Date/Time: Sun, 26 Jun 2022 22:40:45 +0000
Trying to Understanding ASCIL Trading / Trading Example
View Count: 920
|Israel Gottlieb - Posts: 14|
I am studying autotrading using the examples you provide. I started with the simplest one, called "Trading Example" [entry on MA crossover, exit when stop offset or target offset hit; no attached orders]. I applied it to an E-mini intraday chart, and ran Bar Backtests and Replay Backtests. I tried the Bar Backtest also w/ historical data. Please advise on the below 2 questions:
1. In all cases, the Trade Activity shows that Exits were always applied exactly 1 tick (1/4 point) away from the Entry price, resulting in a consistent string of loses of exactly 1 tick. Changing the input values of the Study had no effect.
2. In an effort to understand the above behavior, I copied the TradeSystem code into my own custom study project, compiled w/ VC++ Express, set breakpoints and attached to the Sierra process. When I ran the backtest (both Bar-Backtest & Replay), I found that the Result value returned by the call sc.BuyEntry(NewOrder) was always negative; in fact it was always -8998. Further, the code that writes arrows on the chart when an order is successful was skipped by the 'if' statement -- as you would expect if the Result was negative. I verified this behavior by adding a condition of 'Result > 0' to the breakpoint; it was never hit. However, after the code completed running, the chart was full of arrows and TradeActivity showed a string of trades -- all exited exactly 1 tick from entry. What am I missing?
Thanks for any guidance,
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