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Draw up and Draw down are incorrect

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[2016-12-02 15:20:22] #1 [Go To First Post]
AcquaLife - Posts: 33
Hello, I have noticed that when using the front month CL contract and expanding the start date to 2005 using the roll-over with increased volume option (not exactly the name but very close) the draw downs and draw ups on individual trades can be very wrong. Sometimes it says a draw up of 17k or draw down of something similar and there was nowhere near that price action. Additionally, I only have 1 contract on, so i am very sure that there is something wrong. However, the gross profit and gross losses seem correct... Has this problem been addressed before and can it be fixed. It would be very helpful to have the correct draw down and draw ups. Thank you so much for your support.

[2016-12-02 18:18:18] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Is this an Intraday or Historical Daily chart? Refer to the documentation here: https://www.sierrachart.com/index.php?page=doc/TradeActivityLog.php#NotesAboutRunupDrawdownMaximumOpenPositionPLEfficiencyFields Are you saying that the High Price While Open and Low Price While Open field values are different than actually experienced during a replay? If so, we need a Chartbook containing the chart you are using: Support Board Posting Information: Providing Chartbook with Only a Single Chart And we need to know the specific Date-Time range where this is occurring and you need to be able to reproduce it by a manual trade and tell us the trade details. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2017-01-29 03:06:04] #3 [Go To First Post]
AcquaLife - Posts: 33
Sorry for the delay in replying, but i am still having this issue. Is this an Intraday or Historical Daily chart? It is an Intraday chart. Are you saying that the High Price While Open and Low Price While Open field values are different than actually experienced during a replay? Yes, this is exactly what is happening. And we need to know the specific Date-Time range where this is occurring There are several. I will give one as an example. Long: Entry-2016-01-26 23:00:00.003 Exit - 2016-02-02 11:00:00.003 High Price While Open-53.89 Low Price While Open -29.81 The high price while open is very very wrong. you need to be able to reproduce it by a manual trade and tell us the trade details. Very simply, i enter a trade when an DMI overlay and the DMI on this specific chart cross in the same direction and i exit when the DMI on this specific chart cross against my original direction. I did not include the overlay because it says i only should include one chart. The time frame for the overlay is 720min. The overlay DMI is set at 14


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[2017-01-30 20:19:14] #4 [Go To First Post]
AcquaLife - Posts: 33
Hello, is this something that will be addressed? Do i need to re-submit the chart or do something different? Sorry for the post if you are still currently working on this problem. Thanks.

[2017-01-30 20:19:53] #5 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We will be looking this over, this week. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2017-02-01 05:05:38] #6 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
This is what we got for a manual trade across the specified time: ActivityType Symbol DateTime OrderActionSource InternalOrderID ServiceOrderID OrderType PositionQuantity Quantity BuySell Price Price2 OrderStatus FillPrice FilledQuantity TradeAccount OpenClose ParentInternalOrderID FillExecutionServiceID HighDuringPosition LowDuringPosition Fill [Sim]CLM16 2016-01-26 23:17:10.003 Trade simulation fill. Bid: 30.65 Ask: 30.66 Last: 30.65 755208 755208 Market 1 1 Buy Filled 30.66 1 Sim1 Open 755208.3 30.66 30.66 Fill [Sim]CLM16 2016-02-02 12:03:55.003 Trade simulation fill. Bid: 30.30 Ask: 30.31 Last: 30.30 755209 755209 Market 1 Sell Filled 30.30 1 Sim1 Close 755209.4 34.82 29.81 Symbol Trade Type Entry DateTime Exit DateTime Avg Entry Price Avg Exit Price Entry Quantity Exit Quantity Profit/Loss (P) Max Open Quantity Running P/L (P) Runup (P) Drawdown (P) Max Open Profit (P) Max Open Loss (P) Entry Efficiency Exit Efficiency Total Efficiency Commission (P) High Price While Open (P) Low Price While Open (P) [Sim]CLM16 Long 2016-01-26 23:17:10.003 2016-02-02 12:03:55.003 30.66 30.30 1 1 -0.36 1 -0.36 4.16 -0.85 4.16 -0.85 83.03% 9.78% -7.19% 0.00 34.82 29.81 The times are not exact. We just did our best across a long span of data. Here you are showing negative numbers so we are not sure how that is even possible: High Price While Open-53.89 Low Price While Open -29.81 Were these actually negative numbers? Are you able to consistently reproduce the problem by just simply performing manual trading during a replay? We had the Replay Mode set to "Standard Replay". Another issue that could be causing a problem is that you may have an existing Position at the time of the first fill which is creating the problem based upon its High/Low During Position values. Clear all existing data with Trade >> Clear Trade Simulation Orders and Data before running the test. However, be aware this is going to clear all of that data. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2017-02-01 05:13:40

[2017-02-01 06:15:00] #7 [Go To First Post]
AcquaLife - Posts: 33
Here you are showing negative numbers so we are not sure how that is even possible: High Price While Open-53.89 Low Price While Open -29.81 Were these actually negative numbers? I am sorry no they are not negative numbers. I just used the dash to try and separate them from the word they are positive numbers Are you able to consistently reproduce the problem by just simply performing manual trading during a replay? We had the Replay Mode set to "Standard Replay". I have not done any manual trading during replay i just do the Accurate Trading System Back Test Mode Another issue that could be causing a problem is that you may have an existing Position at the time of the first fill which is creating the problem based upon its High/Low During Position values. Clear all existing data with Trade >> Clear Trade Simulation Orders and Data before running the test. However, be aware this is going to clear all of that data. Every time i do a simulation i go to Trade >> autotrade system replay backtest and it says it clears replay/back test trade data. Another issue that could be causing a problem is that you may have an existing Position at the time of the first fill which is creating the problem based upon its High/Low During Position values. based on my previous response i do not think this is the case additionally, i am only trading one contract. please advise on how i can help you address this problem. Thank you so much for your help. On another note, i am using the front month contract and changing the start date to 2014-01-01 and doing the continuous futures contract - volume based rollover

[2017-02-01 19:21:58] #8 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We want you to try to reproduce the problem by doing manual trading across the time period in the chart where this is occurring during the back test. We also want you to try to see if you can reproduce the problem with this automated trading system: Trading Example: Using Reversals For instructions to use that trading system, refer to: Automated Trading From an Advanced Custom Study: Example Trading Systems and Code Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

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