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[User Discussion] - Trade Exit Optimization on Actual Historical Trades with Tick Level Backtesting

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[2014-09-19 19:01:07] #1 [Go To First Post]
User46601 - Posts: 2
Hi everyone - I've been searching around google and this forum for a specific answer and am having some difficult, so thought I'd post to get some feedback on where best to research. Situation --- I have about 200 actual trades that occurred through the Sierra Charts platform (connected to Interactive Brokers brokerage and an IQFeed data stream) over the last year. These trades were performed on 1 instrument - the futures contract ES (E-mini S&P 500). My goal is to find out if I would have been more profitable with different types of exit strategies. I'd like to answer the question, "if I had used a larger profit target, or a smaller stop loss, would I have been more profitable over this set of 200 actual historical trades?" Is this possible in Sierra? Documentation seems to point to yes, but I am unsure of the high level steps to do so: http://www.sierrachart.com/index.php?l=doc/doc_Backtesting.php#DifferencesBackTestRealTime Thoughts?

[2014-09-29 18:03:13] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
There is no function in Sierra Chart which will automatically tell you this. You would have to create a trading system that will duplicate your trades, which we think would be impossible and then run various back tests with different parameters and look at the results of each one. 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

[2014-09-29 18:09:18] #3 [Go To First Post]
Futures Operator - Posts: 239
I have wondered the same thing, and wonder if it could be done by recording the last known stop price, at the time of exiting a trade, and then updating an added field in the Trade Activity Log when that stop price is hit, and how far price ran in your favor, before that happened.

[2014-09-29 21:57:40] #4 [Go To First Post]
User021827 - Posts: 174
hi Dont you need optimization software for that ? shane

[2014-09-30 12:21:26] #5 [Go To First Post]
vegasfoster - Posts: 444
I am pretty sure you can create a custom study that would read an external file containing your trades and enter/exit on those points. Unfortunately, this would be beyond my abilities. Fortunately, I am pretty sure you could also do this easily with a spreadsheet trading system by creating a table of your trades on one tab and adding formulas to each row evaluating whether the trade time is straddled by A3 and A4 then return +1 if buy or -1 if sell, e.g. if(and(sheet1!A3>A3, sheet1!A4<A3), 1, if(and(sheet1!A3<A3, sheet1!A4>A3), -1, 0)) Assuming your trade time is in sheet2 column A and the formula to evaluate is in sheet2 column Z. Then in K3 enter formula to buy whenever sum of sheet2 column Z is 1 and sell in M3 whenever -1, e.g. =if(sum(sheet2!Z:Z)=1). Probably not work out this simple and some kinks to get through, but this should get you started in the right direction. If you need more help, you can also contact the master at http://sawtoothtrade.com/tag/tomgilb/, if he doesn't respond here.

[2014-10-01 02:13:51] #6 [Go To First Post]
User46601 - Posts: 2
Thanks for all the responses everyone. It really amazes me that there is no straight forward way to analyze your own trades to tick level resolution - it seems to be a rather hard problem. Excel is a possibility, but would require an annoying amount of programming. I'm just surprised I can't seem to find a trading platform which natively does this (even paid ones). vegasfoster, thanks for the tip in the right direction. I will consider a system like that if I can't get any other platform to work. Cheers.

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