Support Board
Date/Time: Fri, 29 Nov 2024 03:55:47 +0000
Spreadsheet trading -BAR-BASED BACKTEST ENTRY/EXIT ISSUE
View Count: 310
| [2023-03-03 21:10:21] |
| vectorTrader - Posts: 86 |
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I am testing a strategy using spreadsheet where long only entries are made in the K column and I use no L column formula for exit. I want to use attached orders to get out with a stop and loss. I have set rows j80/81 to 10 points ES. When I play back the the chart, all trades exit intrabar(using 8 tick range bars) and I cannot figure out why....I have settings to signal on close. https://www.sierrachart.com/image.php?Image=1677877674922.png Here is the trade activity log. ActivityType DateTime TransDateTime Symbol OrderActionSource InternalOrderID ServiceOrderID OrderType Quantity BuySell Price Price2 OrderStatus FillPrice FilledQuantity TradeAccount OpenClose ParentInternalOrderID PositionQuantity FillExecutionServiceID HighDuringPosition LowDuringPosition Note AccountBalance ExchangeOrderID ClientOrderID TimeInForce Username Fills 2023-02-22 10:14:01.960005 2023-02-22 10:14:01.960000 [Sim]ESH23-CME Trade simulation fill. Bid: 3999.00 Ask: 3999.25 Last: 3999.25 46177 46177 Market 1 Buy Filled 3999.25 1 Sim1 Open 1 46177.1 SimpleBracket.twconfig 0.00 Day Fills 2023-02-22 10:14:01.960015 2023-02-22 10:14:01.960000 [Sim]ESH23-CME Trade simulation fill. Bid: 3999.00 Ask: 3999.25 Last: 3999.25 46178 46178 Limit 1 Sell 3985.75 Filled 3999.00 1 Sim1 Close 46177 46178.1 3999.25 3999.25 SimpleBracket.twconfig 0.00 Good till Canceled Fills 2023-02-22 10:17:10.072005 2023-02-22 10:17:10.072000 [Sim]ESH23-CME Trade simulation fill. Bid: 3996.00 Ask: 3996.25 Last: 3996.25 46180 46180 Market 1 Buy Filled 3996.25 1 Sim1 Open 1 46180.1 SimpleBracket.twconfig 0.00 Day Fills 2023-02-22 10:17:10.072015 2023-02-22 10:17:10.072000 [Sim]ESH23-CME Trade simulation fill. Bid: 3995.50 Ask: 3995.75 Last: 3995.50 46181 46181 Limit 1 Sell 3982.75 Filled 3995.50 1 Sim1 Close 46180 46181.1 3995.50 3995.50 SimpleBracket.twconfig 0.00 Good till Canceled Fills 2023-02-22 10:33:33.558005 2023-02-22 10:33:33.558000 [Sim]ESH23-CME Trade simulation fill. Bid: 3994.00 Ask: 3994.25 Last: 3994.25 46183 46183 Market 1 Buy Filled 3994.25 1 Sim1 Open 1 46183.1 SimpleBracket.twconfig 0.00 Day Fills 2023-02-22 10:33:33.558015 2023-02-22 10:33:33.558000 [Sim]ESH23-CME Trade simulation fill. Bid: 3994.00 Ask: 3994.25 Last: 3994.25 46184 46184 Limit 1 Sell 3980.75 Filled 3994.00 1 Sim1 Close 46183 46184.1 3994.25 3994.25 SimpleBracket.twconfig 0.00 Good till Canceled Fills 2023-02-22 10:36:00.373005 2023-02-22 10:36:00.373000 [Sim]ESH23-CME Trade simulation fill. Bid: 3994.00 Ask: 3994.25 Last: 3994.25 46186 46186 Market 1 Buy Filled 3994.25 1 Sim1 Open 1 46186.1 SimpleBracket.twconfig 0.00 Day Fills 2023-02-22 10:36:00.373015 2023-02-22 10:36:00.373000 [Sim]ESH23-CME Trade simulation fill. Bid: 3994.75 Ask: 3995.00 Last: 3995.00 46187 46187 Limit 1 Sell 3982.25 Filled 3994.75 1 Sim1 Close 46186 46187.1 3995.00 3995.00 SimpleBracket.twconfig 0.00 Good till Canceled Fills 2023-02-22 10:40:05.446005 2023-02-22 10:40:05.446000 [Sim]ESH23-CME Trade simulation fill. Bid: 3993.00 Ask: 3993.25 Last: 3993.25 46189 46189 Market 1 Buy Filled 3993.25 1 Sim1 Open 1 46189.1 SimpleBracket.twconfig 0.00 Day Fills 2023-02-22 10:40:05.446015 2023-02-22 10:40:05.446000 [Sim]ESH23-CME Trade simulation fill. Bid: 3992.50 Ask: 3992.75 Last: 3992.50 46190 46190 Limit 1 Sell 3981.25 Filled 3992.50 1 Sim1 Close 46189 46190.1 3992.50 3992.50 SimpleBracket.twconfig 0.00 Good till Canceled Fills 2023-02-22 14:44:03.478005 2023-02-22 14:44:03.478000 [Sim]ESH23-CME Trade simulation fill. Bid: 3996.00 Ask: 3996.25 Last: 3996.25 46192 46192 Market 1 Buy Filled 3996.25 1 Sim1 Open 1 46192.1 SimpleBracket.twconfig 0.00 Day Fills 2023-02-22 14:44:03.478015 2023-02-22 14:44:03.478000 [Sim]ESH23-CME Trade simulation fill. Bid: 3995.75 Ask: 3996.00 Last: 3995.75 46193 46193 Limit 1 Sell 3982.75 Filled 3995.75 1 Sim1 Close 46192 46193.1 3995.75 3995.75 SimpleBracket.twconfig 0.00 Good till Canceled Date Time Of Last Edit: 2023-03-05 18:08:43
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| [2023-03-06 15:48:05] |
| John - SC Support - Posts: 36350 |
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The attached orders do not follow the rule of "Signal on Close". These orders are sent to the exchange when the primary order is filled, so you can not control them in terms of filling at a certain time. The only way you could do this, would be to use the L (Exit) column. Then the signal will occur on the close in order to exit the position. 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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