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Forums>StrategyQuant>General Discussion>Mismatch between SQX and MC

  • #240437|
    Participant
    4 Posts

    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

    #240439
    Administrator
    2077 Posts

    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

    #240444
    Participant
    4 Posts

    here you are , thanks.

    500 strategies is too large to upload, just provide few for you first.

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    #240464
    Customer
    244 Posts

    //————————
    // 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.

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    #240478
    Participant
    4 Posts

    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

    #240483
    Administrator
    2077 Posts

    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.

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    Mark
    StrategyQuant architect

    #240485
    Participant
    4 Posts

    ok…let me try using one chart only

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