[119] [Tradestation engine] Backtest results in these strategies are very different between SQX and MultiCharts
Some of them are even no results in MultiCharts.
If I find other problematic strategies, I would add them in this task.
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Votes +4
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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
rickliao
04.02.2019 05:15Attachment Strategy 010336.sqx added
Attachment Strategy 018579.sqx added
Attachment Strategy 038385.sqx added
Attachment CFFEXIF 0000 20 Minutes.txt added
Attachment IF_M20_Market_LE_Build.cfx added
rickliao
04.02.2019 05:58Attachment Session_SQ.jpg added
cjl
04.02.2019 18:24https://roadmap.strategyquant.com/tasks/sq4_4097
rickliao
06.02.2019 21:18Attachment Fuzzy_Logic.cfx added
Attachment Strategy 017512.sqx added
Attachment Strategy 033050.sqx added
Attachment Strategy 088557.sqx added
Attachment Strategy 0150863.sqx added
Attachment Strategy 0151408.sqx added
Attachment Strategy 0185326.sqx added
I just tried to run Builder with setting of fuzzy logic, and then generated 6 strategies.
However, they were all problematic, backtest results are very different from MultiCharts.
rickliao
07.02.2019 09:41Attachment Build_Trend_following.cfx added
Attachment Strategy 0103704.sqx added
Mark Fric
20.02.2019 10:34There are still some strategies that don't work, we'll review and test them for the next build.
rickliao
01.03.2019 18:47Attachment Build.cfx added
Attachment Strategy 027716.sqx added
Attachment Strategy 050415.sqx added
Attachment Strategy 054323.sqx added
Attachment Strategy 0128765.sqx added
Attachment Strategy 0175571.sqx added
Tradestation engine is MUCH WORSE than Build 118.
I just tired to generated 5 strategies by Build 119, however; backtest results are ALL totally different from MultiCharts.
In Build 118, I think roughly generated about 70% of strategies’ backtest results are close to MultiCharts, but 119 is 0%.
rickliao
02.03.2019 02:29Attachment IF_M20_Market_Swing_Y_Build.cfx added
Attachment Strategy 015131.sqx added
Attachment Strategy 020110.sqx added
Attachment Strategy 029051.sqx added
Attachment Strategy 029788.sqx added
Attachment Strategy 030250.sqx added
Attachment Strategy 034562.sqx added
Attachment Strategy 048379.sqx added
Attachment Strategy 070794.sqx added
Attachment Strategy 074549.sqx added
To Mark,
Build 119 makes strategies much worse than Build 118.
I have generated a lot of strategies by Build119, but NO ONE qualified.
I only attached few strategies for your investigation, you can try to generate randomly at your end. You will know none of strategy is qualified.
P.S. Please don't use Build.cfx and strategies of #12 post, because I found a bug that Bar type has been changed by itself from TS to MT after updating B119.
I use Bar type of TS for generating these strategies as attachments, please test them. Thanks.
Mark Fric
05.03.2019 09:54It seems the problems are caused by this.
rickliao
05.03.2019 10:23Attachment MC_Symbol_settings.jpg added
https://drive.google.com/file/d/1sVcGcSIkd7fTZnNwardgvbKba8fhCYp6/view?usp=sharing
If you need any further information, please let me know.
rickliao
05.03.2019 12:39It's weird, I have no idea what caused the problems the other day. I tested it for 2 days, and problems were still there.
Maybe Bar type has been changed from TS/MC to MT by itself at that time, and I didn't notice it.
Sorry for getting you wrong.
rickliao
06.03.2019 08:54To Mark,
You can close this task, because I have been testing another futures symbol, and still generating few problematic strategies.
I think Tradestation engine is currently better than B118. I will report issues to a new task to you.
Mark Fric
14.03.2019 10:14Status changed from New to Fixed
I'll look now at the other reported tradestation/MultiCharts issues.
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