SQ and MT4 backtests very different – Quant Analyzer more trades

On a particular break out strategy (attached – with stop orders and stochastic) I get very different results between SQ back tests and MT4 (either the built in or Tick Data Suite).

In addition as I want to know pip results (not only dollar values) I loaded in Quant Analyzer and to my surprise results changed again!

I noticed may trades with open and close at same price (as extra trades).

 

See attached MT4 report.

1350 trades

Load in QA and you get 2186 trades!

Again I place condition exit on Fridays

1416 trades

Load in QA and get 2447 trades!

Same report when imported in QA results differ,

 

Then in SQ

(1M precision or tick almost same)

1596 trades – much worse performance

and with exit Friday 1688 trades and downward equity curve.

 

Why so different results between SQ, MT4 and QA?

Don’t know which to trust. I will test other strategies but in this I found great divergence.

 

Alexis

 

 

 

It could be due to spread and commission, which typical breakout strategies are sensitive to.
Not sure if you’re aware, when using Tick Data Suite, your commission will be factored into your back test results if you are logged onto an account which charges commission. So your back test results will be different if you are logged onto an account without commission.
As such back test results in SQ will be different from the Tick Data Suite back test if you don’t input the commission value in SQ.
I have been doing several back tests and this is what I gathered.

I don’t think so. I have had them almost identical.

I used 2 pips spread in SQ, 1 pip slippage and 20$ commissions (=2 pips in EURUSD)

In MT4 I used 50 (5 pips).

The difference is too much did you check it yourself?

 

And then why Quant Analyzer import shows different reports then MT4? This is a different story.

 

Alexis

What I have noticed, regarding trade amount difference between MT4 and QA, is depending on the straregy, MT4 generates additional entries if the strategy moves stoploss to another value (ie with trailing stop etc), and QA reads that entry as a trade. So QA thinks that MT4 moving SL onto a different value was actually a trade. However, the other parameters should be nearly the same between MT4 and QA?