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Trying (and failing) to get SQX backtest in sync with Multicharts backtest

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Chris

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1 week ago #274140

I have followed this excellent article “How to build and backtest strategies in MultiCharts” which looks like it covers all of the bases to get Multicharts (MC) backtest results in sync with SQX results.

However, even following all of those steps, with a simple strategy generated by SQX, I can not get trades in sync.

The trade count is very close (990 vs 984) since January 2009, but mostly because the strategy trades about once a week (always exits on Friday if not already exited for the week). You’ll note below that, while the trade count is the same, the trade signals/times are not.

I’m running the following versions:

SQX Version
MC version

On a very robust server (96 cores, 1TB ram, 5xSSD, etc):

dxdiag
Performance

Per the article above, I made sure that:

Data correctly exported from Multicharts and imported into SQX

This is evidenced below by a random sampling. As I’m trading ES Futures, the timezone for both is set to Exchange/CST.

Data exported from MC
Same data after imported into SQX
Instrument imported with correct timezone

Setting up sessions in SQ X

I made sure to set up and use identical sessions in MC and SQX, both set to the timezone of the exchange:

Session in MC
Session in SQX

In SQX and MC, set both to use matching Session from above:

Session setting in MC
Session setting in SQX

I re-imported and recompiled SQX custom indicators into MultiCharts just to make sure I had the most recent versions:

Import Indicators

However, after doing ALL of that, as you can see in the excerpt of trades below, the trade signals do not match (except for the end-of-week exits of course):

SQX Trades
MC Trades

The strategy generated is quite simple, and only uses a couple of indicators (along with a pips-based stop-loss and take profit target):

SQX Pseudo code

SO, ANY IDEAS WHAT I’M MISSING??

I have tried with a number of different strategies generated by SQX, and get the same results, hence me taking the time to post this very detailed request for help, so thanks in advance for any suggestions.

(PS I’ve also attached the trades generated by both SQX and Multicharts)

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Chris

Customer, bbp_participant, community, sq-ultimate, 6 replies.

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1 week ago #274142

Here are the Multicharts trades generated.

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