AW Stockpicker Exit After Bars in Breakout Strategy - Important BUG

Hi,

During my front test, I found a bug in AW that affects the actual trading of the sample Breakout Strategy.

It is about the number of days after which AW is closing the trade in this strategy:

in SQX (and strategy conditions) it exits after 20 bars
in AW real trading it exits after 23-25 bars (in checked cases)

I suppose it can be a specific problem to this strategy Entry Type (On Bar Close) or Exit Type (On Bar Open), I have not noticed this problem in other strategies but I'm using different Entry/Exit times.

The problem occurs in AW in 100% of cases in the studied strategy but the exit period is different in different trades. Sometimes it is 3 days longer, and sometimes it is 7 days longer than in SQX (see table).

There is also Problem #2 I noticed in this case. Exit should be on Open Price instead of Close Price as in the report I get from AW.

Screens, strategy, and analysis are attached.

The analysis you see is based on two data exports (AW Trades and SQX Trades) - in separate spreadsheets/compared together.

Best regards,

Michal

Attachments

TableScreen.png

(455.83 KiB)

Chart.png

(200.65 KiB)

Breakout 20 Pure Exit after Bars 20032022.xlsx

(24.14 KiB)

Breakout20_pure.sqx

(5.25 KiB)

Strategy conditions.png

(59.36 KiB)

Votes +1
Project AlgoWizard
Type Bug
Status Fixed
Priority Normal

History

Michal

21.03.2023 10:13

Task created

Michal

21.03.2023 10:39

Small update - it should be:

"in AW real trading it exits after 23-25 bars (in checked cases)"

Bars - not equal - days obviously. In the table, I count the day's difference not the bar's difference.
I checked 2 cases manually and it was 23-25 bars in AW instead of stable 20 bars in SQX.

Emmanuel

22.03.2023 14:02

Voted for this task.

Tomas Brynda

13.04.2023 12:24

Status changed from New to Fixed

Hi Michal,

I went through logs of your strategy and there were certain days when the strategy evaluation failed (Alpaca timeout issue). Because of that, the trades' BarsInTrade attribute was not updated and therefore the trades were closed later then they should.

Since that time, the Alpaca timeout issue has been resolved so it should not happen in the future.

Best regards,

Tomas

Michal

13.04.2023 18:42

Thanks! we will check it again and let you know if any problem occure.

Votes: +1