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Some problems with autotrade and backtesting

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[2014-02-02 06:55:39] #1 [Go To First Post]
Litz - Posts: 131
While backtesting encountered the following: Using Autotrade System Bar Based Backtest the spreadsheet MA trading system gave excellent results with 80-95% successful trades with very few losses and little drawdown. Using Autotrrade System Replay Backtest or Manual Backtest gave around 45-50% success rate with numereous small losses and drawdowns and with large maximum drawdowns. I assume some of the difference is due to the fact that the bar based system uses Open, High, Low, Close data while the Replay Back Test uses the underlying data i the Intraday data file. So the fills I get are "best possible fills" and don't represent real time fills. ?? Reviewing the activity log, I found several trades were generated that did not follow the formulas I had entered into the spreadsheet (BUY ENTRY and SELL EXIT cell K3 and M3 =CROSSFROMBELOW(AA3:AA5,AC3:AC5) SELL ENTRY and COVER EXIT cell L3 and N3 =CROSSFROMABOVE(AA3:AA5,AC3:AC5) For the purpose of the trade system, I used 2 and 3 range bar charts and 3 and 18 MAs A few images where large drawdowns were generated buy price bar briefly crosses MA http://www.sierrachart.com/image.php?l=1391317724137.png chart image of long trade indicated on trade activity log 3rb es chart buy long @1816 although no ma cross thou bar did cross ma http://www.sierrachart.com/image.php?l=1391317534885.png http://www.sierrachart.com/image.php?l=1391321724139.png short generated http://www.sierrachart.com/image.php?l=1391322613667.png short generated right after long entry $1400 drawdown appears price bar crossing ma caused long exit and short http://www.sierrachart.com/image.php?l=1391323632833.png Sometimes erroneous trades are generated without a MA cross with just the bar cross and other times when the bar crosses the MA, no trade is generated. Bar Backtest trade activity shows none of these type of trades http://www.sierrachart.com/image.php?l=1391317534885.png another chart image of long trade generated with no ma cross although bar crossed Sometimes erroneous trades are generated without a MA cross with just the bar cross and other times the bar crosses the MA does not generate a trade. Appreciate comments.

[2014-02-02 11:11:42] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
So the fills I get are "best possible fills" and don't represent real time fills. ?? The fills are only simulated fills. They cannot provide a perfect representation of actual real-time fills. During a replay, back testing accuracy is also based upon the timeframe of the records in the Intraday data file. If they are tick by tick there is greater accuracy. Your automated spreadsheet trading system, did indeed submit the orders that you are getting fills from. Sierra Chart is not going to mistakenly generate these. This is not possible. This section here gives you more insight into why this can happen even though you do not see the actual buy/sell arrow on the chart: https://www.sierrachart.com/index.php?l=doc/doc_SystemsAlerts.php#DisappearingArrows We cannot comment further on this because we do not provide automated trading debugging. 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: 2014-02-02 11:12:30

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