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[Build 121] Subcharts - Backtesting result doesn't match between SQX and Multicharts

strategies which generated a week ago (before update?) are similar between two platform, and I tried to generated another strategies with same data set yesterday, I found it is totally different between two platform, and i have no idea what is happened.



1-Min data set file is too large, I have uploaded on Google Drive : https://drive.google.com/file/d/1PHieTWZN0mwpw8_rdNwydDgMR3c2i3rE/view?usp=sharing

Attachments
Strategy 41571.el
Strategy 41571.el
(8.59 KiB)
  • Votes +3
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

K
#1

Koiosw

16.04.2019 05:47

Task created

K
#2

Koiosw

16.04.2019 05:58

Subject changed from Backtesting result doesn't match between SQX and Multicharts to [120] [Tradestation Engine] Backtesting result doesn't match between SQX and Multicharts

RL
#3

rickliao

16.04.2019 06:13
Voted for this task.
K
#4

Koiosw

16.04.2019 06:23
Voted for this task.
MF
#5

Mark Fric

16.04.2019 07:24

Status changed from New to Waiting for information

could you attach also a few of strategies that don't match?
K
#6

Koiosw

16.04.2019 07:54

Attachment Strategy 29931.sqx added

Attachment Strategy 3983.sqx added

Attachment Strategy 18114.sqx added

These strategies also not matched.

Actually There are 500 records in my databank, I tried a lot and none of them are match, not even similar either.

Thanks.

RL
#7

rickliao

16.04.2019 11:00
Koiosw, I saw your historical data is HSI, I think SQ team doesn't know about this index futures. 

You also need to provide your settings of session hours and symbol details in MultiCharts to Mark.

K
#8

Koiosw

16.04.2019 11:01

Attachment 3Filters.cfx added

Attachment symbol.png added

Attachment session.png added

another remaining strategies have been uploaded on google drive

https://drive.google.com/file/d/1W_6gdu90AyCiimIswRlMIvn6CjOYHW0k/view?usp=sharing


also screens capture / builder config which may help also uploaded by this comment

RL
#9

rickliao

16.04.2019 11:25
I saw your bar type is forex MT4, not TS futures. Maybe it is the problem caused.


To Mark, I think Koiosw got the same bug as I reported to you twice.

K
#10

Koiosw

16.04.2019 12:09
Let me try to import dara as correct format later and regenerate strategies. see if it is the root cause.
K
#11

Koiosw

16.04.2019 13:26
Update: after i change back bar type to "tradestation, futures, ....." , strategies are still not match between SQX and MC, really huge difference

Previous: Equity chart totally different

this time: # of trades totally different

MF
#12

Mark Fric

18.04.2019 13:52

Subject changed from [120] [Tradestation Engine] Backtesting result doesn't match between SQX and Multicharts to [120] [Tradestation Engine] Subcharts - Backtesting result doesn't match between SQX and Multicharts

Status changed from Waiting for information to In progress

Attachment Reliable_testing_on_TS_MC.pdf added

we are working on support of subcharts. Single-chart strategies were verified and there are only minor problems. I attach a short guide how to properly test strategies between SQ and TS/MC.
MF
#13

Mark Fric

02.05.2019 15:27

Status changed from In progress to Fixed

this should be fixed now. All the known bugs were fixed in B121, we also added new MultiCharts engine
K
#14

Koiosw

02.05.2019 16:51
so we can try subchart strat in new version with tradestation engine?
MF
#15

Mark Fric

03.05.2019 07:16
sorry, no. Multiple subcharts were still not tested, they should be working in the next build.
b
#16

beppil

03.05.2019 11:03
Voted for this task.
Votes: +3

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