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Date/Time: Tue, 23 Jan 2018 08:14:28 +0000



Draw Down reporting in bar based back test

Support Request:
[2017-11-24 09:13:22]
onnb - Posts: 465
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
Private File
[2017-11-24 22:44:09]
Sierra Chart Engineering - Posts: 56390
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 :
https://www.sierrachart.com/index.php?page=doc/TradeSimulation.php#StopOrders
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2017-11-24 22:48:21
[2017-11-25 04:23:31]
onnb - Posts: 465
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]
Sierra Chart Engineering - Posts: 56390
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:
https://www.sierrachart.com/index.php?page=doc/TradeSimulation.php#StopOrders

We added a paragraph related to this.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2017-11-29 06:02:58]
onnb - Posts: 465
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]
Sierra Chart Engineering - Posts: 56390
Yes.

Refer to:
https://www.sierrachart.com/index.php?page=doc/Backtesting.php#BarBasedBackTestingNotes
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.

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