correlation matrix is different SQX vs QA
if i put some SQX strategies in STR format to QA and want to compute correlation matrix i am getting different results between SQX and QA
but after i click to see profit/loss by month of 2 strategies i can see totally different monthly results between correlation table and overview in QA
overview tab in SQX and QA are the same
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Votes +2
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Project StrategyQuant X
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Type Bug
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Status Fixed
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Priority Normal
History
h
h
hankeys
22.01.2019 17:35Attachment EU_M15_SQ3Strategy 158157.sqx added
Attachment EU_M15_SQ3Strategy 158157.str added
Attachment EU_M15_SQ3Strategy 187182.sqx added
Attachment EU_M15_SQ3Strategy 187182.str added
Attachment EU_M15_SQ3Strategy 225109.sqx added
Attachment EU_M15_SQ3Strategy 225109.str added
Attachment EU_M15_SQ3Strategy 726126.sqx added
Attachment EU_M15_SQ3Strategy 726126.str added
Attachment EU_M15_SQ3Strategy 749191.sqx added
Attachment EU_M15_SQ3Strategy 749191.str added
TT
TT
m
mabi
24.01.2019 09:07
Please release the updated QA. Well not only for this You have already fixed other things as well this was easily edited.
TT
JF
MG
Votes: +2
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Ok, I found the difference.
QA contains a bug in the snippets responsible for computing correlation. eg. SQ/CorrelationOf/ProfitLoss
Correlation should be computed for each orders except the ones with zero pl.
public class ProfitLoss extends CorrelationType {
@Override public void computePeriods(SQOrderList orders, TimePeriods timePeriods, int period) throws Exception { for(SQOrder order : orders) {
if(order.isCanceledOrder() && order.PL == 0) { continue; } ....
After the fix it works well and the results are same in SQX /QA .... printscreen attached