Backtest totally different (again...)

I have backtested the strategy over my mt4 and it result totally different, by nuber of trade and by equity...
I attach the screen of the strategy on SQ4 RC5, screen of my mt4, also i attach the strategy sq4 file and the configuration.
By the way all generated and tested in dukascopy EURUSD data.
Please fix it as soon as possible, this is the main problem, the difference between SQ4 and the our broker platform...
Attachments
Strategy 015693.sq4
(27.15 KiB)
mt4 total different.png
(89.17 KiB)
different backtest.png
(184.48 KiB)
Build_wrong_backtest.xml
(99.14 KiB)
  • Votes 0
  • Project StrategyQuant X
  • Type Bug
  • Status Refused
  • Priority Normal

History

r
#1

RNG

11.07.2018 08:06

Task created

r
#2

RNG

11.07.2018 08:10
if it can help i used a custom session time, made it in this way, all the day from Moonday to Friday, the hours between 8 a.m to 10 p.m.
MF
#3

Mark Fric

11.07.2018 11:24

Status changed from New to Waiting for information

backtests between SQ4 and MT4 match 100% in my tests, both with and without limiting time range.


By custom session do you mean Limit time range from 8-22 ?

As I said, I tested it also with this setting and it matches 100%.


So I'd say the problem is probably in different settings between MT4 and SQ4.


Please make sure that you use the same data, you use real ticks in SQ4 and your trading options are set the same.


Can you perhaps attach also MT4 result .htm file, not just image?

r
#4

RNG

11.07.2018 14:27

Attachment StrategyTester.gif added

Attachment StrategyTester.htm added

Here it is, by the way is too weird because also if you will use different data it will change too much from SQ, i can understand some little difference, i understand also some period very different, but here is totally different, so this means that if you use dukascopy data to generate strategy you should use dukascopy broker to execute in live? otherwise it change totally? Now i'm very confused...
MF
#5

Mark Fric

11.07.2018 16:42

Status changed from Waiting for information to Refused

I think I understand one possible reason for difference.


You test it in MT4 with broker that has different time zone than Ducascopy.

It might not be a problem if you didn't limit trading to hours from 8-22.


But it seems your broker timezone is +2 hours from Dukascopy, so it means that 8 hours set in SQ4 mean 10 hours in your broker.

So when you test your strategy in MT4 you should modify the range from 10-24.

Otherwise you'll miss trades hat were opened between 8-10 and it could lead to totally different results.


Or try to run both test swithout limiting time range and check if the results are similar.


This strategy is not very good, it uses extreme values to look back when checking rising/falling conditions. This problem in strategy generation will be fixed in RC6.



> if you use dukascopy data to generate strategy you should use dukascopy broker to execute in live?


not necessarily, ideally the strategy should perform similarly with data from different brokers - that is one sign that it is robust.


But as you see if you start using some time conditions in your strategies you can run into problems with different timezones.





TV
#6

Tomas Vanek

11.07.2018 17:06

Attachment BT_STR.png added

The problem could be also, tick data modeling, I made actual backtest on tick data by plugin Tick Data Suite with UTC+2 timezone and here is mine result

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