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Retesting with High resolution produce totally different results

I have been heavily testing the platform with update v1.20. there are huge discrepancies between SQX fast test and 1-minute precision test and TradeStation test.

I imported 1 minute CL (24-hour session) data from TradeStation.

I generated 50 strategies on CL M15 (1-minute data resolution)
  • I retest the strategies on a full date
  • retest the strategies using cross check (but same timeframe M15), I get different results
  • retest the strategies using cross check with 1-minute high resolution (spread 0 and 3), I get huge differences
  • retest TradeStation strategy code with same timeframe and commission/slippage and I get totally different results
  • all the above are in the PDF file
  • all strategies are in the zip file, so you can try it yourself.
Attachments
SQN CL strategy performance comparison.pdf
SQN CL strategy performance comparison.pdf
(1.47 MiB)
CL Cross Check Strategies.zip
CL Cross Check Strategies.zip
(6.62 MiB)
  • Votes +5
  • Project StrategyQuant X
  • Type Bug
  • Status Refused
  • Priority Normal

History

ac
#1

statoasis

17.04.2019 19:39

Task created

RL
#2

rickliao

18.04.2019 03:22
Voted for this task.
KL
#3

kainc301

08.08.2019 18:40
Voted for this task.
Dw
#4

Diwi

18.08.2019 02:53
Voted for this task.
MF
#5

Mark Fric

15.10.2019 08:51

Status changed from New to Refused

we disabled minute precision for Tradestation/MultiCharts engine for now, it is planned to be implemented
E
#6

Emmanuel

29.06.2020 02:08
Voted for this task.
EM
#7

EDAU87

08.02.2023 20:13
Voted for this task.
Votes: +5

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