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Direct MessagesDate/Time: Thu, 02 May 2024 11:44:13 +0000
Post From: Bug in sc.BaseData during replay?
| [2019-11-19 06:50:46] |
| BrMa - Posts: 77 |
|
The study function is not called at every tick.
Are you serious?Documentation (https://www.sierrachart.com/index.php?page=doc/ReplayChart.html#ReplayMode) says Calculate at Every Tick: When using Calculate at Every Tick/Trade, this is identical to the Accurate Trading System Back Test Mode Replay Mode, except that the study functions on the chart are going to be called/calculated for each data record in the Intraday data file. Therefore, when using tick by tick intraday data this is a very high accuracy, but inefficient, Back Test.
I know the quality of tick-data in intraday-files differs between the providers available. That's why I'm using intraday-data provided by CQG, as they are known to have precise intraday data. I have to admit, that your statement would make sense in terms that I experience situations in backtesting where e.g. a sell limit of a long position is not executed although the high of the bar is higher then the price of the limit. Or a stop is not triggered although the price spiked beyond it (if you're saying that's impossible, I can provide you with some examples). If your statement is right, I see two issues: 1) Documentation is wrong because it explicitely says at every tick 2) Back-testing results are partially wrong because there can be situations (as described above) where orders are not executed in backtesting but they would have been executed in reality!? If this assumption is correct, this is a serious issue! Please take a look into that! SierraChart is a great tool and famous for its replay and backtesting-functionality! If the statement and the assumptions are correct, please correct this, so proper backtesting is possible! |