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Big drawdown different between MT4 and QA

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xlt

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7 years ago #116263

Hi,

 

I just started testing Quant Analyzer I made simple test in MT4 and paste results in to Analyzer. I was surprised when I sow drawdown different between MT4 and QA . It is 21,5k Vs 0.5k. Can somebody help me understand why is this different and how I could fix it?

 

P.S. please find attacked example data.

File: qa.pngqa.png
File: QA.txt

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tomas262

Administrator, sq-ultimate, 2 replies.

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7 years ago #141305

Hello,

 

the problem here is that MetaTrader performance report does not contain information that could be used to determine open equity of individual position thus get precise minute-by-minute drawdown statistics. So we cannot do to much on our side to fix this.
Floating drawdown is available when importing strategies directly from StrategyQuant platform since it contains additional information.

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xlt

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7 years ago #141309

Hi,

 

Thank you for replay. it is possible add my EA to StrategyQuant and test it?

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tomas262

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7 years ago #141313

In the current version 3 you are very limited what you can draft by strategy editor. This will be possible though in the new version 4 which is on the way ..

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siolibros

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7 years ago #141833

thanks for info

i’m already a customer of yours

some time ago, i bought 2 full license of strategyquant

 

now i downloaded you last version 4 of quantanalyzer, in free version

i uploaed my last EA backtest from mt4, and i immediately noticed a big difference in drawdown

i’m using your last version number 4, that should include a new way to calculate open equity

why i still get the problem of  XLT user?

is it a limitation about 30% of equity control of the free version????

thanks

 

attached my html backtest, showing 16335.63 $ (13.76%) max drawdown

instead in your quantanalyzer it shows just 4120 $ of drawdown

 

it’s a serious problem

actually your product is not usable with external mt4 backtest

i know that it depens from mt4 reports itself (missing equity data), but your last version 4 should solved the problem with m1 data prices…. right?

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tomas262

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7 years ago #141905

Hello,

 

have you tried to test the “Open Balances” functionality in QA? You need import minute data for that

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siolibros

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7 years ago #141946

thanks for suggestion

yes, i’ve tried the OPEN BALANCES option

 

i started QA

i loaded my personal mt4 report

QA imported it, showing a wrong drawdown

i went to OPEN BALANCES tab, read instruction, and i copied all hst files from my mt4 to minutedata folder of QA

but i does not recognize any data…. (error is: “data file for symbol EURUSD is not specified”)

the hst files copied are the very same files used in mt4 with open bar method….

i also tried to close and restart QA several times, with no success

please help, thanks

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siolibros

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7 years ago #141963

The question is:

how to get “open balances” feature working?

 

The instructions say:

<>

 

So, if we put all hst files (it shoulbe be enough the M1) we used to create the mt4 report  into the specified folder of QA, the software itself should read this hst files.

I confirm I created my hst using tickstory tool.

I have been working with tickstory from several years, so I know how to do.

 

QA seems not able to read this hst files.

I already tried to put all hst files, plus fxt files, just to test all possible way.

I’ll wait reply from Thomas262

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tomas262

Administrator, sq-ultimate, 2 replies.

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7 years ago #141971

Hello,

 

you need to use CSV containing M1 data for corresponding symbol placed into the \minutedata folder. Once you load your report for the symbol you will see the symbol for the data in the list

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siolibros

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7 years ago #142012

Thanks for suggestion

Now, it worked

We exported CSV from metatrader as suggested.

 

The explanation inside the Open Balances feature is not complete, we suggest the Team to update in a more comprehensible way.

 

Despite this, the demo version is able to analyse only 30% of trades.

So, we had to buy the PRO version. We did it, and after that we ran again the “open balances” feature on the full history of our backtest.

Well, we confirm the equity chart shows all the full range period, BUT the max DD value shown is still the same.

The same wrong one.

 

This means QA is still not able to calculate the real DD, although using the dedicated CSV.

 

Very Bad news!!

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siolibros

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7 years ago #142016

Hey guys, Notch,

thanks for the quick reply

 

Unfortunately, we are very disappointed about this incomplete feature.

 

Nowadays, it’s still impossible to use QA to create portfolio optimization using external mt4 backtest, because DD are not reliable.

 

We already advised about this missing important tech feature from the beginning version of QA, some years ago.

As we can see, this feature was never fixed, neither now.

 

In this scenario, it is totally unuseful using QA to import/analyze ANY external mt4 backtest.

 

Thanks to latest version 4  “open balance feature” we expected QA was able to solve this problem.

We know for sure (we made it manually on a MS Access database, and it worked) that having the M1 CSV file loaded into QA, it’s feasible to correctly re-calculate the equity flow of open trades, getting back again the original DD value of the mt4 report.

 

This is the way to create a professional external auditing of any trading account history!

What about guys?

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siolibros

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7 years ago #142143

HI guys, what about this issue?

Any help from developers?

 

The external importer mt4 report feature of QA is incomplete, because it shows a wrong drawdown values.

 

We believe we are not the only ones who got this problem

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MFXS

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7 years ago #142154

Yes everyone has this problem and it really shouldn’t be much of a leap to base overview panel off open equity data when it’s available.

 

On other hand, close to close drawdown is actually quite a handy bit of a info if you’re running high reward strategies with trailing stops:

 

Imagine a scalping strategy which risks 2% per trade and has a 50R take profit … if your trade goes to 49R profit and then trails out at 25R profit, MT4 will tell you that you experienced a 48% drawdown; QA will tell you less than 2%.

 

The trade returned 50% and drew-down less than 2% of the account balance – which is a more accurate representation of the trade / strategy’s performance?

 

In my opinion,  QA’s drawdown statistic is more important with this kind of strategy. Like Sharpe Ratio and SQN, the traditional Equity Peak – Equity Trough Drawdown calculation punishes strategies that ‘let winners run’ and outputs an arguably misleading statistic.

 

Doubt it will ever happen, but would like to see an industry wide shift to Balance Peak – Equity Trough calculation, this would only punish negative drawdown (Like Sortino ratio only punishes negative volatility).

 

 

Hello,

 

Considering the above Tomas, when drawdown calculated based on equity is eventually implemented; can you please ensure the current method of close to close is still available as an option in the program? Because this data is very useful to us and actually isn’t available in MT4.

 

Cheers

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tomas262

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7 years ago #142173

Hello,

 

we can upgrade drawdown statistics in future version to better express actual drawdown of the strategy anytime in history (bar by bar analysis) which can also be used when composing a portfolio of multiple EAs. Close to close method will be kept of course.

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siolibros

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7 years ago #142179

Thanks Tomas for replying

 

Some years ago we already wrote about this issue, nowadays we expected to get it solved.

 

Practically, today your tool is not reliable when analyzing any external Mt4 backtest report. (not coming from Strategy Quant).

That’s it, it’s a big problem and I don’t understand why it was never fixed till today.

 

We bought years ago two licenses of SQ.

We are not just growler, but long time customers.

 

 

cheers

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ksaunders71

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6 years ago #144860

Hello,
 
we can upgrade drawdown statistics in future version to better express actual drawdown of the strategy anytime in history (bar by bar analysis) which can also be used when composing a portfolio of multiple EAs. Close to close method will be kept of course.

 
 
Hi Tomas,
 
I am very keen on this feature as well.
As you can see, a portfolio of strategies hides real information without your open balance feature. So well done on that!
 
However, I can’t get numbers on the equity draws shown here in blue (they are c-c draws not equity). Is there a way to get an export of the red line? Is it written to a file somewhere?
 
thanks in advance.
 
Kevin

Inked_Strat_Master_with_equity_LI.jpg

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