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Date/Time: Sun, 21 Jul 2019 18:06:33 +0000



Post From: New High-Performance Trade Activity Log - Version 1885

[2019-04-05 09:44:59]
zombiekray - Posts: 63
For comparison, here is the start of the v1882 [Trades] tab that is complete, versus v1895 [Trades] tab that is missing a bunch of longs at the (minutesSinceMidnight % 10 == 0) time points.


a) v1882 (correct); (full file attached as TradesList1882_proper_short_long_short_alternation_in_trades_tab.txt)

Symbol  Trade Type  Entry DateTime  Exit DateTime  Entry Price  Exit Price  Trade Quantity  Max Open Quantity  Max Closed Quantity  Profit/Loss (C)  Symbol Profit/Loss (C)  FlatToFlat Profit/Loss (C)  FlatToFlat Max Open Profit (C)  FlatToFlat Max Open Loss (C)  Max Open Profit (C)  Max Open Loss (C)  Entry Efficiency  Exit Efficiency  Total Efficiency  Commission (C)  High Price While Open  Low Price While Open  Note  Open Position Quantity  Close Position Quantity
[Sim]ESM19 (Sim1)  Short  2019-04-03 00:05:00.003 BP  2019-04-03 00:10:00.003 EP  2865.50  2866.25  1  1  1  -42.50  -42.50  -42.50 F  0.00  -50.00  0.00  -50.00  100.0%  15.0%  -85.0%  5.00  2866.50  2865.50    1  0
[Sim]ESM19  Long  2019-04-03 00:10:00.003 BP  2019-04-03 00:15:00.003 EP  2866.25  2866.50  1  1  1  7.50  -35.00  7.50 F  37.50  -12.50  37.50  -12.50  33.3%  40.0%  15.0%  5.00  2867.00  2866.00    1  0
[Sim]ESM19  Short  2019-04-03 00:15:00.003 BP  2019-04-03 00:20:00.003 EP  2866.50  2866.75  1  1  1  -17.50  -52.50  -17.50 F  25.00  -12.50  25.00  -12.50  50.0%  -13.3%  -46.7%  5.00  2866.75  2866.00    1  0
[Sim]ESM19  Long  2019-04-03 00:20:00.003 BP  2019-04-03 00:25:00.003 EP  2866.75  2866.50  1  1  1  -17.50  -70.00  -17.50 F  12.50  -12.50  12.50  -12.50  0.0%  -20.0%  -70.0%  5.00  2867.00  2866.50    1  0

b) v1895, missing longs: (full file attached as TradesList1895_missing_longs.txt)

Symbol  Trade Type  Entry DateTime  Exit DateTime  Entry Price  Exit Price  Trade Quantity  Max Open Quantity  Max Closed Quantity  Profit/Loss (C)  Symbol Profit/Loss (C)  FlatToFlat Profit/Loss (C)  FlatToFlat Max Open Profit (C)  FlatToFlat Max Open Loss (C)  Max Open Profit (C)  Max Open Loss (C)  Entry Efficiency  Exit Efficiency  Total Efficiency  Commission (C)  High Price While Open  Low Price While Open  Note  Open Position Quantity  Close Position Quantity
[Sim]ESM19 (Sim1)  Short  2019-04-03 00:05:00.003 BP  2019-04-03 00:10:00.003 EP  2865.50  2866.25  1  1  1  -37.50  -37.50  -37.50 F  0.00  -37.50  0.00  -37.50  100.0%  0.0%  -100.0%  0.00  2866.25  2865.50    1  0
[Sim]ESM19  Short  2019-04-03 00:15:00.003 BP  2019-04-03 00:20:00.003 EP  2866.50  2866.75  1  1  1  -12.50  -50.00  -12.50 F  0.00  -12.50  0.00  -12.50  100.0%  0.0%  -100.0%  0.00  2866.75  2866.50    1  0
[Sim]ESM19  Short  2019-04-03 00:25:00.003 BP  2019-04-03 00:30:00.003 EP  2866.50  2867.50  1  1  1  -50.00  -100.00  -50.00 F  0.00  -50.00  0.00  -50.00  100.0%  0.0%  -100.0%  0.00  2867.50  2866.50    1  0
[Sim]ESM19  Short  2019-04-03 00:35:00.003 BP  2019-04-03 00:40:00.003 EP  2868.50  2868.75  1  1  1  -12.50  -112.50  -12.50 F  0.00  -12.50  0.00  -12.50  100.0%  0.0%  -100.0%  0.00  2868.75  2868.50    1  0

Steps to reproduce:


a) *** I note that a "cold boot" of SC may be need to reproduce. After a running
an SC instance for a while, the TradeLog reports will change.
Start to reproduce the bug by restarting your SierraChart_64.exe v1895 process.

b) Contract: ESM19, 1 minute bar chart backtest with sawfok.cpp default settings.
c) Continuous contract: None.
d) Use Date Range: 2019-04-3 to 2019-04-04
e) Session Times: StartTime: 00:00:00 EndTime:23:59:59
f) (day session; Use evening session *un*-checked).

g) Analysis -> Build Custom Studies DLL -> build sawfok.cpp
h) Studies Window -> Add Custom Study -> Add the Saw_FOK_Buy0_Sell5 study from sawfok_64.dll
g) Run Bar-based-backtest on the 1 minute ESM19 chart.


attachmentTradesList1895_missing_longs.txt - Attached On 2019-04-05 09:43:20 UTC - Size: 95.94 KB - 59 views
attachmentTradesList1882_proper_short_long_short_alternation_in_trades.txt - Attached On 2019-04-05 09:43:30 UTC - Size: 100.87 KB - 61 views