Mismatch between SQX and MC
5 replies
Koiosw
5 years ago #240437
I have found that strategies would be huge difference between SQX and MC after update.
Is here any user using Multicharts facing same issue? and how you fix it?
I just found that if i use main chart + 2sub chart, source code will using data1 as subchart 1, and data2 as subchart 2 in MC
however, it should be data2 and data3
Mark Fric
5 years ago #240439
Hello,
we are working on it right now. Please attach few of such strategies to your task in roadmap so we can reproduce it.
Mark
StrategyQuant architect
Koiosw
5 years ago #240444
eastpeace
5 years ago #240464
//————————
// Orders Exits (SL, PT, Trailing) for Rule: Long entry
//————————
if(MarketPosition > 0) then begin
If BarsSinceEntry = 0 then begin
LongSL = 0;
LongTrailingStop = 0;
end;
LongSLPlaced = false;
// StopLoss
LongSL = Round2Fraction(EntryPrice – (1.6 * SQ_ATR(20)[1]));
LongSL = SQ_CorrectMinMaxSLPT(LongSL, MinimumSLPT, MaximumSLPT, true);
…
If longsl calculation is besides ‘if barsinceentry=0 then begin … end;’ ,
LongSL is varied every bar because that ATR value is changed.
PT setting with same problem.
If sl and pt will change every bar, how to restrain risk-reward ratio?
And some other strategies using SAR have different equity curve in SQX and MC.
Koiosw
5 years ago #240478
Seem SQX not fully support MC right now…
I have tried over thousand strategies and none of them is match with SQX, not even similar
Mark Fric
5 years ago #240483
Koiosw – I see that you use multile subcharts in your strategies, this hasn’t been completely tested yet. Strategies that use only one chart should work correctly.
eastpeace – I tested your strategy, it matches, see the screenshot. I tested it on different data, but there are no differences, so the backtest engine is the same. If you see the differences it is most probably in settings configuration.
We are looking into these issues, in the next build we’ll publish a short guide how to set it up to achieve reliable backtests between SQ and TS/MC.
If you want to share your data with me contact me via private message and I can retest it with your data and settings.
Mark
StrategyQuant architect
Koiosw
5 years ago #240485
ok…let me try using one chart only
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