SQ X Build 121 - STrats converted from SQ3 do not trade the same as SQ3 or MT4.

The attached strategy was converted from SQ3. The original SQ3 str file is included as the SQX file that was created by SQX Pro 121 (Full license). Also included is a PDF that shows the differences between SQ3 vs, MT4 for the SQ3 strategy, and SQX vs MT4.

The price data is from Birt's TDS system using Dukascopy EURUSD data exported to a CSV with GMT set to +2 and using USA DST rules. The CSV that was created was then imported into SQ3 and SQX. All testing (SQ3, SQ4 and MT4) testing was done at the tick level. The MT4 client is FXOpen MT4 build 1170 using the ECN Demo server. All tests were run based on an initial $10,000 balance and fixed lot trades of 0.1 lots.

The problems are:

1. The SQX strategy that was created in the conversion process has different trading characteristics from the SQ3 strategy. Specifically, the SQ3 results do not agree with the SQX trade results in both Profit and Number of Trades which also thaffects all of the other statistics. This indicates that the conversion process does not generate the exact same strategy.
2. The SQX tick data retest results differ from the MT4 EA created by SQX. Specifically, SQX reports 32% more profit than the MT4 backtest using the MT4 file created by SQX.

Please let me know if you need any additional information.
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  • Votes +1
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority High

History

d
#1

Dave

13.05.2019 06:11

Task created

l
#2

Loonly

14.05.2019 17:37
when i retest on tick level strategies with SQx vs MT4 Birt i always have about 30% difference (SQx give better results)

since this is not slight difference would be nice to investigate - becouse the issue is not only in this strategies that  Dave

  uploaded - but in all real tick test SQx vs. MT4




o
#3

Enric

28.05.2019 20:57
Voted for this task.
MF
#4

Mark Fric

14.06.2019 10:33

Priority changed from Normal to High

MF
#5

Mark Fric

18.07.2019 13:27
one of the reasons for differences between SQ3 and SQ X could be this: https://strategyquant.com/forum/topic/sqxs-new-method-slpt-based-on-fixed-pips-or-atr-value/#post-242377


Our primary goal with SQ X wasn't to make it 100% backwards compatible with SQ3. There are some features, improvements and things done in a slightly different way, which could cause the strategies in both programs to trade differently.



As for 30% better results in SQ X vs MT4 we'll look at it, it is strange. 



TB
#6

Tomas Brynda

06.08.2019 11:27

Status changed from New to Fixed

Attachment SQ3.png added

Attachment SQX_AW.png added

Hi,

I was retesting the attached strategy and I was able to get similar results. 


Most of the time, you won't get the exact matching results in SQ3 and SQX and sometimes there will be a significant difference.

The thing is we've changed the settings structure in SQX and also the strategy logic a little bit. 


Another important thing is that we've decided to use standard implementations of all indicators. 

Some indicators output a little different values in SQX and so the strategy behaves differently.


If you want to use your old strategies from SQ3 in SQX, just load them into SQX, but there is no guarantee they will work as they did in the old version.

I don't think it's a bad idea to import old strategies into SQX, but I suggest retesting the robustness of these strategies to ensure they will work well in SQX too.


If your results between SQ3 and SQX differ a lot, it may be caused by the settings you use when doing a retest.

There are some settings that influence strategy's behaviour and need to be checked when retesting. It includes:


  • Replace pending orders option - in SQ3 this option is located in Strategy Options tab, but in SQX it is a direct part of an action block 
  • Max period for indicators and price patterns + ATR multiple min/max - we don't limit those values when retesting strategies in SQX
  • SL/PT min/max pips - in SQX, you can set that in Trading Options settings tab



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