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Direct MessagesDate/Time: Thu, 25 Apr 2024 10:06:04 +0000
Processing Step In Seconds
View Count: 1394
| [2021-02-14 19:04:46] |
| Kutyasa - Posts: 21 |
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Why does setting up different settings for "Processing Step In Seconds" yields different trading backtest results? Your explanations within the site make clear that chart and signal processing is exactly the same and that the only variance is the batch size for efficiency purposes. I'm using the latest version available (2230) with Accurate Trading System BackTest Mode. Testing ES continuous contract from April 2020 to today; 2 charts and 8 standard SC indicators on 3-min bars. Results won't vary using different speed levels, Charts With Same Link Number or All Charts in Chartbook. Only the processing step is impacting results: reducing processing step yields more trades AND the trades entered have slight entry/exit times and levels. Data settings are set to 1 tick. Which setting to trust and why? |
| [2021-02-16 10:49:42] |
| Kutyasa - Posts: 21 |
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BTW, also related to backtesting, when replaying charts with accurate backtesting and selecting "Clear All Trade Data for Symbol and Account" does not always clear all prior trading data for the Symbol and Trade Account. Sometimes it works, sometimes not. Any comments?
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| [2021-02-16 15:27:01] |
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when replaying charts with accurate backtesting and selecting "Clear All Trade Data for Symbol and Account" does not always clear all prior trading data for the Symbol and Trade Account. Sometimes it works, sometimes not. Most likely it relates to this:Trade Activity Log: Trade Activity Not Displaying or Clearing (Improving Trade Activity Query Performance) Further response is still pending. 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 Date Time Of Last Edit: 2021-02-16 15:27:32
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| [2021-02-16 15:47:33] |
| Kutyasa - Posts: 21 |
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long text; does not help at all. We're not talking millisecs here, but minutes. Issue still pending.
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| [2021-02-22 12:42:53] |
| Kutyasa - Posts: 21 |
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I'd appreciate a response to the original posts
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| [2021-02-22 15:47:12] |
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Specifically what are you referring to here?: We're not talking millisecs here, but minutes.
Why does setting up different settings for "Processing Step In Seconds" yields different trading backtest results? We apologize for the delay. We wanted to take the time and create proper documentation. What we can explain is that when you increase the processing step, as each chart is calculated, all of the data for that specified time in seconds is processed, and the studies are calculated. So the larger the value, the larger the timeframe and that then alters the data that is then presented to other charts when those other charts are calculated, in an automated trading system.So based upon the behavior of your trading system, which only you can determine, that can affect the results. We will put together some more details, we hope later today. 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 Date Time Of Last Edit: 2021-02-22 15:48:37
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| [2021-02-22 15:53:14] |
| Kutyasa - Posts: 21 |
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So, in other words, the backtest will treat the "Processing Step In Seconds" as the minimum unit (or block) for trading and will therefore only "see" High, Low, Open and Close within that period of time, regardless of the bar setting used. Please confirm.
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| [2021-02-22 15:54:37] |
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Yes this is correct although it is still hard for us to consider your specific scenario because we do not know what the bar timeframe is or the processing step in seconds.
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 Date Time Of Last Edit: 2021-02-22 15:54:55
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| [2021-02-22 16:51:03] |
| Kutyasa - Posts: 21 |
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As clearly stated in my original post, I'm using 3-min bars. SC standard "Processing Step In Seconds" is set at 60. I have used 60, 30, 15, 10 5 and 1. All generating different results. Back to my original question in the hope that I get a straightforward answer: backtest will treat trades as if I was using 1 min bars (or 30, 15, 10, 5 and 1 sec bars) regardless of the 3-min bar constant setting? Also, the clear trade log is still erratic; does not always work. |
| [2021-02-23 18:04:18] |
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backtest will treat trades as if I was using 1 min bars (or 30, 15, 10, 5 and 1 sec bars) regardless of the 3-min bar constant setting? As each chart gets calculated during a back test the amount of data processed at each chart calculation is going to be as you set. So when the automated trading system is looking at the data from its own chart and other charts, it is going to be seeing a different state of the three-minute bars depending upon the processing step. The setting of this option is also going to be relevant when replaying multiple charts: General Settings Window: Use Controlled Order Chart Updating (Global Settings >> General Settings >> Charts >> Charts) Also, the clear trade log is still erratic; does not always work. The answer to this is explained here:Trade Activity Log: Trade Activity Not Displaying or Clearing (Improving Trade Activity Query Performance) It cannot be erratic. There cannot be a problem with the clear operation not working. Potentially there could be a problem where the visible Trade Activity Log perhaps does not refresh but you can do that with Edit >> Refresh Log. If you do that, and then you see the entries cleared, then the log just did not refresh and we need to look into that. However , keep in mind the clear operation can take time and you have to use that Refresh Log command sometime after the clear operation completes in the background. If you then notice the entries cleared, then there was a problem with it not refreshing. We are not aware that this issue does exist, but it is something we have to consider. 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 Date Time Of Last Edit: 2021-02-23 18:08:20
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| [2022-02-28 22:02:08] |
| jwick - Posts: 142 |
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The setting of this option is also going to be relevant when replaying multiple charts:
General Settings Window: Use Controlled Order Chart Updating (Global Settings >> General Settings >> General 2) Can you please expand on this? Would enabling controlled order chart updating make replays more accurate? Why? Suppose Chart1 uses values from Chart2: case 1 no controlled order: Chart 1 runs calculation. Chart 2 runs calculation. This forces chart 1 to run the calculation again. Now calculation cycle is complete. case 2 with controlled order: Chart 2 runs calculation. Chart 1 runs calculation. In both cases, would the end results (orders / calculations) be the same during a multi-chart replay? Date Time Of Last Edit: 2022-02-28 22:04:16
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