Mismatching results between TS and SQX

Dears, for the algo attached, the recent trades on M2K at 1440m TF are not completely matching. Sqx seems to be taken trades on the short side and they don't happen in TS - the data used in sqx comes from TS and is attached for reference.



Look for the trades on 19.09.23 and 13.12.23 in sqx, both losers - they don't exist in TS (print provided).

Attachments
M2K_M1440.csv
(189.65 KiB)
Strategy 748114.sqx
(51.92 KiB)
TS_real trades.jpg
(171.30 KiB)
sqx_res-test.jpg
(143.14 KiB)
  • Votes +1
  • Project StrategyQuant X
  • Type Bug
  • Status Confirmed
  • Priority Normal

History

RF
#1

rafael.munhoz@live.com

21.03.2024 12:47

Task created

k
#2

Karish

23.03.2024 16:35
Make sure to set your PC time to match TS's Exchange Time, then use LOCAL Time and only then export M1 data of the symbol,
make sure to use NO SESSION when exporting, you can set any session you want inside SQ,
then to match the result use the same session in TS,

TS wont export data with exchange time if exchange time is selected, but only local time.


MAKE SURE NOT TO USE ANYTHING RELATED TO "ROC" INDICATOR ITS BUGGED OUT.

Its all sync in 99% of the cases if you follow this.
RF
#3

rafael.munhoz@live.com

23.03.2024 18:14
PC time matches TS time, I never use session... I provided the date, I suggest you run on your end and check the results by yourself. 
k
#4

Karish

23.03.2024 18:38
Rafael, everything is fine and match 99% of the time exactly on my side of things,
check these things and you should be find:
• Set your PC time as the time you see on TS.
• Choose the symbol you want to export, Make sure to select LOCAL TIME rather than Exchange Time, Because TS will export the data using your PC's LOCAL TIME regardless of your choice inside TS.
• Make sure you select M1 as the Time Frame, And NO SESSION i.e choose "Regular Session".
• Export your data and import it into SQ, set your data's time frame ahead of time as "M1" not "Intraday" do not let SQ choose your timeframe for you on this step*.
• **IMPORTANT: Make sure to Un-tick everything to do with the "ROC" indicator "Pivots" & "Fibo" because they are known to be buggy, "ROC" is buggy and i reported it, the other two SQ team reported as buggy.
• I do not use Limit orders, only Market/Reversed/StopOrders.
• Make sure to Tick all the "Automatic Filters" and set them to ON so they would filter out all strategies that are problematic.

Other than that all should match TS.

From this point you can set your own Session and TimeFrame in SQ, SQ will automatically build your TimeFrame from those M1 bars and automatically Trim your Data with the selected Session,
make sure to select the same Session and TimeFrame and Symbol.. on TS when re-testing your strategies so they would match.

Good Luck.
k
#5

Karish

23.03.2024 18:44
By the looks of your Symbol you exported M1440 and not M1 as i mentioned, so that's a strong point that you are not following the instructions i mentioned here.
i took some time to explain you the points above, follow them if you want to see matching results and save yourself time and frustrations.
RF
#6

rafael.munhoz@live.com

23.03.2024 20:00

Attachment performance_report_TS.jpg added

Attachment new_sqx_run.jpg added

Attachment new_export_m1.jpg added

performance_report_TS.jpg
(125.51 KiB)
new_export_m1.jpg
(215.76 KiB)
new_sqx_run.jpg
(260.50 KiB)
Thanks Karish - sorry for not using the M1. But everyone that I know that uses TS data in sqx says to NOT make use of the TF scaling function in sqx, since that's a source of mismatching errors with TS later. In the past I used to do sqx mining using the scaling TF function, way faster than having to upload data for every TF, but after so many mismatching algos (and lost time) a was oriented to use only TS data on the TF to be mined - and then most of the mismatching results were gone. 


And yes, I exported M1440 from TS, mined the algo in sqx on M1440 using the same exported TS data, then uploaded the algo into a TS 1440m chart - and got the mismatch. I have mined and went live with hundreds of algos using this process - minor variances are ok and may happen, but clearly skipping trades like this one is unusual.


I just took the time to do exactly what you said - exported data from TS using M1, local time, and as I stated before, my PC time matches TS time. Uploaded the data into sqx and re-ran the algo scaling the M1 data into M1440 - I added a print with the first algo using the M1440/M1440 data and the second using the M1/M1440 as per recommendation. The result speaks for itself - it's not the same algo anymore. Then I added the algo again to a TS chart using M1440 as TF, and you can see the perfomance report. Not even close to what we get using M1/M1440.


So - any other recommendation?

k
#7

Karish

23.03.2024 20:11
I did not experienced any problem when using "SQX's TimeFrame scaling",
Maybe you are talking about a few older builds ago, SQX probably fixed these issues with the latest builds and didn't updated the users on the specifics, but i can confirm its working as it should.


Check this Discord Guide i created just because of your problem,
this would have to fix all of your problems in this subject:

https://discord.com/channels/426766614734831616/1221153070294241347




if you are still not in the discord server here is a link so you can join:

https://discord.gg/vCeWkDc6tF





RF
#8

rafael.munhoz@live.com

23.03.2024 20:25
Instead of all this back and forth, why don't you download the data from TS as you're suggesting, run the algo I provided here, take prints between you sqx run and TS matching - paste here for me. Then i will know and agree that I'm doing something wrong on my end. 
k
#9

Karish

23.03.2024 20:34
Thats kinda rude..,
thing is you didnt build you're environment correctly hence you're strategy is a false product of a false environment, there's no point to re-test it.
RF
#10

rafael.munhoz@live.com

24.03.2024 11:58
boy... at this point I hope you don't work for this company... because  if you do and this is the support level users can expect, it seems it won't be around for very long. 



k
#11

Karish

24.03.2024 22:46
I'm not working for SQ, Not working for no one actually for a long time already,
just tried to help, but it looks like it wasn't very fulfilling, i guess not people are appropriating that,
oh well.. at least there is a detailed guide on this subject now, that others could appropriate, thanks for motivating me to do so, others would benefit.
MF
#12

Mark Fric

3 days ago

Status changed from New to Confirmed

I'm able to reproduce this issue, I'll look deeper why it differs.
RF
#13

rafael.munhoz@live.com

3 days ago
Voted for this task.
RF
#14

rafael.munhoz@live.com

3 days ago
thanks Mark - much appreciatted. 

Votes: +1

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