[B137 RC1] wonky KAMA behaviour

First of all, this strat behaves similarly in MT5 vs SQX backtest from 2003-2017 right up until 2018 begins at which point the performance drastically deviates. I have zoomed in on the first trade of 2018 and you can see MT5 takes a short trade while SQX takes a long trade. You can see in the equity chart I've highlighted where the deviation begins.



Second of all, the SQX strategy behaves very differently depending on the start date but I can see no reason for this in the pseudo code plus other non KAMA strats created from this template behave just fine so I assume it's a KAMA problem. 


Most likely these two issues are related but who knows

Attachments
Strategy 42050-bugged.sqx
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Screenshot_639.png
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Screenshot_642.png
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Screenshot_641.png
(51.47 KiB)
Screenshot_640.png
(36.71 KiB)
  • Votes +2
  • Project StrategyQuant X
  • Type Bug
  • Status New
  • Priority Normal

History

b
#1

bentra

15.04.2023 23:35

Task created

b
#2

bentra

15.04.2023 23:44

Attachment Screenshot_645.png added

Attachment Screenshot_644.png added

Screenshot_644.png
(91.27 KiB)
Screenshot_645.png
(101.94 KiB)
Here are some screenshots with different start dates.
b
#3

bentra

15.04.2023 23:52
Voted for this task.
E
#4

Emmanuel

17.04.2023 10:48
Voted for this task.

Votes: +2

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