SQX v126 – Massive Slow-down in MT4 Backtest Performance between SQ 3.8.2 and SQX v126

Following on from my initial bug report: sq4_5833. I have now re-processed a portfolio of 5x existing SQ 3.8.2 strategies using SQX v126 WFM. 3x of which test in MT4 + TDS in good time, but the previous reported strategy, and 1x other, are now taking many days to test in MT4, for what previously took less than 1.5hrs in total to test both:

• 3.5 days for previously reported strategy
• So far 6.5 days for attached additional strategy, and so far barely progressed 40%

Please can you urgently investigate and report back why the new SQX v126 generated MT4 code has become so inefficient to test in MT4, compared to original SQ 3.8.2 generated MT4 code? While in essence both strategies should function the same as previous, with only a change in parameter values.

Thanks

AC1962

Thanks for your response. However, I can find no parameter "replace pending order" in SQX v126 generated *.sqx file. Did you mean "replace existing orders"? See screenshot image.

Thanks

AC1962

for example this strategy is for M15 timeframe and have allowed replacing pending orders and order is valid only 2 bars...so every 15 minutes will the pending order be modififed and every 30 minutes will be deleted and if the entry conditions are still true, new pending order will be placed

so if you are doing tick backtest in MT4 (tick data suite) this backtest will last hours, days

Thanks for your message: a helpful tip. However, only the SQ 3.8.2 generated MT4 code includes variable 'ReplacePendingOrders'. The SQX v126 generated MT4 code does not.

The M15 strategy in SQ 3.8.2 generated MT4 code took 74min to run with variable 'ReplacePendingOrders = TRUE', reducing to 37min with variable 'ReplacePendingOrders = FALSE'. Either of these test times are fine with me. Whereas the same strategy in SQX v126 generated MT4 code takes 6 days to progress barely 40% through the MT4 test. At which point I gave up.

This massive slow-down in MT4 backtest performance suggests something else within the SQX v126 generated MT4 code being the cause, not either of the 2x variable values that you have suggested.

Thanks again

AC1962

and its normal behavior, because with every candle the EA need to recompute everything

if this could be done better, who knows...i am not a MQL programmer, but its true, that SQ3 code doenst do this

I noticed that in your EA from SQX there is a ModifyInsteadOfReplacing set to false. 

Please try to set this parameter to true, I believe the backtest will be much faster.

Let me know if it helped.

Best regards,

Tomas

extern bool ModifyInsteadOfReplacing = false;

Modifying changes only open price, SL and PT. The volume is ignored - it is not a wanted behaviour when using other money management methods than Fixed size.

But if you use the simple fixed size MM, this setting can speed up the backtest in MT4, especially if the strategy produces a lot of trades.

Thanks hankeys!

Hi Tomas

Yes, changing setting ModifyInsteadOfReplacing = TRUE does significantly improve progress in MT4: <1hr in both cases, which is excellent. Thanks!

However, from what I can see, ModifyInsteadOfReplacing = FALSE is default set by SQX (as hankeys has mentioned), not user set by me. While I appreciate that changing this setting vastly improves the MT4 test time, does not changing this setting also change the strategy that SQX generated and thereby possibly negate all the effort involved in filtering, robustness testing & WFM testing that I have already undertaken in SQX, prior to even starting any final MT4 testing?

If, to resolve this issue in future, I need to modify ModifyInsteadOfReplacing = TRUE at MT4 stage, then I request that SQX should either: use ModifyInsteadOfReplacing = TRUE by default, not FALSE; or allow the user, possibly in Builder \ Trading Options, to set ModifyInsteadOfReplacing = TRUE prior to Building any strategies.

Thanks

AC1962

It is completely fine to use this feature if you use fixed size money management, the results should be exactly the same. The problem is when using other types of MM, because the modification doesn't support changing pending order's size.

If you set ModifyInsteadOfReplacing = true and used for example Risk Fixed % Of Account MM and the strategy tested had a variable SL (not fixed pips), the trade volumes would be probably different from backtest with ModifyInsteadOfReplacing = false. 

Because of this I think it would be better to leave this param set to false by default. The experienced users can simply toggle it to true manually if they want to.

Best regards,

Tomas

Thanks for you explanation. However, given the problems I have experienced with this feature in SQX (never with SQ 3.8.2) during MT4 backtesting, I request you consider giving the user the option to select ModifyInsteadOfReplacing = 'True' or 'False' at Builder setting stage, not fix the value as 'False' only. This way I can choose to avoid Builder generating any strategies that are likely to result in such impractically long MT4 backtest durations.

Thanks

AC1962 

thank you for your suggestion, but I think this setting would unnecessarily complicate the UI.

I will set this parameter to true by default and add a condition to the MQL template not to ModifyInsteadOfReplacing in case the volume of the new order is different.

Best regards,

Tomas

AC1962