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ATM - ModifyInsteadOfReplacing

testing some strats with ATM, but promptly on the first i am experiencing a big difference in backtest



the backtest goes to 2/3 and already has more than 1500 trades, but strategy from SQX has only 444 trades for the whole data, so something is not really good

Attachments
EU_H1_110113124_S_MA_CF_SQX.sqx
EU_H1_110113124_S_MA_CF_SQX.sqx
(39.46 KiB)
atm.jpg
atm.jpg
(148.33 KiB)
  • Votes +1
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Low

History

h
#1

hankeys

27.11.2020 10:36

Task created

h
#2

hankeys

27.11.2020 10:36
Voted for this task.
h
#3

hankeys

27.11.2020 11:07

Attachment EU_H1_110120177_S_NN_CF_SQX_EQ___BTvsBT.png added

Attachment EU_H1_110120177_S_NN_CF_SQX.sqx added

EU_H1_110120177_S_NN_CF_SQX.sqx
EU_H1_110120177_S_NN_CF_SQX.sqx
(38.35 KiB)
EU_H1_110120177_S_NN_CF_SQX_EQ___BTvsBT.png
EU_H1_110120177_S_NN_CF_SQX_EQ___BTvsBT.png
(28.70 KiB)
testing the second one - differences are smaller of number of trades 429 vs 596, also the shape of EQ curve is looking pretty same, but the diffs are huge


and normal strats withou ATM isnt doing this

h
#4

hankeys

27.11.2020 11:09

Attachment EU_H1_110121188_S_SL_CF_SQX.sqx added

EU_H1_110121188_S_SL_CF_SQX.sqx
EU_H1_110121188_S_SL_CF_SQX.sqx
(82.98 KiB)
third one - after few years of testing in TDS on the MT platform - over 3000 trades


whole backtest from SQX only 1190 trades


conclusion is simple - ATM is not implemented right in the MQL4 code

TB
#5

Tomas Brynda

30.11.2020 12:37

Status changed from New to Waiting for information

Hi Hankeys,

please try to backtest the strategies with ModifyInsteadOfReplacing EA parameter set to false and let me know if it helped. 

It can interfere with the ATM.


Best regards,

Tomas


h
#6

hankeys

30.11.2020 20:18

Attachment EU_H1_110121188_S_SL_CF_SQX_EQ___BTvsBT.png added

EU_H1_110121188_S_SL_CF_SQX_EQ___BTvsBT.png
EU_H1_110121188_S_SL_CF_SQX_EQ___BTvsBT.png
(29.01 KiB)
tested the third strategy only and yes after set the parameter to false the backtest seems ok, but it take too long...after more an hour, only 500 trades finished
TB
#7

Tomas Brynda

01.12.2020 07:48

Subject changed from ATM CRUCIAL - backtest mismatch to ATM - ModifyInsteadOfReplacing

Status changed from Waiting for information to In progress

Ok, thanks for the info. 

I will try to improve the ModifyInsteadOfReplacing option so that it works for ATM too.

TB
#8

Tomas Brynda

01.12.2020 13:56

Type changed from Bug to Feature

Status changed from In progress to New

Priority changed from Normal to Low

I was going through the MQL code and unfortunately the ModifyInsteadOfReplacing option can't be used when using ATM.

Because there are multiple open orders when using ATM, it is not possible to make it work easily. 

It would require changing the core algorithm of MQL4 code.

h
#9

hankeys

01.12.2020 15:12
strange that for the third strategy it seems that it worked, because number of trades and pipprofit were pretty similar...but changes are needed, thats truth
TB
#10

Tomas Brynda

01.12.2020 16:11
Sometimes the results will match, but it is just a coincidence. It depends on how many exits are there and if they get filled.


Votes: +1

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