Ambiogus bars opend and closed on weekends

I Usually remove weekend data but not for SQ4. I made a lot of strategies on USDJPY with narrow stop and target only. There was no warning for Ambigous trades because there were so many trades . Now when added Ambiguous trades I saw that out of 2000+ trades some 300 was Ambiguous.  When investigating I saw that many trades was taken and closed on weekends. I deleted the whole thingy so there is nothing to show.
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  • Votes 0
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

m
#1

mabi

11.07.2018 02:57

Task created

m
#2

mabi

11.07.2018 03:06
Now when running the same type of strategies without weekend data the average net profit seems 10 times lower. I should have saved  the .str and retested  it on no weekend data ( bummer)
m
#3

mabi

12.07.2018 02:00
I Have re-created the issue and tested 4000 strategies on data with weekends and without weekends.  All strategies takes trades during the weekends. The Ambiguous trades increase from 185 to 687 on one strategy with weekend data added.
h
#4

hankeys

12.07.2018 07:33
does anyone could answer me, what is ambiguos trade?
MF
#5

Mark Fric

12.07.2018 07:42

Status changed from New to Waiting for information

ambiguous trade is one that starts and ends at the same bar. So it is not really certain if it would reach SL or PT first in reality.


But what exactly is the point of this report? I don't see where the bug is.


If you have too many ambiguous trades then most probably your SL and PT are too small, you should increase them.

h
#6

hankeys

12.07.2018 08:36
but if am i doing 1M precision backtest on H1 TF?


and how the autofilter "too many ambiguous trade" works? - what is too many?

m
#7

mabi

12.07.2018 09:07
The point was that most of them were open and closed on weekends shouldent there be a rule saying you cant open or close a trade on a saturday . Also due to spike bars and strategies that get triggerd on a certain level that is breached ofcourse becomes Ambigous bars they seems all become 0 sec trades in trade list but i suppose that is so as long as the bar time is 1 min resolution and not tick. Allthought there is a diffrence looking at Chart data there they are usually closed on next bar which do not make them ambigous .
m
#8

mabi

12.07.2018 09:41

Attachment 1.jpg added

@ Hankeys, There is good and bad ambigous bars depends on the strategy. Best is to check them with Tick resolution. Attached is a good one.
MF
#9

Mark Fric

12.07.2018 10:19

Status changed from Waiting for information to Fixed

I improved it. There are two different automatic checks:

- one for trades that start and end at the same bar

- another for true ambiguous trades - trades where SL & PT would be hit at the same time


None of these trades ideally shouldn't be in your strategy.




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