Converting STR files to SQX - Enter/Reverse

I have about 500 strategies developed under SQ3 that I would like to periodically retest in SQX.  I can load the str files, but when I run a retest it always either produces no trades or opens only a single trade and holds it open the entire retest period (8 years).  I am using Dukascopy tick data and running Real Tick - Real Spread.



Attached are a few  of my str files.


Thank you,
Gregg Richter

Attachments
Apr2016_P1_EURUSD_Strategy 416.str
(1.86 MiB)
Apr2016_P1_EURUSD_Strategy 190.str
(1.01 MiB)
Apr2016_P1_EURUSD_Strategy 237.str
(1.65 MiB)
Apr2016_P1_EURUSD_Strategy 111.str
(3.50 MiB)
Apr2016_P1_EURUSD_Strategy 518.str
(1.65 MiB)
  • Votes +2
  • Project StrategyQuant X
  • Type Feature
  • Status Archived
  • Priority Normal
  • Assignee Tomas Brynda

History

g
#1

grgricht

23.06.2020 22:56

Task created

h
#2

hankeys

24.06.2020 06:42
SQX has different structure and simply said you cant retest SQ3 strategies in it, or you can - but mostly you will get different results
TB
#3

Tomas Brynda

24.06.2020 13:30

Assignee changed from Tomas Brynda to Tomas Brynda

Subject changed from Retesting str files under SQX to Converting STR files to SQX - Enter/Reverse

Type changed from Bug to Feature

Hi Gregg,

like Hankeys said, the SQX has a different structure and trading logic than SQ3. We have made a support for loading and conversion of old SQ3 strategies, but there are cases when the strategies behave differently in both platforms. To get similar results, you should check trading options settings and if the strategy allows duplicate trades in the first place. The Allow duplicate trades option is kind of hidden in SQX as we implemented it as an attribute of order entry blocks. You can check that if you edit the strategy in AlgoWizard. 


There are multiple little differences between old and new version of SQ, for example the functionality of Exit On Friday. Some strategies will work right away, some need to be adjusted to match and unfortunately some of them won't work reliably in SQX.


I took a look at one of your attached strategies, and I can see a conversion problem which caused the strategy in SQX having a different logic. It seems to be a problem with a conversion of Enter/Reverse strategies. Because this particular strategy has a simple logic, I think the best way is to create the strategy in AlgoWizard by defining the trading rules and save it into SQX format.


We can make some adjustments in the conversion algorithm later, but we are currently working on another issues.


Best regards,

Tomas


E
#4

Emmanuel

25.06.2020 08:22
Voted for this task.
MF
#5

Mark Fric

10.03.2021 13:20

Status changed from New to Archived


Votes: +2

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