metrics calculation (SQX vs Quant analyzer 4)

Hi !

When try to export any strategy from SQX to QA4  my metrics are totaly different.

for exemple, for the exactly same strategy i have a RET/DD ratio of 5.66 in SQX and 10,21 in QA4…

it’s the same problem with sharpe ratio, in SQX i have 0,69 and in QA4 i have 0,1…

what is the problem ? why i’ve not exactly the same backtest results ?

thanks by advance !

hi, thx for your fast response !

unfortunately it’s not the problem… it’s right, i’ve made a mistake during my upload and 1405 trades is due to main data backtest + crosscheck 😉

why are some numbers so different?
and why doesn’t my backtest start on the same date?

sorry for my poor english but i really thanks you for your help 🙂

Hello,

I have also found some differences that needs to be rather checked in QA. I have made a report to developers to check it

As for the Ret/DD I get the same values if the initial deposit is set to the same value

settings in QA doesnt have impact on stats – QA is only a viewer

Hi,

The Ret/DD has always been the same between SQX and QA. Same as PF which it’s the main metric I use.

On my Pre-SQ time I always used Sharpe Ratio, but I remember that its calculation has always been a mess, I think there was a bug opened long time ago because of that. Never knew which result was the good one so I jumped to PF

I apologize for reviving this thread, but I’m just learning to use SXQ and noticed the same problem when loading from a SX3 file (SQX doesn’t load in QA).

Can you explain why that could be ?

Thanks.

Hello,

slightly different formulas are used for QuantAnalyzer and StrategyQuantX that can cause differences. If you are not sure if its a bug or not please send us an email to [email protected] so we can review it