Support Board
Support Board
Search Board
Control Panel
View My Posts / Threads
Direct MessagesDate/Time: Fri, 19 Apr 2024 20:58:49 +0000
Trading Evaluator vs SIM Denali autotrade results
View Count: 585
| [2021-05-07 04:52:09] |
| User165843 - Posts: 8 |
|
Hi, I have 2 instances of sierra chart running at the same time- one with live SC denali data, the other with the Apteros trading evaluator data. I'm using delta/renko/volume bars and using cumulative delta as well (if this makes a difference). But anyways, the divergence between the two in terms of execution is absurd- over the last 2 days alone, SIM has had 2x as many executions, made 400 and lost -400 in MNQ while the trading evaluator has lost -21 and -130. I copied over the SC settings and the spreadsheet file from the trading evaluator to the simulated feed instance and I've triple checked the settings. I've been running this now for 5 days and there hasn't been a single day where the two were remotely close to matching each other. Is there something I'm missing here....? |
| [2021-05-07 05:57:23] |
| |
|
It really is very hard for us to say from our perspective. We do not know what the trading system is doing exactly. Perhaps it relates to the use of estimated position in queue: Global Trade Settings Windows: Enable Estimated Position in Queue Tracking (Global Settings >> Chart Trade Settings >> General >> Position in Queue) 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: 2021-05-07 05:57:36
|
| [2021-05-07 13:03:24] |
| User165843 - Posts: 8 |
|
Thanks, but all orders are market, no limit orders. I could understand if there is a variance in execution by a few ticks. But there are times when a position will be entered in one and not in the other. I have code written to track entry/exit signal execution and it is very inconsistent over the two instances. What could be possible issues I can look into from your POV? This is pretty frustrating to have spent a lot of time coding this and then to see it be so inconsistent.
|
| [2021-05-08 17:39:08] |
| User165843 - Posts: 8 |
|
I'd like to update this: I ran another test of the trading evaluator. Once in realtime and then switched it over to SIM and ran it overnight. The results again do not match remotely close to each other. The number of trades taken is 12 vs 16- how is this possible given that it is the exact same data? And for what it's worth, this is not tiny/fast scalping kind of trades- the average hold time is 10 minutes to 6+ hours.
Date Time Of Last Edit: 2021-05-08 17:40:35
|
| [2021-05-08 19:33:45] |
| |
|
and ran it overnight Was this a back test?
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 |
| [2021-05-10 13:29:50] |
| User165843 - Posts: 8 |
|
Backtest as in "Accurate system Backtest" replay mode option, correct.
|
| [2021-05-12 13:31:44] |
| User165843 - Posts: 8 |
|
Trading evaluator http://www.sierrachart.com/image.php?Image=1620825834482.png Accurate System Backtest- step size 1 http://www.sierrachart.com/image.php?Image=1620825984172.png This was ran on 5/11, the net result of this is completely opposite. One is -750 (evaluator) the other +826 (backtest mode). I'm not going to lie, I'm not an expert in everything SC, so I just would like some help understanding if this is a problem with my settings or anything else in SC. I'm using spreadsheet for trading study if that helps- I could understand if it's a code issue but with results this far apart, I'd like to look at simple options first. |
| [2021-05-13 01:25:24] |
| User165843 - Posts: 8 |
|
5/12 results: Trading evaluator http://www.sierrachart.com/image.php?Image=1620865673981.png Accurate System backtest-step size 1 http://www.sierrachart.com/image.php?Image=162086553433.png I'm not looking for you guys to hold my hand, I get that screwed up things can happen- I just want some guidance into the SC side of things and how they operate. You can clearly see that the executions are nowhere near the same. |
To post a message in this thread, you need to log in with your Sierra Chart account: