Zero duration trades

Hi,

Even if I have my automatic filter checked (zero duration trades) SQ still generates strategies that have 0 seconds in trade... (many!)

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Votes 0
Project StrategyQuant X
Type Bug
Status Refused
Priority Normal

History

Laur2000

03.12.2018 16:08

Task created

hankeys

03.12.2018 16:23

automatic filter has threshold of 10% of all trades to count the strategy as bad

Partizanas

03.12.2018 19:28

retest with higher data quality like real tick

Mark Fric

07.12.2018 08:57

Status changed from New to Refused

yes, there is a threshold, SQ will not dismiss the strategy if there are only a few such trades.

Also, it is most probably caused by too low backtesting precision. Try to test it with higher precision or better use "Retest with higher precision" cross check as a part of your generation.

Votes: 0