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Lack of Keltner Channel symmetry in generated entry signals

Hi SQ Team,

I've noticed that there seem to be an issue with symmetry of rules based on KC - the generator tends to place 'after opened above' kind of additional conditions only on one side, despite the configuration saying that entries should be symmetric.

Attaching the builder config + example strategy.

Thanks.

Attachments
entry-exit-symmetry.cfx
entry-exit-symmetry.cfx
(22.30 KiB)
pseudo-code.png
pseudo-code.png
(8.12 KiB)
config.png
config.png
(8.47 KiB)
Strategy 01229.sqx
Strategy 01229.sqx
(48.38 KiB)
  • Votes 0
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

KD
#1

kejdi

30.10.2019 09:51

Task created

KD
#2

kejdi

30.10.2019 12:28

Moreover, all the strategies generated with this config have this kind of discrepancy between long / short entry rules: (missing 'and not ShortEntrySingal' condition for long entries.


//--------------------------------------------------------------------
// Trading rule: Long entry (On Bar Open)
//--------------------------------------------------------------------
if LongEntrySignal
{
//[...cut...]
}
//--------------------------------------------------------------------
// Trading rule: Short entry (On Bar Open)
//--------------------------------------------------------------------
if (ShortEntrySignal
and Not LongEntrySignal)
{
//[...cut...]
}

MF
#3

Mark Fric

07.11.2019 13:49

Status changed from New to Fixed

there was a bug in opposite block for this one particular snippet, it is fixed.


As for "discrepancy between long / short entry rules" it is intentional.

b
#4

bentra

13.01.2020 17:46
about: intentional "discrepancy between long / short entry rules" .....

Symmetry built in to default standard logic effecting what exactly happens when a long signal and a short signal are both true at the exact same time (about 5% of strategies fire both at the same time sometimes): https://roadmap.strategyquant.com/tasks/sq4_5170 , forum discussion: https://strategyquant.com/forum/topic/what-should-happen-when-short-and-long-signals-fire-at-the-same-time/ , original bug report was refused: https://roadmap.strategyquant.com/tasks/sq4_5168

You can see how to work around it using a template:
https://strategyquant.com/forum/topic/symmetry-needs-just-a-little-more-love-and-here-are-some-workarounds/#post-255153

Votes: 0

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