Where to setup Commissions and Swap?
1) do i setup my commission fee only in the Data Manager direct at the Pair? Or also under the point Full Settings / Data? I am afraid, that SQ calculate with “dobble Comission” fee 😉
2) where i can setup the SWAP fee?
swap fees setting is not yet implemented but this is planned. Using DataManager you can pre-define cost of commissions and then modify using ‘Full settings -> Data’ tab
Swap are important, there is a big difference between a strategies with an holding period of 2 days or 50 days or even 100 days !!!
SQX don’t make any difference. this is a real problem.
SQX is giving me strategies with the same Net profit when the trade holding period is 2 days or 200 days !
We really need it.
Can you tell us when it will be done ?
I see a “What If” simulation with a swap since Build 131,
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<b>But how can we have the swap in a Walk Forward Optimization ? or any other robustness test ?</b>
And we need this information directly in the Data Manager setup as well
2 weeks ago #274433
you can estimate the average swap and add it to the commission. That should be good enough to test your strategy.
Thank you for your answer
from a strategy to the next strategy , you have a complete different holding period
you can have an average of 1 days in one strategy, and 50 days in another strategy.
The swap cost would be completely different.
You can’t adjust it from one strategy to the next strategy,
specially when you are doing a Walk Forward test. Each Strategy with its parameter is giving you different holding period in each run.
For a better quality results, we need to have the swap cost in the Data Manager setup and in the cross check
Otherwise you can have strategies who look nice with profit, but who are terrible with the swap cost.
The success of your strategy depends on the accuracy of the results.
The swap cost is an important part of this accuracy
2 weeks ago #274439
I think you will find that incorporating swap costs is not a trivial task else they need to charge more for the software. Swap costs are not just a single number like commission and very much depend on each broker but you can simplify and say lets use the intermarket rate to calculate.
I would be surprised if the SQX people are going to implement this any time soon. But since SQX is extensible you can probably code up something and add to your strategies.
thank you Bee for your answer,
Each trader could enter the swap cost of his broker in the Data Manager like we are already entering commission cost of the broker.
Multicharts have it, Tradestation as well since a long time.
This is a simple calculus, and it make a big difference in the accuracy of the results.
It should be already included, specially when we know that the results are inaccurate without it and swap cost is not a complicated formula.
I see you have created a request for extended swap cost calculation in SQ https://roadmap.strategyquant.com/tasks/sq4_8341. Thanks for that, developers will consider including this into a future release of an SQ update
Thank you Tomas for your answer.
I had to create a request because it was really necessary for future plan.
Thank you for considering it.
I know how much your team are working on SQX on multiple front.
Your team are doing a fantastic job.
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