Higher backtest precision Cross check not working

After building 1000 strategies on H1 timeframe, a higher backtest precision cross check is made, but all strategies pass the test, even changing cross check spread to 300. This issue has been tested on 136.1348 (dev. 6) and on 135.868, the same happens on both.


When retesting the same strategies changing the Precision in Test parameters on the data tab to 1 minute, the cross check works ok and applies the filter conditions present on the higher precision crosscheck, but the spread in the "Cross check spread" setting is not applied, it returns the same result with the original spread or 300 value.


When retesting changing the spread on the data tab to 300, all strategies failed.


So the Higher precision is not working as intended: First, it is necessary to change the Precision on the Data tab, and second, the Cross check spread does not work.


Please find attached a custom project made on 136 dev 6 with five tasks, each of them (except first one) process the strategies on the "Results" databank, retest them, and output the strategies in its own databank, so you can compare the results:


1. Build strategies: 1000 initial strategies.
2. Higher Precision cross check: It must return less than 1000 strats due to higher precision, but all of them pass the test.
3. Higher Precision: The same but changing the precision on the data tab. 735 strategies passed, which is the result that must be obtained on the previous task.
4. Higher Precision C. w 300 sp.: Maintaining the settings on the previous step, the "cross check spread" is modified to 300 on the crosscheck settings. The same 735 strats passed.
5. Higher Precision w 300 sp.: The "cross check spread" is returned to its original value (3), and the spread on the data tab is changed to 300. 0 strats passed, which is the result that must be obtained on the previous task.

Attachments
test_Higher Precision.cfx
(177.06 KiB)
  • Votes +2
  • Project StrategyQuant X
  • Type Bug
  • Status Refused
  • Priority Normal

History

HF
#1

Vence_Jo

10.11.2022 09:11

Task created

HF
#2

Vence_Jo

10.11.2022 09:20

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Please find attached screenshots of the output databanks for the 4 tasks (2 to 5), with passed strategies selected, except on the last one where all strategies are failed.
CG
#3

Chris G

10.11.2022 14:59
Voted for this task.
HF
#4

Vence_Jo

10.11.2022 17:28
Voted for this task.
TV
#5

Tomas Vanek

10.11.2022 18:03

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This is not a bug, I checked the custom project and the problem is that you are not using in the ranking option for higher backtest precision but for the main backtest. See attached screenshots. Once you use the correct setting the filtering will be work without any problem. 



TV
#6

Tomas Vanek

10.11.2022 18:03

Status changed from New to Refused

HF
#7

Vence_Jo

10.11.2022 21:03
You are right, I have missed that option in the filtering tab.


Sorry for any inconvenience and thank you for your support.

TV
#8

Tomas Vanek

10.11.2022 21:35
no problem any time ;), thank you that you are helping us with the translation ;) 

Votes: +2

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