but after i click to see profit/loss by month of 2 strategies i can see totally different monthly results between correlation table and overview in QA
overview tab in SQX and QA are the same
Attachment EU_M15_SQ3Strategy 158157.sqx added
Attachment EU_M15_SQ3Strategy 158157.str added
Attachment EU_M15_SQ3Strategy 187182.sqx added
Attachment EU_M15_SQ3Strategy 187182.str added
Attachment EU_M15_SQ3Strategy 225109.sqx added
Attachment EU_M15_SQ3Strategy 225109.str added
Attachment EU_M15_SQ3Strategy 726126.sqx added
Attachment EU_M15_SQ3Strategy 726126.str added
Attachment EU_M15_SQ3Strategy 749191.sqx added
Attachment EU_M15_SQ3Strategy 749191.str added
Ok, I found the difference.
QA contains a bug in the snippets responsible for computing correlation. eg. SQ/CorrelationOf/ProfitLoss
Correlation should be computed for each orders except the ones with zero pl.
public class ProfitLoss extends CorrelationType {
@Override public void computePeriods(SQOrderList orders, TimePeriods timePeriods, int period) throws Exception { for(SQOrder order : orders) {
if(order.isCanceledOrder() && order.PL == 0) { continue; } ....
After the fix it works well and the results are same in SQX /QA .... printscreen attached