Backtest Signals Guide

Contents:

Cheat Sheet Table For Sierra Chart Backtesting
Key Concepts for Spreadsheet Backtesting
Prepare Charts and Studies
Create Buy/Sell Signals
Run The Backtest
◀️Previous Module: @Backtesting Introduction
▶️Next Module: @Export Bar and Study Data

Follow Along a Backtest Using Provided Chartbooks

Prepare a Chart, Create a Signal, then Run a Backtest

For additional information on Auto Trading signals CLICK HERE.

Backtesting Cheat Sheet:

Prepare chart(s) for backtesting
Formulas in the Buy K3/Sell M3 cells
Disconnect data feed then run Autotrade Replay Backtest

Cheat Sheet Table For Sierra Chart Backtesting

	ACSIL	Just Spreadsheet For Trading Study	Spreadsheet Auto + Trade Management by Study	Spreadsheet + Trade Order Config	Combination of Previous Options
Controlled By	Compiled Study	Spreadsheet K-N cells. J22-J25	Spreadsheet K-N cells, Trade Management by Study study	Spreadsheet K-N, Trade Config (OCO)	Spreadsheets, studies, Trade Config
Limitations	Requires C++/ACSIL understanding	Resting order modification challenges	1 second OR 1 bar close refresh
Performance	Extremely Fast, Highly Reliable	Normal	Normal	Normal	Normal
Description	Best choice in most cases	All conditions, order quantities, and orders managed through spreadsheet	Same as prior, but uses Trade Management by Study study to move orders	Trading operations handled by spreadsheet, order management via Trade Order Config.	Combine various methods to backtest or autotrade in Sierra Chart

Key Concepts for Spreadsheet Backtesting

Basics:

Buy and Sell logic in cell K3, and N3. 1 is true 0 is false
The latest data is row 3, and when the bar forms it is sent to the row below, along with every other loaded row of data
Spaces don’t matter in formulas and they will not cause syntax errors
In the list of studies for a chart, the Spreadsheet System for Trading should be moved to the bottom of the studies list
Use the absolute least amount of Number of Rows as possible, under study settings for the spreadsheet

Become familiarized with key columns and cells:

J Column relates to key spreadsheet and chart values, mixed between user defined and read-only
All columns beyond Z be default are for studies. It is possible to modify the amount of formula columns
There are static cells and main spreadsheet formula cells. It’s possible to use static cells in H or J column in other cells and references

Understand referencing of studies and rows:

Using absolute references. In case of referencing static stationary cells (J Column) from formula cells, simply add “$” between the name and number of the cell. Example: Instead of J8 cell we use the absolute reference of $J$8.
The first study that is added to a chart containing a spreadsheet will be the AA column. The current data is row 3, so the latest value for that study is in cell AA3. Instead of referencing to that cell as AA3, we’ll identify by study name + row, for a more fluid sheet: ID1.SG1@3.
ID1.SG1@3 means: ID1 = study ID, SG1 is sub graph 1, @3 means row 3 (the latest data)
Example in a formula:

=IF(ID1.SG1@3 > 1000,1,0)
# This logic returns 1 if latest value of ID1.SG1 is greater than 1000.

To refer to previous rows (bars), and also a range:

# This logic returns true when the current and last bar study value is > 1000
=AND(ID1.SG1@3 > 1000, ID1.SG1@4 > 1000)

# For a range, can try this
=AND(MIN(ID1.SG1@3:ID1.SG1@12) > 1000)

Prepare Charts and Studies

CRITICAL:

Title Bar: Trade > Auto Trading Enabled - Global
Disconnect from data feed when running backtest
Chart Settings > Trading menu > Always Simulate Bid and Ask Prices During Replay: Yes

‣

Click Arrow to See Example of Simulate Bid and Ask Prices

Open the chart to be backtested, ensure data on startup has finished downloading, and the desired studies have been applied (example: moving average 1 and moving average 2)
Title Bar : Analysis > Studies > Spreadsheet System for Trading > Add

If no backtest trading is desired, and user only wants to view or export signals, then use the Spreadsheet System/Alert study instead

With the Spreadsheet study selected hit Settings from the Chart Studies window
Configure Input Values as needed, and under Spreadsheet Name give the sheet any name before pressing OK. These settings vary vastly between traders, to see an example expand the arrow below:

‣

Close the Chart Studies window

Other settings within the Title Bar: Chart Settings window to consider changing:

Data Limiting Tab

Days to Load for Intraday Chart Type: [Desired days to backtest]

Symbol Tab

Continuous Contract: Continuous Futures Contract - [User rollover of choice, volume or date based]

Create Buy/Sell Signals

This example creates a BUY when price is greater than EXAMPLE STUDY 1 and SELL when below EXAMPLE STUDY 2. When conditions of the AND formula occur, the value turns to TRUE (or 1).

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Spreadsheet Legend:

Current Row: Row 3 is main row for formulas that automatically copy logic to cells below

Buy Column: Cell K3

Sell Column: Cell M3

EXAMPLE STUDY 1: As ID1.SG1 Cell AA3 of spreadsheet

EXAMPLE STUDY 2: As ID2.SG1 Cell AB3 of spreadsheet

Last : Last traded price of most recent row. ID0.SG4 = Cell E3 of spreadsheet

Spreadsheet: The Spreadsheet created from steps above for Alerts

Usually using 1 or more studies a signal is derived. To begin:

Add any studies to be used for signals (Example: Moving Average 5, Moving Average 21)
Open the recently created Spreadsheet from the above steps

In cell K3, click to edit cell and create a BUY signal:

	=AND(ID0.SG4@3 > ID1.SG1@3 , ID0.SG4@3 < ID2.SG1@3)

# ID0 IS THE ID OF STUDY, SG4 IS SUBGRAPH 4, @3 IS THIRD (CURRENT) ROW. ID0.SG4@3.

In cell M3, click to edit the cell and create a SELL signal:

=AND(ID0.SG4@3 < ID1.SG1@3,ID0.SG4@3 > ID2.SG1@3)

When either of these conditions are TRUE, the cell will return a 1. This triggers a buy or sell signal.

To back test simulated trades using these signals, proceed to the next step.

Run The Backtest

Initial Preparation:

Trading is UNLOCKED
Configure the Trade Order Window. Stop loss and targets if desired. Attached orders are checked. More info on the Trade Window HERE
DISCONNECT from the data feed (Title Bar: File > Disconnect)

After the steps above have been followed it’s time to run a backtest:

Title Bar: Trade > AutoTrade System Replay Backtest
Replay Window pops up, change the settings:

Charts To Replay: All Charts in Chartbook
Replay Mode: Accurate Trading System Back Test
Speed: Try 10 or less, for very basic signals can try 100000
Set Date to desired date and time

Press Play

Results can be found:

Title Bar: Trade > Trade Activity Log > Statistics menu

Note: For a full walkthrough of auto trading in Sierra Chart CLICK HERE

◀️Previous Module:
⌛
Backtesting Introduction

▶️Next Module:
⌛
Export Bar and Study Data

Back To Handbook Home

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