SQX Netprofit is totally different from Multicharts.

SQX Netprofit is totally different from Multicharts.



I used 1 minute resolution of historical data for building 30 minute timeframe for futures.

Please see my settings as attached pictures.



Since I am unable to upload historical data which I use;  if you need it, please let me know where I can send.




Attachments
Strategy 0311.el
(6.11 KiB)
SQX_3.jpg
(38.06 KiB)
MC_report.jpg
(124.38 KiB)
SQX_4.jpg
(74.66 KiB)
SQX_8.jpg
(41.85 KiB)
SQX_6.jpg
(59.60 KiB)
SQX_1.jpg
(45.84 KiB)
SQX_2.jpg
(43.75 KiB)
SQX_0.jpg
(146.78 KiB)
  • Votes +6
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

MF
#1

Mark Fric

18.10.2018 08:18

Status changed from New to Waiting for information

can you please attach also original strategy in .sqx format? Just EL code is not enough, I cannot retest it in SQ.
RL
#2

rickliao

18.10.2018 15:49

Attachment Samples.rar added

Attachment ICETWFFITXHOT 30 Minutes.rar added

Thanks for paying attention on this issue.

I didn't save that strategy, so I made a new sample.

I have uploaded information of .sqx , .el, .xml files and screen shots of my setting for MultiCharts12. As well as the historical data of futures which I use.


If you need further information, please let me know.

RL
#3

rickliao

20.10.2018 07:14
Voted for this task.
MF
#4

Mark Fric

25.10.2018 11:28
I checked it but I wasn't able to resolve it completely. What I found is a problem in your strategy - almost all your conditions use an extreme values of Shift - like 300 or 400. It means that they are looking 300 or 400 bars back for some indicator value.


This kind of rules don't make much sense, I believe it is a configuration error and you don't want to produce this kind of strategies. 

If you'll attach your build config from SQ X I can look at  it and tell you where you have it wrong.

RL
#5

rickliao

25.10.2018 12:11
Hi Mark, Thanks for your testing, I just randomly picked up a strategy to send here.

I will try more strategies for MultiCharts.

Once I find any big difference of backtest between SQX and MultiCharts, I will send related information here again.


It seems TS/MC of backtest is still incorrect. 

If you could also test more strategies in your end to make TS/MC as good as MT in SQX, that would be great to futures traders.



RL
#6

rickliao

28.10.2018 05:14

Attachment IF_Build.cfx added

Attachment IF_Retest.cfx added

Attachment MC_report.jpg added

Attachment SQ_report.jpg added

Attachment Strategy 04587467.sqx added

Attachment CFFEXIF HOT M15.txt added

Hi Mark, the backtest result of this strategy is still completely different from MultiCharts.

I also attached build config from SQX. Please point out what's wrong with my settings and how to do right settings. Thank you.

g
#7

geektrader

31.10.2018 09:48
Voted for this task.
e
#8

eastpeace

07.11.2018 03:17
Voted for this task.
e
#9

eastpeace

08.11.2018 03:29
I don't think that Multicharts's backtest engine is exactly same with Tradestation's.


 

e
#10

eastpeace

08.11.2018 03:57

Attachment 201811720181029Strategy 51228.sqx added

Attachment mc trades.png added

Attachment SQ trades.png added

Attachment 201811720181029Strategy 45384-sqcci.sqx added

I agree that backtest for Multicharts need be further improved.

I have some examples.


1,So many trades closing at the same bar. And in MC, the strategy have more  trades at the same bar.

There are many prompt of 'too many trades closing at the same bar' in SQ's databank. So are they valuable?

Is is possible that avoiding generating these trades in SQ building process?


And, the strategy copied into MC, show some difference with SQ's trades of chart.


2, a minor bug. SQ_CCI can't be compiled in MC and TS. There is no CCICustom function.

RL
#11

rickliao

17.11.2018 03:22

Attachment MC_report.jpg added

Attachment SQX_report.png added

Attachment Strategy 04209.sqx added

Attachment CFFEXIF HOT 15 Minutes.txt added

Provide a new sample for your investigation.

This strategy generated by Build 114 with the same .cfx file.

SQX backtest report is completely different from MultiCharts.

e
#12

eastpeace

19.11.2018 06:44

Attachment Strategy 0369538.sqx added

Attachment Strategy 01294167.sqx added

Attachment SHFErb HOT 1 hour.txt added

Yes, it's very different yet.



YT
#13

syctseng

13.12.2018 09:25
Voted for this task.
w
#14

Wesley

13.12.2018 09:27
Voted for this task.
g
#15

Gregorian

18.12.2018 17:28

Attachment Strategy 411145.sqx added

Attachment Strategy 411145 in MC.jpg added

Attachment Strategy 411145 in SQ.jpg added

Attachment Strategy 411145.el added

I would like to add my own example to this project. The attached files show an NQ M1 strategy with completely different results in SQX vs. MC. Most significant is a drastically different number of trades.


Possibly related to this: If you try to upload less-than-M1 data, for example 20 second bars, into SQX, the bar type auto changes from Tradestation to MT4 bars. You cannot change this back, because the bar type on the data symbol cannot be edited. You have to delete and re-add the symbol.

g
#16

Gregorian

18.12.2018 17:29
Voted for this task.
RL
#17

rickliao

11.01.2019 05:06
To Mark: I would like to provide information about how these commands work with Multicharts, hope it could help with improving SQX:



When SetStopLoss (as well as the other algorithmic Set* commands) is unconditional (not under an "IF" statement) - it is evaluated intra-bar (even when IOG is off or not available). SetStopLoss will be placed automatically and remain active while the position is open, without additional programming.

 

When it is under a conditional - the script is calculated on bar close and the order is sent (if the condition is met) on the opening tick of the next bar.


MF
#18

Mark Fric

23.01.2019 04:43

Status changed from Waiting for information to Fixed

most of the issues with TS/MC engine should be fixed now. I tested the attached strategies on attached data and the results match.


Support for Tradestatioon/Multicharts is still in the development, we will be adding complete tests and there still might be some issues. 


If you'll experience something please open new support task, and attach your strategy and data there.


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