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Forums>StrategyQuant>Application Support>Trying (and failing) to get SQX backtest in sync with Tradestation backtest…

  • #269494 |
    ChrisP
    Participant
    8 Posts

    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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    #269495
    ChrisP
    Participant
    8 Posts

    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.

    #269497
    ChrisP
    Participant
    8 Posts

    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.

    #269505
    tomas262
    Administrator
    1821 Posts

    Hello,

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

    #269506
    ChrisP
    Participant
    8 Posts

    Will do, thank you.

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