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SQ strategies does not match in Tradestation.

I am trying to develop SQ strategies for last few months, unfortunately strategies I build in SQ does not match in TS. For example my net profit in SQ preview was 91000 and in tradestation same study showing 47000 profit. I am attaching ELD and SQX files with snapshots to explain my dilemma. Net profit, average trade even equity chart does not match. Need help. Thanks

Attachments

SQ 7.png

(95.12 KiB)

TS6.png

(150.59 KiB)

SQ 5.png

(95.68 KiB)

SQ 4.png

(125.56 KiB)

TS5.png

(158.10 KiB)

Strategy 1095164.sqx

(33.50 KiB)

TS4.png

(148.46 KiB)

ES 90M.eld

(27.01 KiB)

SQ 6.png

(119.39 KiB)

TS1.png

(151.44 KiB)

Votes 0
Project StrategyQuant X
Type Bug
Status Fixed
Priority Normal

History

js

#1

javedsyed

07.01.2021 01:52

Task created

TB

#2

Tomas Brynda

04.02.2021 12:42

Status changed from New to Fixed

Hi Javedsyed,

you are using AvgVolume indicator in your strategy logic.

If you want to use AvgVolume, you need to have perfectly matching history data both in SQ and Tradestation.

AvgVolume doesn't mean the average volume of contracts traded per some time period, it is an average volume of price changes that occurred during a certain time interval.

If you wanted to get a perfectly matching backtests in both platforms, you would need to export your data from Tradestation, import them into SQ and then perform backtests using this data.

I generally recommend not using Volume and AvgVolume in strategies, because it is highly broker dependent.

Best regards,

Tomas

Votes: 0

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