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B132 Dev2 : Additional Markets Test - Passing strats that dont meet criteria

I recently ran and Additional Markets test on a number of strategies and it passed 8 of them but non of them actually met the criteria specified in the conditions of the crosscheck.



The cross check criteria were :
rsquared>0.6 
net profit in pips>0. 


This had to be met for each strategy in two additional markets for it to pass.


Ive attached the config and the incorrect strategies that passed plus a screenshot showing the final results.


B132 Dev2 Mac version

Attachments
Strategy 0103356.sqx
Strategy 0103356.sqx
(941.90 KiB)
Strategy 086127.sqx
Strategy 086127.sqx
(1019.46 KiB)
Retest strategies 2.cfx
Retest strategies 2.cfx
(4.98 KiB)
Strategy 072728.sqx
Strategy 072728.sqx
(1.22 MiB)
Strategy 014584.sqx
Strategy 014584.sqx
(1.39 MiB)
Strategy 089018.sqx
Strategy 089018.sqx
(1.03 MiB)
Strategy 022730.sqx
Strategy 022730.sqx
(1.08 MiB)
Strategy 054066.sqx
Strategy 054066.sqx
(1.01 MiB)
Screenshot 2021-06-09 at 174607.png
Screenshot 2021-06-09 at 174607.png
(321.79 KiB)
Strategy 02183.sqx
Strategy 02183.sqx
(1.05 MiB)
  • Votes 0
  • Project StrategyQuant X
  • Type Bug
  • Status Refused
  • Priority Normal

History

JH
#1

Jabezz

09.06.2021 12:56

Task created

MF
#2

Mark Fric

14.06.2021 12:08

Status changed from New to Refused

Attachment image-0.png added

image-0.png
image-0.png
(69.68 KiB)
there is no bug - in the conditions config you specified that at least 2 of the conditions below must pass for at least two markets, and this is true.


I think you have misconfiguration in the filtering. If you want all conditions to pass you should choose first option.


JH
#3

Jabezz

14.06.2021 12:55
How did they pass? In the screenshot all the profits were negative.
MF
#4

Mark Fric

14.06.2021 13:15
in your filter you use Net profit in pips, not in money.


Net profit in pips can be positive even if Net profit in money is negative, because for Tradestation commission and slippage are defined in $$$ and are applied only to PL in money, and this was the case of your strategies.


There were at least two additional markets where PL in pips was > 0.

Votes: 0

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