Optimizing using CUSTOM PROJECTS has missing trades vs. Optimizing in OPTIMIZER
Hello,
When I run the optimizer as part of a custom project, I get much fewer trades than simply running the optimizer alone.
An example is when optimizing a simple bollinger band reversal strategy. The custom project config and strategy are attached.
When I use the optimizer feature (not inside a custom project), I get the results shown in image OPTIMIZER RESULTS.
When I use a custom project, I get much fewer trades, as shown in image CUSTOM PROJECT RESULTS.
When I look at the list of trades in the custom projects optimizer, I see that many trades are a few weeks long (see image TIME IN TRADES). This is a simple bollinger band reversal system on M5 timeframe; there is no way it holds the trades for so long.
Also, all the entries in the custom project test (too few trades) are also present in the optimizer test. So the strategy logic is correct, but it seems like the custom project is backtesting with lots of data gaps.
Please have a look, thank you.
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Votes 0
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Project StrategyQuant X
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Type Bug
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Status Refused
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Priority Normal
History
h
MF
h
huangwh88
09.03.2021 13:56
Hi Mark,
The BB reversal.sqx that I attached is the one giving the long trades. I optimized it on M5, but the time in trades go up to 28 days (screenshot attached).
Did you try it with this strategy?
MF
Mark Fric
09.03.2021 14:39
yes, I tried it, but the attached strategy was tested on H1 timeframe, not M5.
When I test it on M5 the maximum time in trade is 4 days.
I'd say you have different timeframes in these two projects.
h
huangwh88
10.03.2021 01:18
Hi Mark,
I found the problem. For one of the configs, the max trades per day was 1, so it gave far fewer trades. Sorry for the mistake
MF
Votes: 0
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When I use exactly the same config it produces exactly the same results.
Please attach at least one of these strategies with very long trades so I can check what is wrong.