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Direct MessagesDate/Time: Thu, 25 Apr 2024 00:09:28 +0000
Post From: Trade Execution Issue Upon Upgrade to Version 1983
| [2020-02-19 05:20:28] |
| User279754 - Posts: 38 |
|
I've attached a simple chartbook which contains a very generic example of my two concerns: 1) If you run a back test using AutoTrade System Bar Based Back Test, you will see that the Trade Activity does not match what the signals on the chart would imply should be occurring. The system for some reason is exiting trades every bar without generating a sell signal. If you switch to a Sierra Chart version prior to 1983 you will see that it will execute the trades precisely as indicated by the signals on the chart itself, as it should. 2) The proposed solution was to use Add Additional Symbol study to have $VIX directly on the Trade chart. However, I tested this and got issue #1 above, plus it forced me to utilize what I consider erroneous derivative calcs of VIX, which I have provided an example of in this file--in Region 2 I have pulled in $VIX data from the second chart in the chart book. I included a 200p EMA that was calculated on the $VIX chart itself, so it only calculates the EMA based on the values observed while VIX is actually trading--this is the purple line. The blue line is also a 200p EMA based on VIX, but calculated on the Trade chart itself, so it factors in the value each bar while VIX is closed for the evening. If you compare the two, you can see there's a material difference. For me, VIX is crucial to trading, so the precision and validity of the derivative calcs is vital. I cannot rely on an EMA that was calculated directly on the Trade chart, which has different hours than the VIX chart. I greatly appreciate your time in reviewing and helping resolve this. I love your product and look forward to a future solution to this issue. |
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