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[118] [Tradestation engine] "No symmetry" doesn't work in Builder

My setting is "Both (Long and Short)", but Builder always generates strategies either only Long or only Short, not both.






Attachments
IF_M20_Market_ExitOnFriday_N_Build.cfx
IF_M20_Market_ExitOnFriday_N_Build.cfx
(23.84 KiB)
CFFEXIF 0000 20 Minutes.txt
CFFEXIF 0000 20 Minutes.txt
(1.31 MiB)
2019-02-02 030418.jpg
2019-02-02 030418.jpg
(25.20 KiB)
  • Votes +4
  • Project StrategyQuant X
  • Type Bug
  • Status Refused
  • Priority Normal

History

RL
#1

rickliao

01.02.2019 20:11

Task created

RL
#2

rickliao

01.02.2019 20:23

Attachment Strategy 0239596.sqx added

KL
#3

kainc301

02.02.2019 01:39
Voted for this task.
cj
#4

cjl

02.02.2019 07:55
Voted for this task.
RL
#5

rickliao

02.02.2019 09:22
Voted for this task.
g
#6

geektrader

03.02.2019 22:35
Enable Entry Symmetry and Exit Symmetry. Otherwise chances are extremely high that it only finds strategies that trade one direction in the way you are experiencing it right now.
RL
#7

rickliao

04.02.2019 04:27
I don't think it is correct. If I choose "Only Long" or "Only Short" option, I can get strategies that trade one direction.

But "Both (Long and Short)" option, it should be both directions; otherwise this option would be not functional.


g
#8

geektrader

08.02.2019 03:07
Again, if you don´t enable Entry Symmetry, it is normal for it to find LONG only and SHORT only strategies all the time, as those are easier to find than strategies that have a symmetric signal that works in BOTH directions. Why not just try enabling the symmetry options - then you´ll see that this works correct (I am also generating strategies that way and it´s not a bug if you run it like that).
RL
#9

rickliao

08.02.2019 06:14
My understanding: To enable "Both(Long and Short) with Entry and Exit Symmetry, if strategy has 1 long position,  it would flat 1 long and fill 1 short at the same time, same bar.

The same condition, if strategy has 1 short position,  it would flat 1 short and fill 1 long at the same time, same bar.


To enable "Both(Long and Short) without Entry and Exit Symmetry, if strategy has 1 long position,  it would only flat 1 long and then no position at the bar.

The same condition, if strategy has 1 short position,  it would flat 1 short and then no position at the bar.


If I want to generate strategies with only long or only short, there are options for "Only Long" and "Only Short" that I can choose. I don't need to choose "Both" option.

3 options of Both, Only Long and Only Short, they are supposed to work different way.


I'm not sure if my understanding is as same as SQX, but current functionality doesn't work this way.


MF
#10

Mark Fric

13.06.2019 13:30

Status changed from New to Refused

this is a misunderstanding. Entry / Exit symmetry has nothing to do how strategy actually trades. It tells SQ how it should generate the strategy:

- if it should have both Long and Short rules

- if the Long and Short rules are symmetric to each other logically


It can happen that srategy with symmetric rules will not have any Long or any short orders, because the responsible rules is never triggered.


If you want to configure strategy to revert orders from Long to Short or from Short to Long you can choose "Enter/reverse at Market" order type in Settings -> Building blocks.

Standard "Enter at market" doesn't reverse the trade when there is a signal to opposite direction.


li
#11

isaac

05.06.2021 08:06
Voted for this task.
Votes: +4

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