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different backtest TDS vs SQX

i am making comparation of backtests made through tick backtest using Tick Data Suite and 1M backtest from SQX B126 and some strategies are very different. Please take a look at it...



sending some examples


STOP ASSYMETRIC strategy - EU_D1_112413940_S_EM_SQX_ASYM


LIMIT strategy - EU_D1_112400900_L_HA_SQX


and finally one very different MARKET strategy - EU_D1_112428774_M_CC_SQX


please take a look at them

Attachments
EU_D1_112400900_L_HA_SQX.sqx
EU_D1_112400900_L_HA_SQX.sqx
(60.40 KiB)
EU_D1_112428774_M_CC_SQX_EQ___BTvsBT.png
EU_D1_112428774_M_CC_SQX_EQ___BTvsBT.png
(31.50 KiB)
EU_D1_112413940_S_EM_SQX_ASYM.sqx
EU_D1_112413940_S_EM_SQX_ASYM.sqx
(56.49 KiB)
EU_D1_112428774_M_CC_SQX.sqx
EU_D1_112428774_M_CC_SQX.sqx
(68.48 KiB)
EU_D1_112400900_L_HA_SQX_EQ___BTvsBT.png
EU_D1_112400900_L_HA_SQX_EQ___BTvsBT.png
(29.08 KiB)
EU_D1_112413940_S_EM_SQX_ASYM_EQ___BTvsBT.png
EU_D1_112413940_S_EM_SQX_ASYM_EQ___BTvsBT.png
(30.29 KiB)
  • Votes +1
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority High

History

h
#1

hankeys

15.12.2019 13:22

Task created

h
#2

hankeys

15.12.2019 13:23
Voted for this task.
MF
#3

Mark Fric

16.12.2019 14:10

Priority changed from Normal to High

TB
#4

Tomas Brynda

17.12.2019 13:13

Attachment screen.png added

Hi Hankeys, 

I was testing and debugging your strategies for quite a long time and I think the mismatching results are caused by a different data spread.


I was doing backtests in MT4 using Dukascopy data exported from SQ. The problem with this data is that even if you set custom spread in strategy tester, it always uses default data spread.

The spread setting in MT4 strategy tester doesn't work for the exported data.


Look at the attached screenshot - there are 2 backtested strategies. One of them is retested with real data spread, the other uses fixed spread 2 pips. 

I think your strategies are very sensitive to spread settings.

h
#5

hankeys

18.12.2019 07:30
it doesnt sound to me logical - how the spread difference, which is what - 1-2 pips, could make difference of 700 USD on 40 trades?
TB
#6

Tomas Brynda

19.12.2019 08:38

Status changed from In progress to Fixed

Yes I was suprised too. But when I compared individual trades I saw that sometimes there is a very slight difference in price - only 0.1 pips, but because of it the trade sometimes gets executed a few days later and that causes differences.


I haven't found any problem in our engine or EA's MQL code.


Just try to run a backtest in SQ and use real spread precision vs. fixed spread and you will see.


Best regards, 

Tomas

Votes: +1

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