Support Board
Date/Time: Thu, 21 Nov 2024 16:58:48 +0000
issues with how exit prices are calculated using bar based back
View Count: 2065
| [2013-04-08 16:42:09] |
| User76625 - Posts: 49 |
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I'm seeing an issue with how the exit prices are being calculated using bar based backtests - specifically, when the market opens higher than your target limit order price, then the trade results show you the open price of the opening bar. But, if your stop is hit instead, it shows the fill arrow somewhere between yesterday's close and today's open, even though no shares were traded at that price. For example: Long at 100, target at 101, stop at 99: If the day gaps up to 102, you see 102 as the exit price. If the day gaps down to 98, you see 99 as your exit price. This is giving an false sense of success! I'm seeing plenty of times where it's showing my P/L as -$500 (my specified stop amount) and my Drawdown for the same trade at -$4,000, which is much more accurate on big gap down days. If you need specifics, I can provide plenty of examples. |
| [2013-04-09 22:19:30] |
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Could you please refer to the documentation here and see if what you are seeing is consistent with the documentation: http://www.sierrachart.com/index.php?l=doc/doc_TradeSimulation.php#HowOrdersAreFilled If not, we will look at this. One thing we cannot tell, is whether these Target and Stop orders from your description, are resting orders. Or if you are using the Spreadsheet Trading study and they are submitted when the trigger price is met. It sounds like the 2nd case. We recommend using Attached Orders always for Targets and Stops. 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: 2013-04-09 22:23:16
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