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Sierrachart spreadsheet backtesting, hard to get accurate fills?
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Sierrachart spreadsheet backtesting, hard to get accurate fills?

  #1 (permalink)
Trading Apprentice
Montreal, QC
 
Futures Experience: Intermediate
Platform: MultiCharts, Ensign, Sierra, IB/TWS
Favorite Futures: CL
 
Posts: 11 since Apr 2014
Thanks: 5 given, 5 received

Sierrachart spreadsheet backtesting, hard to get accurate fills?

Hi guys, I'm about to give up on Sierra chart spreadsheet trading because of the following problem, so maybe someone knows of a solution OR can at least confirm that what I'm trying to do is not possible without some advanced ASCIL functions (which I don't think I could code myself)...

I want to get filled at the exact price of a signal crossover, even if that price is mid-bar. So as a simple example let's say Line1= 95.00 and I make a rule that says BUY if E3 (last price) > Line1. So then if a bar opens at 94.90 and closes at 95.20 (thus piercing my Line1 trigger in the middle of the bar), is it possible for my entry price to register as 95.01? Right now I instead always get filled somewhere near close of the bar (but not always at the close), which pretty much makes the backtesting process useless for me.

I'm using 1-minute data, not tick data, so all I have is the Open, High, Low and Close. I guess most obviously the problem is that events are triggered only at the close, when the price might already be much higher than the trigger value. But I can't seem to find a way to have the system assume that each price in between the OHLC points gets hit.

On a related note, assuming I'm not just making a mistake, feel free to point me in the direction of a different platform that does makes this easy (getting intra-bar fill prices during backtesting, rather than only getting filled at the OHLC). I'm trying MultiCharts but the coding had a much bigger learning curve than Sierra Spreadsheet trading. Thanks!

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  #2 (permalink)
Elite Member
Phoenix AZ USA
 
Futures Experience: Advanced
Platform: SierraChart
Broker/Data: TradePro/TransAct
Favorite Futures: NQ YM RTY
 
Posts: 296 since Nov 2009
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It's possible to get accurate fills with the spreadsheet study. No need to give up on Sierra Chart.

Firstly, Signal Only On Bar Close should be set to No.

Secondly, you definitely need tick data. With minute data, the price update is only happening once every minute.

As for the exact price fill, that would depend on slippage, caused by market conditions or latency.


Last edited by tomgilb; April 9th, 2014 at 11:12 AM.
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  #3 (permalink)
Trading Apprentice
Montreal, QC
 
Futures Experience: Intermediate
Platform: MultiCharts, Ensign, Sierra, IB/TWS
Favorite Futures: CL
 
Posts: 11 since Apr 2014
Thanks: 5 given, 5 received


It seems like the main problem is that I'm not able to place STP or LMT orders at a certain price in advance (Sierra admins tell me this would require an ASCIL function, which I have yet to figure out).

For example, a bar closes below Line1, so the system places BUY STP at "Line1 + 10 ticks" so then if a bar pierces that price the order would get filled. The question then is, would it get filled at the Line1+10 price or would the fill price still be limited to the High or Close of the bar that pierces my STP price (which would be unfortunate since it would mean backtesting is not possible without purchasing tick data which would be costly and likely hard on system resources).

Does anyone (1) have experience placing STP or LMT orders from a spreadsheet at a specific price (which seems to require as ASCIL function)? (2) have experience backtesting a strategy that does this, and could provide insight into whether mid-bar fills can take place?

If this isn't possible then indeed tick data would certainly be needed. Thanks again.

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  #4 (permalink)
Elite Member
Phoenix AZ USA
 
Futures Experience: Advanced
Platform: SierraChart
Broker/Data: TradePro/TransAct
Favorite Futures: NQ YM RTY
 
Posts: 296 since Nov 2009
Thanks: 125 given, 338 received

I've built many systems using Stop and Limit entries with the spreadsheet study. It is indeed possible and reliable for backtesting.

As I said, you need tick data if you want accurate entries intrabar, regardless of entry type.


Last edited by tomgilb; April 9th, 2014 at 05:53 PM.
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