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B129 RC1: AUDCAD no MM bug for 2020 trades

I'm getting a weird issue when building AUDCAD strategies. I build from 2010.01.01 to 2017.12.31 with 20% OOS then expand to 2007.01.01 to 2020.11.4 and for some reason I have no MM for trades in 2020.



Images, strategies and project config attached - "SPP500 Long Term" task is where I expand data to 2020.

Attachments
AUDCAD2.png
AUDCAD2.png
(123.64 KiB)
project.cfx
project.cfx
(466.25 KiB)
Strategy 152074.sqx
Strategy 152074.sqx
(76.34 KiB)
Strategy 111646.sqx
Strategy 111646.sqx
(81.80 KiB)
Strategy 1120651.sqx
Strategy 1120651.sqx
(81.11 KiB)
AUDCAD5.png
AUDCAD5.png
(179.04 KiB)
AUDCAD1.png
AUDCAD1.png
(205.51 KiB)
AUDCAD3.png
AUDCAD3.png
(33.20 KiB)
Strategy 112056.sqx
Strategy 112056.sqx
(83.73 KiB)
Strategy 63155.sqx
Strategy 63155.sqx
(85.87 KiB)
AUDCAD4.png
AUDCAD4.png
(57.80 KiB)
  • Votes +4
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

JK
#1

Insanity82007

22.11.2020 11:16

Task created

JK
#2

Insanity82007

22.11.2020 11:17
Voted for this task.
h
#3

hankeys

22.11.2020 12:31
Voted for this task.
h
#4

hankeys

22.11.2020 15:13
riskedmoney = 100


maybe your ATR SL is so huge, so the risked money for the trade is higher than 100, so "size if no MM" is applied

JK
#5

Insanity82007

23.11.2020 01:57
hankeys... previous order before 0.01 in the image attached was 0.43 lots. 


I use 1000 period ATR for my SL and TP.


1000 period ATR jumped from ~11 pips to ~26 pips around March when markets went crazy.


0.43 lots / 26 x 11 = 0.18 lots


Something is definitely not working correctly.

JK
#6

Insanity82007

23.11.2020 01:58
Also it's ONLY my AUDCAD strategies this is happening to. All other strats are fine.
h
#7

hankeys

23.11.2020 07:54
maybe corrupted data? erase AUDCAD data and redownload?
JK
#8

Insanity82007

24.11.2020 04:28

Attachment AUDCAD Chart spike 1.png added

Attachment AUDCAD Chart spike 2.png added

Attachment AUDCAD Massive spike.png added

AUDCAD Chart spike 2.png
AUDCAD Chart spike 2.png
(84.92 KiB)
AUDCAD Massive spike.png
AUDCAD Massive spike.png
(97.60 KiB)
AUDCAD Chart spike 1.png
AUDCAD Chart spike 1.png
(85.85 KiB)
I tried re-downloading data and this did not fix the issue.


I think I did find what's causing the problem though. There is a MASSIVE ~$21,500 spike in the data (images) attached) and I found the offender in the table


o
#9

Enric

24.11.2020 08:34
Voted for this task.
PS
#10

Petr Šomek

24.11.2020 09:28

Status changed from New to In progress

PS
#11

Petr Šomek

24.11.2020 09:44
yes I see it, there is terrible spike in the 2020.02.03. 22:00 - I'll check it why...
k
#12

Karish

24.11.2020 11:06
Voted for this task.
PS
#13

Petr Šomek

24.11.2020 16:09

Status changed from In progress to Fixed

Attachment audcad.png added

audcad.png
audcad.png
(148.66 KiB)
Data was fixed. Please clear AUDCAD content and download it again. It should be ok now. I'm attaching the screen from just downloaded AUDCAD data.
Votes: +4

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