109 - Problem with a custom Monte Carlo filter. My error or SQ error?

The attached strategy uses EU H1 tick data from 2003.6.4 to 2015.13.31, UTC+2, USA DST rules.

A custom filter was created comparing Average Yearly Profit from the Full sample, Direction: Both, Results: Money versus the Monte Carlo 95% percentile Drawdown.
The filter should fail if the Avegerage Yearly Profit ($671.15) is NOT >= the M.C. 95% Drawdown ($761.11).  This should be a FAIL.
It is reported in the results as PASSED.

Is the Drawdown value a -761.11? Is there another way to do this?

A feature request would be to allow the user to use basic math (+ - * /) and create slightly more elaborate filter conditions.

Thank you,
Dave
Attachments
Results.jpg
(41.26 KiB)
Retester Overview - Ave Yearly Profit.jpg
(92.63 KiB)
EU H1 - Strategy 1978_5.sq4
(487.06 KiB)
Custom Filter.jpg
(72.40 KiB)
Monte Carlo Drawdown.jpg
(59.31 KiB)
  • Votes 0
  • Project StrategyQuant X
  • Type Bug
  • Status Refused
  • Priority Normal

History

d
#1

Dave

07.09.2018 03:44

Task created

TT
#2

Tamas

07.09.2018 12:38

Status changed from New to Refused

The filter does not fail because you set incorrect backtest type "MC trades manipulation" instead of "MC retest methods."

Votes: 0

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