SQX 113 compare to SQ3.8.2 - Monte Carlo - Randomize Strategy Parameters - MC profile totally different

Hi Mark

Monte Carlo - 'Randomize Strategy Parameters' plot result format and Ret/DD Ratio confidence table results from SQX 113 looks completely different from same test in SQ3.8.2. See attached screenshots from both platforms for the same strategy, with same MC 'Randomize Strategy Parameters' settings:


  • Simulations: 200
  • Probability: +/-20%
  • Max Change: +/-20%

See attached screenshots from SQX 113 and SQ3.8.2. As you can see, the SQX 113 plot looks nothing like the SQ3.8.2 plot or any other MC 'Randomize Strategy Parameters' plot I have ever obtained from SQ3.2.8: usually a very random distribution of simulations (SQ3.8.2), never a mass of overlapping simulations (SQX 113)



See attached copy of test strategy file and settings files from both SQX 113 and SQ3.8.2.


It would appear that SQX 113 is simply not activating a MC 'Randomize Strategy Parameters' simulation, but some other MC simulation.



Please can you investigate what has gone wrong and hopefully rectify for SQX 114? 


Thanks
AC1962

Attachments
SQX 113 MC Random Str Parameters AC20181029.png
(161.20 KiB)
AC SQ382 20181029 MC Test.xml
(158.22 KiB)
20181027a_Strategy 144.str
(437.97 KiB)
SQ382 MC Random Str Parameters AC20181029.png
(875.42 KiB)
AC SQX 20181029 MC Test.cfx
(2.63 KiB)
  • Votes +4
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

AC
#1

AC1962

29.10.2018 19:21

Task created

AC
#2

AC1962

29.10.2018 19:26

Hi Mark

Also: for MC plots, please can you highlight the 95% confidence row to stand out, as this is generally considered the target confidence result to check/filter against.

Thanks

AC1962

AC
#3

AC1962

31.10.2018 17:58
Voted for this task.
AC
#4

AC1962

01.11.2018 16:17

Subject changed from SQX 113 compare to SQ3.8.2 - Monte Carlo - Randomize Strategy Parameters - results totally different to SQX 113 compare to SQ3.8.2 - Monte Carlo - Randomize Strategy Parameters - MC profile totally different

RL
#5

rickliao

01.11.2018 17:31
Voted for this task.
KL
#6

kainc301

12.12.2018 04:16
Voted for this task.
o
#7

Enric

10.02.2019 11:27
Voted for this task.
MF
#8

Mark Fric

10.04.2019 10:05

Status changed from New to Fixed

I found one bug, it is working now.

Votes: +4

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