MultiCharts. ATR mismatch when there are empty bars

There is a mismatch in ATR calculation using MultiCharts engine.
When there are empty bars in the atr period.

Example:

- Match
2019-06-26 06:00:00 201.57314600301638
2019-06-26 07:00:00 206.24448870286557
2019-06-26 08:00:00 205.43226426772225
| Empty Bars
- Mismatch
2019-06-26 11:00:00 Real: 195.31065105433612 SQX: 195.21065
2019-06-26 12:00:00 Real: 185.64511850161932 SQX: 185.55013
2019-06-26 13:00:00 Real: 176.46286257653836 SQX: 176.37262

When there will be no empty bars in the future it will start to match again.

Strategy: https://www.dropbox.com/s/r70y7qzmfqataop/mismatch.sqx?dl=1
Data: https://www.dropbox.com/s/8pqnb4gxunuuuq3/btcusd.rar?dl=1
Settings: https://www.dropbox.com/s/e4kwkb47jgpkqgc/btcusd_settings.png?dl=0

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  • Votes +1
  • Project StrategyQuant X
  • Type Bug
  • Status Refused
  • Priority Normal

History

KP
#1

CooleRnax

11.01.2020 14:24

Task created

KP
#2

CooleRnax

11.01.2020 14:36

Description changed:

There is a mismatch in ATR calculation using MultiCharts engine.
When there are empty bars in the atr period.

Example:

- Match
2019-06-26 06:00:00 201.57314600301638
2019-06-26 07:00:00 206.24448870286557
2019-06-26 08:00:00 205.43226426772225
| Empty Bars
- Mismatch
2019-06-26 11:00:00 Real: 195.31065105433612 SQX: 195.21065
2019-06-26 12:00:00 Real: 185.64511850161932 SQX: 185.55013
2019-06-26 13:00:00 Real: 176.46286257653836 SQX: 176.37262

When there will be no empty bars in the future it will start to match again.

Strategy: https://www.dropbox.com/s/r70y7qzmfqataop/mismatch.sqx?dl=1
Data: https://www.dropbox.com/s/8pqnb4gxunuuuq3/btcusd.rar?dl=1
Settings: https://www.dropbox.com/s/e4kwkb47jgpkqgc/btcusd_settings.png?dl=0

e
#3

eastpeace

20.03.2020 12:47
Voted for this task.
TB
#4

Tomas Brynda

22.05.2020 10:09

Status changed from New to Waiting for information

Hi CooleRnax,

I made an ATR indicator test on the data you've provided and the test has passed, I looks like the values are OK.


I can't download the strategy file, the link appears to be broken. 

Please send me a proper link and I will test your strategy to make sure everythings fine.


Best regards,

Tomas

TB
#5

Tomas Brynda

12.06.2020 14:57

Status changed from Waiting for information to Refused


Votes: +1

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