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Backtesting
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Backtesting

  #1 (permalink)
Elite Member
OMAHA ne
 
Futures Experience: Intermediate
Platform: T4
Favorite Futures: cl
 
Posts: 3 since Mar 2017
Thanks: 0 given, 0 received

Backtesting

So I'm new to a lot of this but not new to trading. I've been working on some new strategies and would like to figure out how to back test easier. My standard back test is pulling data into excel and writing a formula for conditions then manually going through and looking at entries and exits. Takes forever and is really only useful for long term time frames (not day trades). I'm moving into more day trading but need to backtest potential strategies. I trade off T4 but also have access to TOS and Sierra. I know you can back test with Sierra but it's a total mystery to me on how to do it. I'm not a coder but am willing to learn. One strategy I want to test is; using tick range bars enter after 2 or 3 bars in one direction while also using an RSI number as a secondary entry criteria. Exit with a limit or a trailing stop at 1/2 of the limit i.e. 20 tick limit and 10 tick trailing stop. Can anybody give me any ideas on how to get started with back testing on this? Thanks so much.


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  #2 (permalink)
Elite Member
Phoenix AZ USA
 
Futures Experience: Advanced
Platform: SierraChart
Broker/Data: TradePro/TransAct
Favorite Futures: NQ YM ES
 
Posts: 288 since Nov 2009
Thanks: 124 given, 321 received

With your excel experience, the logical choice would be to use the Spreadsheet System for Trading study.
You write excel-compatible formulas in cells K3 and M3, referencing study outputs in columns AA and above. This is the very basic simplistic idea, but complex systems can be created.

You then use the Attached Orders function of the Trade Window for targets and stops. This is the easiest way.

For backtesting, there are 3 choices, at these menu locations, each with their advantages/disadvantages:
Trade >> AutoTrade System Bar Based BackTest
Trade >> AutoTrade System Replay BackTest
Chart >> Replay Chart

Search the Sierra documentation for spreadsheets, Attached Orders, back testing. Lots to read, but comprehensive.

Or ask more questions here.

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  #3 (permalink)
Elite Member
OMAHA ne
 
Futures Experience: Intermediate
Platform: T4
Favorite Futures: cl
 
Posts: 3 since Mar 2017
Thanks: 0 given, 0 received


Ok cool, I've looked at the spreadsheet system in SC a little but not in depth, I'll dig into it more and see what I can figure out. Thanks for the info!


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