Date/Time: Sat, 21 Apr 2018 13:37:39 +0000
issues with how exit prices are calculated using bar based back
|User76625 - Posts: 49|
I'm seeing an issue with how the exit prices are being calculated using bar based backtests - specifically, when the market opens higher than your target limit order price, then the trade results show you the open price of the opening bar. But, if your stop is hit instead, it shows the fill arrow somewhere between yesterday's close and today's open, even though no shares were traded at that price.
Long at 100, target at 101, stop at 99:
If the day gaps up to 102, you see 102 as the exit price.
If the day gaps down to 98, you see 99 as your exit price.
This is giving an false sense of success! I'm seeing plenty of times where it's showing my P/L as -$500 (my specified stop amount) and my Drawdown for the same trade at -$4,000, which is much more accurate on big gap down days.
If you need specifics, I can provide plenty of examples.
Sierra Chart Engineering - Posts: 59305
Could you please refer to the documentation here and see if what you are seeing is consistent with the documentation:
If not, we will look at this.
One thing we cannot tell, is whether these Target and Stop orders from your description, are resting orders. Or if you are using the Spreadsheet Trading study and they are submitted when the trigger price is met. It sounds like the 2nd case.
We recommend using Attached Orders always for Targets and Stops.
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:
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.
Date Time Of Last Edit: 2013-04-09 22:23:16
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