when I am building strategies with Multicharts engine, I have much less accepted strategies per hour



I tested the Metatrader 4 and metatrader 5 (netted) engine and it works fine. I have a good amount of accepted strategies. I have around 50 accepted strategies in 3 minutes (please see the attached video with the link)
The strategies are profitable.

But  when I am building strategies with Multicharts engine, I have much less accepted strategies per hour. (at least 10 times less accepted strategies)
The strategies are clearly less profitable(4 times less). With Multicharts engine I have only around 4 accepted strategies per hour
 
As you can see on the video attached, I have the same settings for each engine. 
  
As you can see on the video the difference is huge :

I have 10 times much more strategies and the strategies are four times more profitable on average with metatrader engine than with the multicharts/tradestation engine.

For the same settings, the difference between Metatrader 4/5 engine and Multicharts/Tradestation engine is too wide.

 As I have the same settings for each engine,   I should have about the same number of accepted strategies and I should have around the same profit for the same number of strategies per hour.

Is metatrader engine not rigorous enough or is it multicharts engine which is not realistic ?
(Of course ,I did the test  with the correct bar type in imported data (timestamp))










Video at :
https://drive.google.com/file/d/1awwtjCEkdLBdstZGG-7FIplOIS9Cs9W5/view?usp=sharing

Attachments
Build strategies.cfx
(25.45 KiB)
  • Votes +2
  • Project StrategyQuant X
  • Type Bug
  • Status Refused
  • Priority Normal

History

E
#1

Emmanuel

16.06.2020 14:42

Task created

E
#2

Emmanuel

16.06.2020 14:44

Description changed:



I tested the Metatrader 4 and metatrader 5 (netted) engine and it works fine. I have a good amount of accepted strategies. I have around 50 accepted strategies in 3 minutes (please see the attached video with the link)
The strategies are profitable.

But  when I am building strategies with Multicharts engine, I have much less accepted strategies per hour. (at least 10 times less accepted strategies)
The strategies are clearly less profitable(4 times less). With Multicharts engine I have only around 4 accepted strategies per hour
 
As you can see on the video attached, I have the same settings for each engine. 
  
As you can see on the video the difference is huge :

I have 10 times much more strategies and the strategies are four times more profitable on average with metatrader engine than with the multicharts/tradestation engine.

For the same settings, the difference between Metatrader 4/5 engine and Multicharts/Tradestation engine is too wide.

 As I have the same settings for each engine,   I should have about the same number of accepted strategies and I should have around the same profit for the same number of strategies per hour.

Is metatrader engine not rigorous enough or is it multicharts engine which is not realistic ?
(Of course ,I did the test  with the correct bar type in imported data (timestamp))










Video at :
https://drive.google.com/file/d/1awwtjCEkdLBdstZGG-7FIplOIS9Cs9W5/view?usp=sharing

E
#3

Emmanuel

16.06.2020 18:18
Voted for this task.
E
#4

Emmanuel

16.06.2020 21:04

Attachment Strategy 41134.sqx added

Attachment Test Strategy 41134 on Metatrader 5 d.png added

Attachment Test Strategy 41134 on StrategyQuantX.png added

Test Strategy 41134 on Metatrader 5 d.png
(61.97 KiB)
Strategy 41134.sqx
(136.50 KiB)
Test Strategy 41134 on StrategyQuantX.png
(90.99 KiB)

I tested one strategy (41134) on Metatrader 5 to compare the Metatrader 5 results and StrategyQuantX  results .(with MT5 Netted engine)


As Metatrader 5 and StrategyQuantX don't have the same data and engine, I don't expect to have the exact same trade.


But I would expect to have about the same shape.


 Here, we can really see the the MT5 engine give a different results than StrategyQuantX.


Metatrader engine of StrategyQuantX seem to give too much positive results when we compare with Metatrader 5.


Is it possible ? Is it because the way the Metatrader engine buy or sell ? on  the lowest / highest of the candle ?





b
#5

beppil

17.06.2020 05:10
Voted for this task.
h
#6

hankeys

17.06.2020 07:01

Attachment over.jpg added

over.jpg
(201.87 KiB)
i am afraid that the basic problem lies in the strategy itself - i looked at it and must say, that this strategy is somehow overoptimised - RDD for the whole data 55 for one strategy...this value doesnt have sense and something is absolutely wrong with this strategy


if i tested it in my dukascopy data cloned to UTC2 timezone (which you need to do - because most probably you will not be trading with UTC0 broker), i am getting these results

MF
#7

Mark Fric

18.06.2020 09:32

Status changed from New to Refused

Attachment mt5_mc.jpg added

mt5_mc.jpg
(38.20 KiB)
I'm going to refuse this task. These engines are very different, they cannot be directly compared like this. 

Anyway, I tries your project with both engines, and I'm getting a similar number of accepted strategies, even more for MultiCharts than for MT5.


Do you have both MT5 and MultiCharts? You should create strategies specifically for your trading platform, trading engines of MT and MC are so different that strategies might not work the saem in both engines.


E
#8

Emmanuel

18.06.2020 10:40


Yes I have MT5 and Multicharts for many years. I am as well engineer and professional developer in this industry and I am here to help if you allow me.


If we try the same project, why do we have differents results ?


You have 25.27 % of accepted stratégies for MT5 Netted and 39.04 % of accepted stratégies for Multicharts. This is really high.


On my side I have 0.19 % of accepted stratégies for MT5 and 0.01 of accepted stratégies for Multicharts. The test was made with the parameters of the courses of Mr Zanka.


We clearly don't have the same parameters.


Following your recommendation I will focus on Multicharts and create strategies with Multicharts engine. I know well Multicharts.













MF
#9

Mark Fric

18.06.2020 10:47

Status changed from Refused to In progress

ok, I'm reopening the task. I tried it with your attached project, but clearly there is something wrong.


Can you please attach your projecs for MT5 and MultiCharts that cause this? I'll look again.

MF
#10

Mark Fric

18.06.2020 11:09

Status changed from In progress to Waiting for information

E
#11

Emmanuel

18.06.2020 11:18

Attachment Cours EURUSD H1 V2 Custom Project Config4.cfx added

Cours EURUSD H1 V2 Custom Project Config4.cfx
(76.08 KiB)

Thank you very much Mr Fric for considering it.


Here is the project I am building with the parameters of the second courses of Mr Zanka.


I hope this will help. I am willing to help as much as I can  (computer power, development, etc.)


One way I could help would be to focus on the Multicharts part.


Please let me know.


MF
#12

Mark Fric

19.06.2020 13:36
there is something wrong with your settings or data, I cannot reproduce your results.


How did you get EURUSD data you are using?

When I try your custom project it doesn't produce any accepted strategies.


Even when I retest the strategy you attached with the same settings I get a totally different equity curve.

I'm using standard Dukascopy data downloaded to SQ.


There's one more issues when switching between MetaTrader and MultiCharts. Each uses different bar settings. 
For MultiCharts it is "Bar time is end of bar", for MT s is "Bar time is start of bar"


This affects how higher timeframes are computed and it could have big impact. YOu should use the same data you'll be using in each of your platform.


To make sure you have correct setup and reproducible results generate just one random strategy in SQ for yout trading platform, and then retest in on that platform. If the results are too different there s some problem in your SQ configuration or data.

E
#13

Emmanuel

19.06.2020 13:45

Attachment Capture EURUSD.png added

Capture EURUSD.png
(48.97 KiB)

I am using EURUSD from Dukascopy


(I attache a copy of my screen)


I downloaded the data from SQ.


I did the same test with the imported data from Multicharts as well. (with the option "Timestamp is end of bar time")


 And I am getting the same number of accepted stratégies in Multicharts


I use this data Inside Multicharts : (IQfeed) https://drive.google.com/file/d/11Jt_ZILfjsgh0TLWjxxgp4x8ls5EL8ck/view?usp=sharing



E
#14

Emmanuel

20.06.2020 21:58

Attachment Capture MC close to close.png added

Attachment Capture SQ Equity chart.png added

Attachment Capture MC trade 972.png added

Attachment Capture SQ trade 972.png added

Attachment Capture MC 36 minutes.png added

Attachment Capture MT 31 minutes.png added

Attachment Capture.png added

Capture MC 36 minutes.png
(236.26 KiB)
Capture MT 31 minutes.png
(239.05 KiB)
Capture MC trade 972.png
(48.95 KiB)
Capture.png
(27.44 KiB)
Capture MC close to close.png
(95.52 KiB)
Capture SQ Equity chart.png
(134.96 KiB)
Capture SQ trade 972.png
(78.94 KiB)

After doing a retest I found :


1/ First, I did not install the SQ _ MC indicators properly : I installed SQ.ELD instead of SQ_MC in my Multicharts.

Multicharts imported it without any problem, and gave buy and sell signal in the backtest with SQ stratégies.

 even if Multicharts  was not able to compile the SQ functions and indicators.( The SQ functions, and indicators was not compiled.)


2/Then I was able to get the same results with SQ and MC with a simple SMA strategie       (with 30 pips Stop loss and 30 pips Profit Target)

   (see Capture MC close to close and Capture SQ Equity chart)

    You can see the same trade in Capture SQ trade 972 and capture MC trade 972.

      I want to show this for futures Customers , who may need to see this.

     To get this results , I focus on a simple strategy with one on indicator SMA

  

However, I did change : tickSize=0.0001;

I removed the NumberOfShares in the buy order

I removed the SQ_CorrectMinMaxSLPT function

with few minor adjustment in the strategy property box of MC


3/ Finally  , regarding the question of having more strategies with the Metatrader engine than the Multicharts engine : 


As you can see on the capture MT 31 minutes and the capture MC 36 minutes, both engine MT and MC produce around the same number of stratgies after 30minutes with the same imported data from Multichart. I have around 10 accepted stratégies per 30 minutes. around 3000 $ of profit strategies


However if I use Dukascopy data (downloaded with SQ) with Metatrader engine I have 300 stratégies per minutes.30 000$ of profit stratégies !


Please , look in this new video I made at the minute 4:00 with  EURUSD then at 6:22 for GBPUSD, I have the same results. to much unreal  stratégies per minute


https://drive.google.com/file/d/1D-wI4-gWd3enOOdqd4Uvc1SrM6CmpEpJ/view?usp=sharing


if I use the multicharts engine with  Dukascopy data, it is working fine.


The only unusual behavior is metatrader engine with duskacopy downloaded data.





      



MF
#15

Mark Fric

29.06.2020 10:41
could you please attach one strategy generated by MultiCharts engine (before 4:00 in your video), and one generated by MT engine (after 4:00 minute) ?

It will allow me to compare the differences.


I see it on the video, but there must be some reason for this behavior.

E
#16

Emmanuel

29.06.2020 11:40

Attachment Strategy 41163 Metatrader 5 Netted.sqx added

Attachment Strategy 43157 Multicharts.sqx added

Strategy 43157 Multicharts.sqx
(57.20 KiB)
Strategy 41163 Metatrader 5 Netted.sqx
(66.58 KiB)

Please, find attached a strategie with the Multicharts engine : "Strategy 4.3.157 Multicharts.sqx"


and one strategy with Metatrader 5 Netted engine : "Strategy 4.1.163 Metatrader 5 Netted.sqx"


When I select the Metatrader 5 or 4, we have lot more stratégies, much more profitable.


I hope this will help.



E
#17

Emmanuel

29.06.2020 14:14

Attachment MT 5 selected timeframe only Strategy 221891.png added

Attachment Strategy 221891 MT5 selected timeframe only.sqx added

Attachment MT5 Data tick 1 min.png added

Attachment Strategy 21129 MT5 Datatick 1 min.sqx added

Strategy 221891 MT5 selected timeframe only.sqx
(102.30 KiB)
MT5 Data tick 1 min.png
(75.15 KiB)
MT 5 selected timeframe only Strategy 221891.png
(51.36 KiB)
Strategy 21129 MT5 Datatick 1 min.sqx
(109.00 KiB)

I did more test :


1/   with MT5 engine with "selected timeframe only"                     (Attached capture : MT 5 selected timeframe only Strategy 2.2.189(1))


2/ with MT5 engine with "1 minute datatick simulation"               (Attached Capture : MT5 Data tick 1 min)


With the selected timeframe only   (H1), we can see an equity charts very linear , the profit can go up to 13000 $ IS.


With the "1 minute datatick simulation", we can see an equity chart less linear, the profit is around 3000 $ IS.


There is a large difference between "selected timeframe only"  and "1 minute datatick simulation


The "1 minute datatick simulation"  with the Metatrader 5 engine look more realistic. And it looks more like the results I would get with Multicharts engine. I would have the same number of accepted stratégies as well, with similar results .


Finally the real difference would be between "selected timeframe only" and "1 minute datatick simulation" with the Metatrader 5 engine ?









MF
#18

Mark Fric

30.06.2020 12:27

Status changed from Waiting for information to Refused

you must have some problem with data or datafeed generated for Selected TF precision. Strategy with 1 minute precision matches in my test but the one with Selected TF precision is completely wrong.


Please try to delete all the files in /internal/testfiles , they are generated datafeed files and they seem to be incorrect. They'll be regenerated again when you'll start builder or retester.


The whole issue seems to be caused by these bad data, I'm closing this task, there doesn't seem to be anything to solve.

E
#19

Emmanuel

30.06.2020 20:46


Yesturday , I discovered some data was missing for the EURUSD instrument.  (2 000 000 instead of 5 000 000 minutes bars,  the missing days was spread over 17 years )


I did redownload the data with advice of Tamas, and now I have all the data.


I will retest as soon as possible.


Yes, the missing data was probably giving trouble to Metatrader engine.


Mark, thank you very much for investigating this. I really appreciate it





E
#20

Emmanuel

09.07.2020 16:12

Today , I made test with all the data (5 000 000 minutes bars)


The Metatrader engine is working fine, all the results with 1 min bar and 1 hour bar are coherent.


 (There is not anymore a difference between "selected timeframe only"  H1 and "1 minute datatick simulation"   )






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