Support Board
Date/Time: Sun, 22 Dec 2024 19:40:02 +0000
Post From: Sierra Backtesting not working (Standard Replay, firing 2-12 bars late)
| [2015-05-28 12:23:26] |
| rhovega - Posts: 279 |
|
I'm backtesting using "Signal only on Bar Close" (not strict) to make the backtesting quicker. When using "Standard Replay" rather than "Acccurate Trading System Backtest Mode" (which naturally takes forever), the fills take place 2 to 12 bars after the trading signal, rather than the bar after the trading signal. Which renders it useless. The trading signal condition I'm backtesting is not a variable of current price, so why the lag? There is no mention of this on your documentation: http://www.sierrachart.com/index.php?page=doc/doc_SystemsAlerts.php On the attached example, the trade signal is marked with a star. The trading signal is TRUE on row 3, which should therefore be TRUE on row 4, regardless of where last price is at the moment (on row 3). Notice how it fires 12 bars later. If I use "Acccurate Trading System Backtest Mode" all trading signals fire on the bar after. Thanks |
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