B121 MC Randomize history data is bug

This test only depends on whether the strategy is limit or stop. In case of being limit absolutely all equity curves are better than the original strategy, in case of being stop all are worse than the original strategy, which is not possible and did not happen so in other versions and in most strategies those curves are ret/dd=-1. Attached the configuration, simply test this configuration in several strategies and you will see that it is fulfilled what I say.

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MC bug.cfx
(3.43 KiB)
  • Votes +2
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

m
#1

Martin

05.05.2019 11:34

Task created

o
#2

Enric

06.05.2019 19:55
Voted for this task.
o
#3

Enric

06.05.2019 20:03

I also noticed that this MC test "Randomize history data" is not Ok. Asked for support on the Forum on March 25th https://strategyquant.com/forum/topic/mc-tests/

I was told the results were Ok.

I insist that there's some inconsistency between this test when was done in SQ3 (not too heavy) and now in SQX wich destroys any strategy I've tested (I only work with Stop Orders)

RL
#4

rickliao

12.05.2019 13:41
Voted for this task.
TT
#5

Tamas

23.08.2019 08:56

Status changed from New to Fixed


Votes: +2

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