【SQX 136Final】An unanticipated trade when retesting on different data range

        This strategy was normal when I retreated on the full sample for the first time, but when I selected the data range outside the sample, that is, from January 1, 2022, there was an unexpected trade record.This resulted in a completely different outcome for the 2022 earnings.I carried out a backtest on Multicharts, and the backtest results of the two data ranges were the same, and there was no record of this trade which is entry in 13:45 Jan 6 2022. I will send the data file to your supporting mailbox by email.

        By the way, indicator SQ_Barrange don't show in trade on chart, ATR in chart is SQ_ATR(22)[2] in code?After my calculation, the ATR value on the chart is inconsistent with the calculated value of the ATR(22)[2] in the code.I guess that's where the problem occur(SQ_BarRange[1]<(SQ_ATR(22)[2] * 0.4));
       The place marked in red cannot be dragged , so cannot be seen indicator clearly.

Attachments
retest-20191206-20230120.jpg
(1.05 MiB)
WF Matrix - Strategy 22167.sqx
(23.87 KiB)
trades on chart.jpg
(946.41 KiB)
retest-20220101-20230120.jpg
(936.99 KiB)
  • Votes +3
  • Project StrategyQuant X
  • Type Bug
  • Status New
  • Priority Normal

History

b
#1

binhsir

29.01.2023 09:53

Task created

E
#2

Emmanuel

30.01.2023 09:48
Voted for this task.
KB
#3

kbtech

31.01.2023 00:05
Voted for this task.
TM
#4

tmatejka.

10.02.2023 09:07

Attachment QCZCESA HOT-Minute-Trade.zip added

QCZCESA HOT-Minute-Trade.zip
(2.23 MiB)
find the data attached
b
#5

binhsir

10.03.2023 12:22
Voted for this task.
b
#6

binhsir

10.03.2023 12:28

Attachment data from 20220101.jpg added

Attachment data from 20220104.jpg added

data from 20220101.jpg
(507.36 KiB)
data from 20220104.jpg
(502.88 KiB)
I tested with the 137DV3 version and the issue was not resolved   As you can see in the attachment,  This problem will only occur when the testing data from January 1 to January 4, 2022. Once the data starts on December 31, 2021, or January 5, 2022, the test result is correct. I analyzed the reason, and the reason for the extra trade was that the calculation of ATR(22)[2] was very different in two cases.

By the way, from January 1 to January 3 every year, which is a holiday, there is no data.  So please reopen the task 

b
#7

binhsir

16.03.2023 14:52
I test in 137DEV4, the issue was not fixed too
TT
#8

Tamas

16.03.2023 15:19

Status changed from Fixed to New


Votes: +3

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