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Dev Build 130 Mac: Large differences in strategy results between different retests

I have noticed many of my strategies have different original equity curves depending on which retest is run.



For example in the attached strategies the original equity curves should be the same between the full retest and the monte carlo test but they are totally different. So it should compare the monte carlo runs with the original equity curve but instead it uses a totally different original equity curve. Or appears to be doing that unless Im missing something obvious. Ive checked the data settings and everything is identical between the retests.


I have attached screenshots plus the strategy with the two retest builds for full test and monte carlo test.


Dev Build 130 Mac Version

Attachments
Monte Carlo Retest.cfx
Monte Carlo Retest.cfx
(4.19 KiB)
Screenshot 2020-11-13 at 124324.png
Screenshot 2020-11-13 at 124324.png
(485.38 KiB)
Full Retest.cfx
Full Retest.cfx
(4.26 KiB)
Strategy 0606064.sqx
Strategy 0606064.sqx
(223.79 KiB)
Screenshot 2020-11-13 at 124311.png
Screenshot 2020-11-13 at 124311.png
(491.23 KiB)
  • Votes +4
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

JH
#1

Jabezz

13.11.2020 07:12

Task created

h
#2

hankeys

13.11.2020 07:32
Voted for this task.
JH
#3

Jabezz

13.11.2020 10:14
On further testing it appears to only be an issue with the "Monte Carlo Retest Methods" although that will need further investigation to confirm that.
k
#4

Karish

13.11.2020 17:56
Voted for this task.
JH
#5

Jabezz

14.11.2020 07:04
My earlier comment was incorrect, after further testing the error is manifesting on other re-tests, for example "Additional markets"


It appears that the bug is in the date range it is using to run the tests. I examined the list of trades on one of the incorrect equity curves and it started trading from 2013 whereas in builder it started in 2008 as per the date range setting. I then tried to re-enter the date range in the retest and the drop down calendar/date would not activate. 

o
#6

Enric

15.11.2020 10:55
Voted for this task.
MF
#7

Mark Fric

16.11.2020 12:14

Status changed from New to Waiting for information

I canot reproduce it. The only difference in tests is caused by differences in date ranges.


You wrote there is some problem choosing the correct date range - does it happen to you also now? Can you describe it better?

JH
#8

Jabezz

16.11.2020 12:32
I think the date range issue is the root of the problem. Unfortunately it does not occur all the time and seems to manifest only after the software has been running for a while. So if you have a custom project with several retests for say monte carlo etc the drop down calendar in "backtest data settings" for each retest does not work when you click the date window. So if you enter the date manually via the keyboard it appears that the correct data dates are entered when in actual fact they are not set correctly.


So the bug is something to do with the drop down calendar freezing and not functioning, from time to time.

MF
#9

Mark Fric

19.11.2020 09:31

Status changed from Waiting for information to Fixed

ok, we are making some fixes in date picker
Votes: +4

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