Support Board
Support Board
Search Board
Control Panel
View My Posts / Threads
Direct MessagesDate/Time: Sat, 27 Apr 2024 16:23:18 +0000
Accurate Trading System Backtesting shows inaccurate order fills
View Count: 1058
| [2020-05-07 21:36:19] |
| Marion2025 - Posts: 13 |
|
Hello I am backtesting a trading strategy using the "Accurate Trading System Backtest Mode" on 1 min bars of historical data. Many of the simulated order fills are occurring way outside the price bars. I have attached a screenshot for reference. My data source is Interactive Brokers. I have set "Intraday Storage Time Unit" to 1 tick and "Number of stored time and sales records" to 10000 My suspicion is that the underlying data contains inaccurate bid/ask values that are not consistent with the OHLC bars. I have tried the Bar Based Backtest but still see inaccurate fills outside the OHLC range. I am unable to solve the problem |
 SC Fill Errors.PNG / V - Attached On 2020-05-07 21:35:53 UTC - Size: 30.49 KB - 252 views |
| [2020-05-07 22:27:29] |
| Marion2025 - Posts: 13 |
|
Correction, it seems bar based back testing is showing reasonable fills on bid/ask. I think I will stick to this method for now as I am only testing on 1 min bars. It seems the historical bid/ask data form Interactive Brokers is just wildly inaccurate
|
| [2020-05-08 07:12:42] |
| |
|
We definitely recommend back testing only with the Sierra Chart Historical Data Service: Sierra Chart Historical Data Service 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 |
| [2020-05-08 10:40:53] |
| Marion2025 - Posts: 13 |
|
Thank you, I will look into this
|
| [2020-06-03 01:23:31] |
| User950841 - Posts: 6 |
|
Sierra Chart Historical Data Service is not enabled on my package. What's up with that?
|
| [2020-06-04 05:41:59] |
| |
|
Direct Sierra Chart Account When you are using Sierra Chart that has been provided through an affiliate, you do not have a direct paid account with us, and you wish to access functionality that is not provided in your limited version, you must have an account with Sierra Chart directly and have a standard installation of Sierra Chart. To accomplish this, follow the instructions below: Direct Sierra Chart Account 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 |
To post a message in this thread, you need to log in with your Sierra Chart account: