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Direct MessagesDate/Time: Sun, 28 Apr 2024 20:35:34 +0000
Post From: Combination Symbol Chart Study Question
| [2018-01-17 14:20:54] |
| ErikT - Posts: 117 |
|
Somehow the act of posting the 2nd attachment seems to have lost my original post. Here's a re-post of my original support request that was the base post in this thread until something weird happened... --- Hi guys, I've been a HUGE fan of the Combination Symbol Chart study ever since you introduced it. This is an incredibly powerful tool for back-testing performance of complex multi-leg hedged trades, and I've been using its results extensively in my work. So imagine my shock when I realized for the first time today that the results it produces seems to be completely, totally bogus! Of course it's always possible that I have configured it incorrectly, so I'm attaching both a .CHT to reproduce the problem and a simple Excel spreadsheet showing "manually calculated" versions of what the data should be. FYI, the price data in the manual (excel) calculation was sourced from the SierraChart .DLY files' closing prices for the dates in question. Accordingly, the dates are actually the prior date from the close price (the .DLY files seem to use the date/time the futures session began the evening before). In tha attached .CHT file, start with the daily chart named "START HERE: M8X8 Dly Combo". This is a HISTORICAL chart of CLES5M18 and it relies on other HISTORICAL charts to supply data for Combination Symbol Chart study to integrate values from CLES1X18, 6M19, and 3H19. There is also another tab with my attempt to produce a High-Accuracy Spread Chart, which relies on a mirror set of INTRADAY charts for the same symbols, again using Combination Symbol CHart to integrate the values. In trying to diagnose this myself, my first thought were that a skew in trading session times and/or a skew between TRADES and QUOTES might be responsible. But today's huge red bar on the "START HERE" chart is very telling. Hey wait... I was about to say it's showing -0.39 right now and if that were remotely close to correct I would show a huge loss on my futures account, which I don't. But I just glanced back at the chart and it went from -0.39 (huge red bar on the day) to +2.66 in the amount of time it's taken me to type this paragraph! So something is really screwy here. In case it matters, the 9:00:00am official pit open for the futures market happened to occur around the same time the bar went from -0.39 to +2.66 in a matter of seconds. So something was clearly very wrong with the huge red bar (now gone) this morning, but if I exclude that the other results are in the ball park but don't match up. Makes me wonder if the problem is a skew between trading hours of the exchange and those that SC is using for some reason. Again, the values I used to manually calculate the combination were CLOSING PRINTS that were sourced directly from SC .DLY files. They seem to match what the exchange shows me for official SETTLEMENT prices (2:30pm pit close for NYMEX futures). When using HISTORICAL charts, SC doesn't allow me to specify trading hours. I have assumed it is using exchange trading hours to determine the dimensions of the daily candles. In other words, I assume the top of the body of a green candle (or bottom of body of a red) should match the value of the combination determined manually from exchange SETTLEMENT prices. Please help... I've been using this extensively and I just now realized that all my charts are probably completely wrong! Thanks, Erik |