working With Charts: Resolving Differences of Chart Bars Between Charts "One way to ensure consistency between chart bars between two different charts of the same symbol in the same installation of Sierra Chart, is to duplicate one of the charts. After duplicating one of the charts, reload the data in the original chart with Chart >> Reload and Recalculate. Both the original chart and the duplicated chart will now be identical." ---The occasional variances I am getting in trade results are on the exact same chart, instance, and algo. The ONLY variable is the time when the backtest is run, and it's one week later. After the trade results change, they don't change again. I can't see how this is anything other than changing tick data. "Ensure there is complete and consistent data for the charts. If you are comparing charts between different instances of Sierra Chart, check the Intraday Data Storage Time Unit setting. It needs to be set the same between instances. Re-download the data by going to the chart and selecting Edit >> Delete All Data and Download. If the charts are within the same instance of Sierra Chart, this only needs to be done for one of the charts. If the charts are in different instances of Sierra Chart, then this procedure needs to be followed for each instance. If you are using sub instances (File >> New Instance), perform this procedure first in the main/server instance of Sierra Chart and then in the sub instance." ---I have no problems with results consistency beyond the first week AFTER I run the backtests. I could run them a thousand times and the results would be identical. But when week "A1" passes, and I run a backtest at the end of week "A1" generating a trade history, then week "A2" passes and I run a backtest at the end of week "A2", the prior week's days get retested and that is where I will find an occasional descrepancy. From then on, the week in question's data is stable. So something is editing/changing the data used in market replays after the week in question's trading week closes on Friday. "The next step in order to make sure that you remove any data that has been loaded in the chart earlier than the Days to Load setting in Chart >> Chart Settings, which occurs over time, is to select Chart >> Reload and Recalculate for each of the charts being compared. This step will make a difference if the first Date-Time in the chart is different between the two charts you are comparing. You can see what this is by going to each chart and selecting Chart >> Goto Beginning of Chart and looking at the Date-Time of the first bar." ---All tests are being run off sub-instances and the discrepancy is not between instances, or between charts. It's on the SAME instance, on the SAME chart. "Go to one of the charts you are comparing, and examine all of the settings in Chart >> Chart Settings and compare them to the Chart Settings to the other chart being compared to see where the difference is with these settings. The settings on the following tabs can change chart bars: Symbol, Data Limiting, Bar Period, Session Times, Chart Data Also the following settings will cause differences and need to be the same between the charts: Days to Load New Bar at Session Start Combine Trades into Original Summary Trade" ---Everything is identical --- Same answer for 5, 6, 7, 8. --- If I were to run a backtest from, say... 1/1/23-6/1/24 a million times, I would get exactly the same results. But if I run a backtest from 1/1/23-6/28/24, at 5pm CST on 6/28/24, and then run that exact same backtest next week. I will see variations in the results over the week of 6/24. Any ideas on how I can get some consistency? I'm fully prepared to rent a server and run my algos live/demo to get correct, real-time tick data. Would you see any potential issues with doing that? Also, if you think the above idea would yield the results I'm looking for, could I connect to the Simulated Futures Trading Service with dozens of sub-instances in order to get even more realistic fills, or is there a limit to the # of connections a member can have? And/or is that service less reliable/robust than Denali? And finally, if you deem this appropriate for my request, is there an outside data service you would recommend that might cost a bit more, but would yield very, VERY clean data. This is an issue that has been hounding me for months now. I would be very grateful to put it to bed once and for all. Thanks! |