Money Management Simulator Fixed Risk $ Amount sim does not work

Hi Tamas

The Fixed Amount setting in Money Management Simulator doesn't work. 



I've attached 4 screenshots that show the MM simulator doesn't work, but unfortunately cannot attach the strategy file itself as this is over 5mb in size. Please extend the Max Size for file uploads so that I can upload the SQX file itself.


Screenshot details:

  1. Fixed Amount SQX Strat Details - shows the details for the strategy clearly using $100 Fixed Risk $ Amount
  2. Fixed Amount original trades - clearly shows variable lot sizes that fall in line with ATR SL settings in strategy config with $100 Fixed Risk $ Amount
  3. Fixed amount MM settings - shows the settings I'm using in QA4.7 to match the exact same settings as the SQX strategy settings I used to create the strategy (only difference is max lots)
  4. Fixed amount MM fail - shows the QA4.7 MM results not working correctly and using the "Lots if no MM" setting for every trade instead of reflecting the results in the "Fixed Amount original trades" screenshot with the exact same $100 Fixed Risk Amount setting the original strategy was built on
Attachments
Fixed amount MM settings.png
(497.31 KiB)
Fixed Amount SQX Strat Details.png
(250.90 KiB)
Fixed Amount original trades.png
(697.61 KiB)
Strat file size.png
(5.85 KiB)
Fixed amount MM fail.png
(750.66 KiB)
  • Votes +1
  • Project QuantAnalyzer
  • Type Bug
  • Status Fixed
  • Priority Low

History

JK
#1

Insanity82007

14.02.2020 11:38

Task created

JK
#2

Insanity82007

14.02.2020 11:45
If for some reason QA4 doesn't read the original fixed amount setting, this could be added as a variable to input manually, which will then adjust the fixed lot sizes in the trading results as a ratio e.g. have an input variable for original fixed amount = $100 and variable for desired fixed amount = $50, then simply multiply each fixed trading result and lot size by 0.5.


I know I'm going into solution, but that's my nature as a Technical BA :-)

TT
#3

Tamas

14.02.2020 13:13
Can you please share the strategy via wetransfer.com

My email is tamas.takacs11@gmail.com


JK
#4

Insanity82007

14.02.2020 13:31
Hi Tamas, I've shared the strategy. Thanks :)
JK
#5

Insanity82007

15.02.2020 00:21
Voted for this task.
MF
#6

Mark Fric

17.02.2020 09:59

Status changed from New to Fixed

the problem was in WF simulation in SQ X. We don't copy all the order fields to the simulation results to save memory - because there can be hundreds of thousands of simulaiton orders for a single strategy.


But StopLoss is potentially important, so I added it there to be copied.


This will be working in the new SQ Build 127. So this is not related to QuantAnalyzer, it is a fix for SQ.

JK
#7

Insanity82007

17.02.2020 10:21
Hi Mark,


Is there a script that can be made in the mean time to allow a ratio adjustment to order volumes for each trade in a simple strategy with a rounddown or roundup option? 


For example if 3 orders in a strategy are 0.02, 0.05, 0.04 lots and the order quantity decimal place setting is 2 and a 50% or 0.5x ratio adjustment is applied, this will make the orders with the rounddown option 0.01, 0.02 and 0.02 and the roundup option 0.01, 0.03 and 0.02.


Votes: +1

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