Strategic performance is nearly the same in SQ as in MC, but there is a strange problem.


Inspired by QA 4.7, I compared the trading list of strategies in MC and SQ.
version: b126
data: use the 30min data directly, no session setting. Make sure the data is completely consistent.
no commission,
slippage, 180,  
reserved bars: 200


1,  The first few trades are always different.  If the subsequent trades can be exactly the same, I don't think the previous ones are a big problem.


2,  If strategy use market entry order, most trades are the same. This is good.


3,  If the strategy uses stop entry order, some trades are different in SQ and in MC. And this happens at irregular intervals.  In many cases, the difference in entry price is only one or two pips. Is it caused by the different calculation of the entry price level? But they all use SQ's custom indicators or functions. I think this problem needs to be studied carefully.

Attachments
if300Strategy 34214530min.sqx
(179.97 KiB)
TradelistExport498954.xlsx
(39.00 KiB)
TradelistExport34214530min.xlsx
(46.74 KiB)
TradelistExport424679.xlsx
(44.19 KiB)
Strategy 0498954.sqx
(33.82 KiB)
Strategy 0424679.sqx
(35.84 KiB)
IF300_Compare_Strategy 427154.sqx
(40.78 KiB)
TradelistExport 427154.xlsx
(62.18 KiB)
  • Votes +1
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

e
#1

eastpeace

10.02.2020 19:02

Task created

b
#2

beppil

21.04.2020 10:17
Voted for this task.
MF
#3

Mark Fric

23.04.2020 11:11

Status changed from New to Waiting for information

> 1,  The first few trades are always different.  If the subsequent trades can be exactly the same, I don't think the previous ones are a big problem.


unfortunately, no. Some indicators require some time to "stabilize", so there could be differences in the begining of data. You can increase Reserver bars to extend the stabilization period.



> 3,  If the strategy uses stop entry order, some trades are different in SQ and in MC. 


can you write which strategies are like this exactly so I can see it quickly? I cannot go through all your attached strategies.

e
#4

eastpeace

29.04.2020 09:35
Hello, Mark,


You can check if300Strategy 34214530min.sqx firstly.  The others are similar.

MF
#5

Mark Fric

15.05.2020 14:57

Status changed from Waiting for information to New

TB
#6

Tomas Brynda

20.05.2020 09:33

Status changed from New to Fixed

I made a few changes and retested all the attached strategies.

Sometimes there is a difference in a few orders at the beginning until the indicators stabilize, but everything matches then.


The backtests should match in the next release.


Best regards,

Tomas


Votes: +1

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