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Direct MessagesDate/Time: Fri, 03 May 2024 16:55:57 +0000
[Programming Help] - Bar Backtest is giving inaccurate fills
View Count: 713
| [2020-04-10 19:53:29] |
| User873520 - Posts: 14 |
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I am using Sierra feed for my data, and a simple spreadsheet for trading that enters/exits with a market order when a condition is true(1) on the following bar. System triggers fine, but instead of entering around the open of the next bar (per the bidxask rules that are implemented), 80%+ of the time it enters/exits on the exact high or low. I have followed all the suggestions. I have looked at the trades and the bid/ask line up with the trade (so that's is correct), I have deleted and re-downloaded tick data, I have doubled checked tick size/etc, increases number of store T&S to 10000, lowered chart interval time, etc and it is still way off the open +/- a tick of the next bar. Sometimes is seems accurate, but less than 10%. I can post screenshots as well if needed. Thanks! Edited to add watching it run live, it shows fills/exits fine (running in sim). Only bar backtest shows weird fills. Date Time Of Last Edit: 2020-04-10 19:57:55
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| [2020-04-10 20:42:13] |
| Sawtooth - Posts: 3992 |
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The Bar Based Back Test does not always give accurate results on every type of system. Auto Trade System Back Testing: Bar Based Back Testing The most accurate back test, where you have the most control over the conditions and settings, will result from using Replay Chart in 'Accurate Trading System Back Test Mode', at a speed that doesn't overwhelm your CPU or GPU. Auto Trade System Back Testing: Replay Back Testing - Manual |
| [2020-04-10 20:56:31] |
| User873520 - Posts: 14 |
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Thanks tomgilb, I still want to find the logic on why it is doing what it is doing, and I assume it's on my end. I have done back-testing in Ninja and Tradestation before, just new to Sierra as far a back-testing. A simple enter/exit on next bar should be close to the open based on bid/ask at the open, but it is way off. And, I aM using Sierra data-feed which is superb in quality. Thanks again!
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