Support Board
Date/Time: Sat, 01 Mar 2025 10:54:56 +0000
Backtest discrepancy
View Count: 431
| [2021-10-01 14:05:34] |
| dRich - Posts: 5 |
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Hi, After running a backtest of a simple strategy, my colleague and I received the same incorrect results which showed missed trades that should have fired. One of the screengrabs attached here shows an absence of expected trades. A third colleague ran the same backtest using the same strategy which we exported to him as a CHT file. Thus he had the exact same settings. His results showed different but accurate trades. See attached screengrab. What are some of the common causes for this discrepancy? For your inspection, the CHT file is attached here. HD Request # 2 | Timestamp of first Intraday data file record written: 2021-10-01 13:55:34.009000 | 2021-10-01 13:55:47.003 HD Request # 2 | Received 13 Intraday data records from 2021-10-01 13:55:34.009000 to 2021-10-01 13:55:46.088000 (12.1 seconds) and wrote 13 records for ESZ21_FUT_CME | 2021-10-01 13:55:47.003 HD Request # 2 | Add time&sales data | Remembered last file record date-time: 2021-10-01 13:55:46.088000 | 2021-10-01 13:55:47.004 HD Request # 2 | Completion time: 1s | 2021-10-01 13:55:47.004 HD Request # 2 | Intraday data download complete for ESZ21_FUT_CME. Unique request ID: 2 | 2021-10-01 13:55:47.004 Removing historical data download ID 2. | 2021-10-01 13:55:47.004 Real-time Intraday chart data file updates started for ESZ21_FUT_CME | 2021-10-01 13:55:47.004 Opened cached Intraday file: S:\usr\cots\SierraChart\installation2\Data\ESZ21_FUT_CME.scid. Thread ID: 8596 | 2021-10-01 13:55:47.004 Intraday chart data file opened for ESZ21_FUT_CME | 2021-10-01 13:55:47.004 HD Request # 2 | Enabling Intraday chart updating for symbol. | 2021-10-01 13:55:47.005 |
 correct trades.png / V - Attached On 2021-10-01 13:56:30 UTC - Size: 82.13 KB - 165 views incorrect trades.PNG / V - Attached On 2021-10-01 13:58:02 UTC - Size: 53.74 KB - 151 views  CynthiaStrategy - 3600BackTest.Cht - Attached On 2021-10-01 13:58:44 UTC - Size: 4.89 KB - 325 views |
| [2021-10-03 17:44:49] |
| John - SC Support - Posts: 38292 |
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Refer to the information at the following link: Auto Trade System Back Testing: Differences Between Back Testing and Real-Time Auto Trade System Evaluation Also note other topics on that same page related to information on the different back-tests available and how they perform. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
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