Support Board
Date/Time: Fri, 07 Feb 2025 12:09:41 +0000
Backtest problem. Buying at unrealistic prices?
View Count: 768
| [2020-05-19 10:34:10] |
| rainbow47 - Posts: 68 |
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Hi, I am ruinning an automated ES trading system based on Spreadsheet System for trading. Not sure if I am doing something wrong but what I realised is that the system fills trades at levels which have not been actually reached in the backtest. The attached picture will clarify what I mean but basically the system buys at a price after the buy signal fired which has never been reached. I am not sure if there is something wron with my settings or if other users experience similar issues. Thanks for your help Date Time Of Last Edit: 2020-05-19 10:39:50
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Attachment Deleted. |
2.JPG| [2020-05-19 11:33:16] |
| rainbow47 - Posts: 68 |
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Data cannot be the issue. I am using the Denali data feed. I did some futher testing and realised that the problem does not exist if I am using the Automated Trading System form a Third Party developer. This is by no means advertisement but I would like to make the developers aware of the problem. The third party system is I use for comparison is SST AutoTrader Study from simplesystemtrading. As you see in the picture attached, the order has not been executed as the ask price never dropped below the limit. How can the different outcome been explained? Thanks |
| [2020-05-19 11:42:20] |
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We are deleting incorrect posts here. Someone linked to another thread and then you went into that thread and posted in there about the issue. We deleted that. Users are using different data feeds, and the source of problems is different for this and other reasons. We need the fill record line from the Trade Activity Log because it contains the price information explained here: Trade Simulation: How Orders are Filled Provide us that line. Instructions: Trade Activity Log: Providing Trade Activity Log Data Lines to Support Also refer to this section here to understand Renko bar values: Renko Bar Charts: Renko Open, High, Low, Close Values The problem may be related to that. 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: 2020-05-19 11:45:53
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| [2020-05-19 11:55:22] |
| rainbow47 - Posts: 68 |
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Please find the trade activity line below and attached: ActivityType DateTime Symbol OrderActionSource InternalOrderID ServiceOrderID OrderType Quantity BuySell FillPrice Price Price2 OrderStatus FilledQuantity TradeAccount OpenClose ParentInternalOrderID PositionQuantity FillExecutionServiceID HighDuringPosition LowDuringPosition Note AccountBalance ExchangeOrderID ClientOrderID Fill 2020-02-28 19:30:23.388 [Sim]ESM20 Trade simulation fill. Bid: 2906.50 Ask: 2906.75 Last: 2908.00 531760 531760 Limit 1 Buy 2906.75 2907.75 Filled 1 Sim1 Open 1 531760.1 |
 Log.txt - Attached On 2020-05-19 11:55:10 UTC - Size: 513 B - 265 views |
| [2020-05-19 14:40:58] |
| rainbow47 - Posts: 68 |
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SC Team, do you have any idea what is causing the problem and how to fix it? Thanks |
| [2020-05-19 19:13:27] |
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Well what we are going to do is validate whether the pricing you have was actually what was transmitted by the exchange, and if so we then need to add an option not to use the bid and ask prices because they are not always as expected.
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 |
| [2020-05-19 19:21:14] |
| rainbow47 - Posts: 68 |
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Thank you. I doubt that the S&P future jumped 1 point without any trade in between. Never saw this happening before. Problem is, that the issue makes all backtests obsolete because the executiom is unrealistic and too optimistic. Not sure if this only happens with Renko charts. But when you backtest over a longer timeframe with more than 1000 trades, the numbers are completely off and inflated to the upside. I backttest for 90 days and the problem occurs many times over the course of the period. Date Time Of Last Edit: 2020-05-19 19:48:12
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| [2020-05-20 18:44:16] |
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We need to know the time zone of this: Fill 2020-02-28 19:30:23.388 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 |
| [2020-05-20 18:59:17] |
| rainbow47 - Posts: 68 |
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UK
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| [2020-05-20 19:11:54] |
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These prices are confirmed to be valid and what were transmitted by the CME at the time: Trade simulation fill. Bid: 2906.50 Ask: 2906.75 Last: 2908.00 This is with certainty that those were the latest bid and ask prices provided, at the time of the trade. 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 |
| [2020-05-20 19:14:22] |
| rainbow47 - Posts: 68 |
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Thanks for checking SC Team. Just to confirm, is it fair to assume that an Accurate Trading Sytem Backtest is using accurate prices and is reliable? |
| [2020-06-03 01:21:05] |
| User950841 - Posts: 6 |
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The fills should match the bars.
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| [2020-06-03 02:01:49] |
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In regards to post 11 and post 12, it depends upon what the data is. That is not something that we have control over. The best we can do is add an option to not use the true bid and ask prices during a replay which we will do at this point in time.
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: 2020-06-03 02:02:13
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