SQX 137 New dev Build, Stockpicker - 0 time trades skipped, important bug

Hi, 


I'm testing the new SQX Dev version 20230912 and see HUGE differences in stockpickers strategies results compared to the official 137 version.


Please see the screens:

  • 137 official 

vs.

  • 137 Dev 20230912

The same strategy, the same settings.


BTW:

  • The strategy is not using SL.
  • The strategy is using Limit order.
  • I removed and updated all data today (I know you made some changes). Then I'm sure it is not a data issue.
  • I tested this strategy carefully in real trading in AC vs. SQX 137 official and the results were positive.


What is the first bug I found in the new build:


New SQX is skipping trades when they are closed on the same day (time in trade 0 in SQX Official -> screens trade lists). 


The strategy is using the Exit by C[0]>H[1] formula. It is working fine in reality (see screen Algocloud). I tested many examples of 0-duration trades with the same results.


Conclusion the new SQX Dev version is not saving in tradelist 0 duration trades at all. They exist in reality and are mostly positive in this strategy, then it affects the results of the strategy.


PS. In this strategy example, 0 duration cases are responsible for 70% of all differences in Total Profit between the official and Dev version. It means there is another difference between engines I don't know/understand. If yes, please describe in more detail what has changed in Limit orders in the Dev version to know what I need to look at.

Best regards,

Michal

Attachments
Algocloud - ANSS.png
(216.52 KiB)
ANSS Trade on chart.png
(361.23 KiB)
137 Dev.png
(222.36 KiB)
137 Official.png
(209.52 KiB)
Tradelist 137 Official.png
(754.65 KiB)
Tradelist 137 Dev.png
(807.05 KiB)
Tradelist 137 Dev_ANSS.png
(812.82 KiB)
  • Votes +1
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

m
#1

Michal

19.09.2023 17:40

Task created

E
#2

Emmanuel

20.09.2023 14:52
Voted for this task.
TT
#3

Tamas

25.09.2023 09:29

Status changed from New to Fixed

Hello Michal,


That was my fault. I didn't run automatic tests to verify the backtests before I sent you the dev version.

Based on your request, we have also re-enabled portfolio creation for stockpicker strategies.


Here is a link to the fixed version

https://cdn.strategyquant.com/install/sq/138/SQX_138_final_win_20230925.zip


Sincerely,

Tamas


Votes: +1

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