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Forums>AlgoWizard / EA Wizard>General Discussion>100% automated and 100% accurate SQ workflow test case

  • #257775 |
    Customer
    98 Posts

    Thanks hankeys for your input, but SLIPPAGE or better said the “trade execution” at broker side is the only thing I can think off, to explain those differences…the reason why I’m thinking this is the results of the following LIVE experiment:

    1. Make a portfolio in SQX

    2. Run it in forward test for few months on DEMO account and also on a LIVE account (the same VPS).

    3. Retest portfolio in SQX during the forward period (I still think real-tick real spread is the best option here, at least from what I have seen.)

    4. Compare the SQX “forward” backtest to DEMO and LIVE results:

    SQX vs DEMO vs LIVE

    As you can see the results on portfolio level from live trading on DEMO account, more or less correspond to SQX backtested results (= good correlation), however live trading on LIVE account not so much. The main difference between DEMO and LIVE accounts on a MT4 broker is: DEMO accounts are configured by the brokers to have a PERFECT trade execution (perfect timing no slippage), just in order to “push” people to open more live accounts…that is what the brokers do. This particular account made some money in the end but I’m looking for a good correlation between LIVE account and SQX backtest..so far have not been able to reach that goal on a MT4 broker, I see some correlation but I want to see a very good correlation.

     

     

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    #257785
    Customer
    96 Posts

    Hi,

    I’ve experienced same issues than Coensio. I guess slippage is one of the reasons but not 100% sure the only one, I’m suspicious that some indicators could be behind that anomalous behaviour too. Only way I found out to get rid of those strats who behave bad in real is to delete them manually.

    However you can’t get rid of slippage, doesn’t matter if your strats are Breakout, the execution time can’t be zero because of the liquidity provider. Not something to blame to the broker. On demo accounts Slippage equals zero because liquidity is infinitum so all the orders can be executed instantaniouslly. Also, slippage will increase with your order volume (big volumes). BUt that’s something will occur doesn’t matter what market/broker you choose. Of course, if you have a shitty broker this problem is worst

    #257786
    Customer
    98 Posts

    Only way I found out to get rid of those strats who behave bad in real is to delete them manually

    Exactly, this means generating and testing hundreds of strats testing them for a very long time on LIVE and deleting those “bad ones”….and hoping that after this incubation period the strategies will not “expire” very soon…so from a pool of tens I have only few left that correlate to SQX test and show the results “as expected”.

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    #257790
    Customer
    96 Posts

    Yes. I see we’ve come to the same conclusion and the number of hours dedicated to control this issue is insane, but as said; don’t see any other option.

    However the majority of strats behave acceptable. None of them matches exactly to the backtest, for sure. But most of them have similar trades, what do you think 70% maybe?

    #257797
    Customer
    11 Posts

    Coensio, what is the approximate expected pips/trade value on your strategies?

    We trade a relatively big PAMM and we can expect a value of 3 pips for the slippage. I would suggest adding a higher spread value on your data.

    "To be or not to be? That is the qu3stinn" - Monkey on the typewriter

    #257802
    Customer
    98 Posts

    In most cases my expected trade is much larger than 10 Pips over 17000 trades.

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    #257804
    Customer
    429 Posts

    your strategies or used markets or broker, whatever could be a problem

    if i compare my bactests and my real account(s) i am not getting any major differences

    slippage is only problem with STOP and MARKET orders – with LIMIT strats not, for limit orders you are getting slippage to your favor

    this is comparation of backtest (black) on dukascopy data and RED (real account)

     

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    You want to be a profitable algotrader? Sharing of final strategies with real traders just started. Fill in this FORM. 1500+ final SQ3 and SQX strategies for members running on demo accounts DEMO ACCS. We provide also strategies for indices - DAX and DOW JONES, because we have realtick data from brokers.

    #257806
    Customer
    98 Posts

    Also in your case I can see that the number of simulated trades and real trades is not equal…so the differences come also from trade execution between SQX an MT4 (not only spread and slippage). But this is indeed an acceptable result….

    Which broker is the red line?

    Do you want to become a profitable trader? Join our free community to learn more about algo-trading:forum.coensio.com

    #257807
    Customer
    429 Posts

    differences will be everytime and everywhere – backtest is only a backtest with fixed spread and fixed slippage and on dukascopy data – every datafeed could be different, mostly at the evening when spread widening occurs

    but 60 trades is nothing in 1000 trades total – what counts is the USD comparation and this as you can see was different too in 2019/10, real account hit zero line, but backtest was in the profit (and not small) but after some time the real account is going very well as a backtest

    truth is – assumption that your backtest will be always the same as real account is nonsense – we can never simulate real live performance – till B126 the SQX backtest has issue with gap filling (so the backtest is more like a demo) – its fixed most probably only in B127

    some brokers have also no trading times (5 minutes every day) or some of them using no trading hours in the evening, etc. etc. everything counts

    basic is the direction of EQ curves and try to be hard to your backtest – use slippage, use wider spread, not use tick data with ECN spreads (lower values) and try to get on real account at least 70% of backtest performance

    You want to be a profitable algotrader? Sharing of final strategies with real traders just started. Fill in this FORM. 1500+ final SQ3 and SQX strategies for members running on demo accounts DEMO ACCS. We provide also strategies for indices - DAX and DOW JONES, because we have realtick data from brokers.

    #257810
    Customer
    98 Posts

    Thanks for your good feedback hankeys…I know about all issues including the gap filling one (I even think it was my own bug ticket), but i do not think this all is addressing my point I’m trying to make..so summarizing:

    What I see that some of my strategies are “more or less” correlate to my live trading and some are totally not..using THE SAME SETTINGS.

    some acceptable correlation

    So if I “think” I finally have found a good SQX set of settings for reliable strategy generation, because one of multiple of generated strategies correlate (acceptably) with my LIVE trading, I would like to use those SQX settings to build more strategies and sleep well…while live trading.

    BUT, this is impossible since if I build and test more strategies there will be ALWAYS strategies that do not correlate, even when generated with the previously found “good SQX settings”.

    So the only way I see is to incubate and select only those strategies that do follow the “expected” SQX behaviour, and trade only those BUT this takes many months of testing and as we know some of strategies will expire after X months.

    I hope this makes sense….

     

     

     

     

     

     

     

    Do you want to become a profitable trader? Join our free community to learn more about algo-trading:forum.coensio.com

    #257814
    Customer
    429 Posts

    real account is real account, demo is demo and backtest is backtest – we cant simulate everything

    the picture above from me is averaged portfolio of 50 strategies…and every strategy could behave differently throught times

    you can have better strategies than backtest…and on the other side the real behavior of strategy could be worst….task for the user is simple – make backtest not so precise…because backtest will never be picture of real behavior of strategy in the past on real account and future will be everytime different, because in real account we are getting many variables which cant we control

    You want to be a profitable algotrader? Sharing of final strategies with real traders just started. Fill in this FORM. 1500+ final SQ3 and SQX strategies for members running on demo accounts DEMO ACCS. We provide also strategies for indices - DAX and DOW JONES, because we have realtick data from brokers.

    #257860
    Customer
    251 Posts

    Hello, coensio,

    What’s your custom filters setting in Ranking?

    Is it same in 30 minute TF and 1H TF?

    And in the OSS and in the last future part, is it same?

    #258561
    Customer
    24 Posts

    Very interesting guys.. I’ve been working with this product for a couple of years and finding that the execution is different on different brokers. Just having the same algos in a portfolio across two different brokers can yield quite different results.

    Besides the obvious differences between brokers.. ie spreads, types of accounts, commissions.. I’ve  selected different brokers with similar attributes (spreads, ECN or STP etc)

    The algos I’ve been building are ones with stops and profit targets >20 pips.. so, I’m not targeting small pip amounts…  so less dependency on spreads. I’ve put no time dependency on any of the algos and brokers times are the same.

    However, I’m finding that the execution can be quite different and I am not 100% sure it is always the broker. The reason why I say this is that I’m also other algos from 3rd parties and some execution at exactly the same times with similar pricing. However, my algos created by SQX are the ones where the executions can be off by quite a bit.

    Looking at the MQL4 code that is generated, there is a lot of stuff in them… I was thinking of trying to take out the execution entries and exits of the code into a ‘clean template’ and seeing if it makes a difference but am not skillful enough to do this…

    Just wanted to share some thoughts and if anyone has found this too

     

    #258578
    Customer
    418 Posts

    Alan if the order is an stop or limit order it is placed at the broker and would execute even if the MT4 is offline which could be a couple of days from now. Now to further confuse you i can have same strategies on same broker having diffrent results but you cant look at one trade after a year they will have very simular result.

    • This reply was modified 1 week, 4 days ago by mabi.
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