<- Back to Tasks

Wrong MC simulation of MT4 imported results

When importing a MT4 reports, also "dummy" trades are considered as real trades in the MC simulation.



In the attached example, only the 31 trades (which are the part of portfolio which is related to the sqx simulation) should be used to project the remaining 16 (which are related to the MT4 imported data).


Instead, it seems that more than 300 trades are being simulated.


In my opinion, it would be better to filter the dummy trades directly during the import process , in order to avoid also issues when comparing strategy results in the equity charts using the trade number scale instead of the time scale.

Attachments
Immagine 2022-11-19 110201.png
Immagine 2022-11-19 110201.png
(342.39 KiB)
Immagine 2022-11-19 105740.png
Immagine 2022-11-19 105740.png
(93.13 KiB)
Immagine 2022-11-19 104206.png
Immagine 2022-11-19 104206.png
(180.15 KiB)
Prova.htm
Prova.htm
(536.79 KiB)
Prova.sqx
Prova.sqx
(16.97 KiB)
  • Votes 0
  • Project QuantAnalyzer
  • Type Bug
  • Status New
  • Priority Low

History

MS
#1

mscapin95

19.11.2022 11:27

Task created

MS
#2

mscapin95

19.11.2022 11:50
Morever, I may be wrong, but it seems that all the trades are being used for the "VERIFY" option (regardless the "dummy trades" issue described above).

I believe that for  the "VERIFY" option only trades BEFORE the reference date should be used for the MC simulation, while all past trades should be used for the "PREDICT" option only.

Moreover, for the "PREDICT" option it should be possible to chose the number of future trades to predict (if there is a way to configure this I did not find it)

MS
#3

mscapin95

22.11.2022 18:04

Attachment Immagine 2022-11-22 175413.png added

Attachment M15 - EURUSDWF Matrix - Strategy 23119.sqx added

Immagine 2022-11-22 175413.png
Immagine 2022-11-22 175413.png
(667.80 KiB)
M15 - EURUSDWF Matrix - Strategy 23119.sqx
M15 - EURUSDWF Matrix - Strategy 23119.sqx
(19.77 KiB)
Here is the MC simulation related to a simple M15 strategy that places a Buy/Sell Stop at every bar and then replaces it with  new one at the following bar (just 1 year of data are then 35000 pending orders, most of them never executed ..).

This pending orders are loaded by QA, and then simulated as real trades :-(

BtW,  QA gets hung in the process and you have to kill and restart it

All pending orders should be filtered in the import process.

MS
#4

mscapin95

23.11.2022 10:54
Tomas Matejka has provided an effective solution to filter the pending orders, even though in my opinion having the option to filter them duting the loading process would be even better.

Nevertheless, the problems of considering all trades for the "VERIFY" option still remains.

In fact, the main use of this option should be to check if the live results are consistent with the past simulated results, and of course this is not possible if also the live results themselves are used for the simulation!

Votes: 0

Drop files to upload

or

choose files

Max size: 5MB

Not allowed: exe, msi, application, reg, php, js, htaccess, htpasswd, gitignore

...
Wait please