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Draw Down reporting in bar based back test

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[2017-11-24 09:13:22] #1 [Go To First Post]
onnb - Posts: 660
I run a bar based backtest and am looking at the trade activity log I am looking at one of the trades that shows MaDrawDown of -2403 The trade in question is a long trade that got stopped out The report of 2403 is based on the low of the bar on which the trade got stopped out The trade got stopped out before reaching that low so the MaxDD should be smaller


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[2017-11-24 22:44:09] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The low of that bar must have been processed before the Stop was filled and then the stop got limited with its fill price rather than being at the low of the bar, as documented here : Trade Simulation: Stop Orders 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: 2017-11-24 22:48:21

[2017-11-25 04:23:31] #3 [Go To First Post]
onnb - Posts: 660
The low of that bar must have been processed before the Stop The stop order was resting before the bar opened. The bar opened above the stop. Logically, it is not possible that the low was traded before the stop got.

[2017-11-29 04:21:25] #4 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
It is the Low of the bar that triggered the stop order. There is nothing wrong here and it is explained in this particular section here: Trade Simulation: Stop Orders We added a paragraph related to this. 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

[2017-11-29 06:02:58] #5 [Go To First Post]
onnb - Posts: 660
It is the Low of the bar that triggered the stop order. I think what you mean by this is that in a BarBasedBacktest, the study function is called 5 times per bar? And that the stop got filled when the Low got processed - did I get that right? Is there any documentation on the study function calls during Bar Based Back Tests?

[2017-11-29 07:14:21] #6 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Yes. Refer to: Auto Trade System Back Testing: Bar Based Back Testing Notes 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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