Support Board
Date/Time: Tue, 24 Dec 2024 00:07:43 +0000
[User Discussion] - BackTesting Accuracy
View Count: 1428
| [2015-10-25 02:13:50] |
| User126996 - Posts: 30 |
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In reading how your back testing fills market orders, I don't think it is accurate for the ES Mini. According to your explanation A Buy market order will be filled at the Ask price. A Sell market order will be filled at the Bid price. Market orders are always filled immediately. If the Bid and Ask prices are 0, then a market order will fill at the last trade price This is great for option trading but not the ES Mini. The issue I'm having is that I have a scalper bot that is looking to take .25 off of upward pressure. It lost a lot during back testing. I then decided to keep the same Entry criteria and change it from a BuyEntry to a SellEntry. The bot gets into more trades at different price points and then exits at different price points. If Market orders are to be filled immediately then why are the entry prices different for BuyEntry and SellEntry? The entry criteria for both are based on a new bar opening? I guess when trading the ES Mini, I have never seen my order go into a cue if it is a market order. It usually gets filled right away, no matter if the market maker is filling asks or bids especially during the first 2 hours of trading. I guess how can I improve the accuracy of back testing for this? I have read the notes of backtesing accuracy. Is there a backtesting set up that is accurate for the ES Mini or highly liquid/volatile symbols? Joel |
| [2015-10-25 08:31:26] |
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If Market orders are to be filled immediately then why are the entry prices different for BuyEntry and SellEntry? The documentation you quoted answers this. The entry criteria for both are based on a new bar opening? This depends upon what your trading system does. How the Bid and Ask prices that orders are filled against are set is documented here: https://www.sierrachart.com/index.php?page=doc/doc_TradeSimulation.php#TradeSimulationBidAskPrices As long as you are using tick by tick data, these are the actual bid and ask prices which are very accurate. This is not a true statement: if the market maker is filling asks or bids especially during the first 2 hours of trading
The Chicago Mercantile exchange is an exchange. It has no market maker. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-10-25 08:32:41
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