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

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ChrisP

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3 years ago #269494

Hello, I recently purchase SQX Ultimate.  I’m familiar with executing/backtesting EasyLanguage scripts in Tradestation.  I have yet to get a single strategy to backtest in Tradestation anywhere near what SQX says results are.  Following SQX docs, I have done the following:

  1. Exported one minute candles from TradeStation and imported them into SQX (attachment 2021-02-26_14-37-37);
  2. Specified Tradestation for the SQX Data Engine during strategy generation;
  3. Exported Tradestation source code for generated strategy;
  4. Compiled source code in Tradestation as new strategy;
  5. Created Tradestation chart with same symbols/timeframes as SQX strat (attachment 2021-02-26_14-48-12);
    1. Also made sure no fees, slippage, etc specified.  Just trying to get raw trade ROI to line up.
  6. Made sure trade amounts and allowed trades are the same;
  7. As you can see in attachment 2021-02-26_14-52-34, SQX results look nothing like Tradestation results;
    1. Trade counts dramatically different (293 vs. 50)
    2. Monthly and total ROI dramatically different

Any help would be appreciated.  Until I can get SQX results pretty consistent with Tradestation results in backtest, SQX doesn’t do me a lot of good.  I’m sure I’m missing something, thanks in advance for your help.

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ChrisP

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3 years ago #269495

I thought it might be the timezone default when importing the historical price data from Tradestation, so I re-exported price data and made sure to specify “Exchange” for timezone in Tradestation export, and “UTC-05 (New York)” for timezone in SQX, and still same results, backtest in SQX and Tradestation radically different.

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ChrisP

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3 years ago #269497

I have now also tried doing the same thing with Multicharts using IQ Feed data source.  I export 1 min candles from Multicharts, and import them into SQX, build strategies in SQX, and then backtest them in Multicharts.  Results in Multicharts nowhere near what they are in SQX.  Any ideas?  It’s a simple strategy (i.e. no sub-charts) and I followed instructions here now for both Tradestation and Multicharts: https://strategyquant.com/doc/strategyquant/reliable-backtesting-in-tradestation-multicharts/

Thanks in advance.

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tomas262

Administrator, sq-ultimate, 2 replies.

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3 years ago #269505

Hello,

it would be the best if you send a sample strategy that we could work with to [email protected]. We will try to help to identify the reason for the difference. There can be some additional reasons why backtesting results differ

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ChrisP

Subscriber, bbp_participant, 13 replies.

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3 years ago #269506

Will do, thank you.

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carlos

Customer, bbp_participant, community, 20 replies.

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11 months ago #281856

Hello,

I have the same problem, I notice that the data has another time.

I never have a value of 17:00 in Tradestation and I never have a value of 18:00 in SQ, what is happening to the data?

Can you show an example of how to correctly import data from Tradestation?

 

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