Deadline June

This is a discussion on Deadline June within the Trading Journals forums, part of the Reception category; Originally Posted by travis Seen from here, after a superficial analysis of your four posts above, if you have 3 ...

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Old Aug 26, 2010, 4:38pm   #407
 
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Re: Deadline June

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Originally Posted by travis View Post
Seen from here, after a superficial analysis of your four posts above, if you have 3 sources for your data (fxcm, tenfore and disktrading.com), and 2 of them match more than the other, I would immediately discard the one that is the furthest, so fxcm, if I am not mistaken. I would discard it and never look back.

I can't say more because I would be too superficial to speak with so little knowledge about your analysis. However that principle in my opinion holds true: 3 diverse sources of data, 2 almost match and one doesn't... I'd discard the one that doesn't and never look back. Then I would maybe get IB's data, and see which one is closest to IB, between disktrading.com and tenfore, and I would discard the furthest one. You would probably end up keeping disktrading.com, like me, for both reliability and very limited costs.

I also gather that we haven't been doing exactly the same type of tests. I've been doing tests of back-testing vs forward-testing, whereas you've been doing back-testing vs back-testing (on the same period by different data vendors). I know it's close, in that we both tested different data (even though I did different data on different platforms), but it's not exactly the same, because you still don't know if your execution will match your back-testing. Of course, the common and understood assumption is that we're testing the same exact period and system, no matter what platform or data we are using.

In my opinion as soon as you establish which data provider is feasible both in terms of quality and costs, you should do this next step: verify if your forward-tested trades (day by day, live, on IB TWS), match the same trades made in back-tested mode on NinjaTrader (I think that's what you are using for your back-tests).

Since your live trading is on IB data, if you could find a way to also back-test on IB data, that would be ideal. And you should have embraced it from the start, without even considering any other source of data. Of course, if you want as many as 10 years of data, that is not possible because IB only allows you to download the most recent period, probably up to a couple of years. My choice was disktrading.com and tradestation for back-testing and IB TWS and excel for live execution.

Of course this final test I recommended has some validity only because I have already gathered one year of forward-tested data, which you might not have done yet, because you've started trading the systems only recently (and maybe you haven't even started recording their live trades, in forward-tested mode).

As far as my own tests, I've only made one of 10 I want to make, but so far I can conclude that the trades match closely enough to continue things as I've been doing them, and that I am executing the same systems I back-tested. But thanks to these tests, I've corrected a minor problem which was causing bigger differences than I have now. On tradestation I was excluding trades taking place on friday, because they lasted longer than 24 hours, and I was confusing them with trades taking place on holidays (I cannot exclude those on tradestation correctly) or before data holes. Now i corrected the code and am including those trades made on friday night and closed on monday morning. However the results were matching before as they are now, because despite not counting those trades on friday the systems performed similarly. Yes, there were a lot less trades and I couldn't understand why.
Travis, how do you maintain your history of trades? NinjaTrader makes mincemeat out of the trade histories it builds (dumb beta versions) but I can probably download them from the IB website as Excel or .csv files.
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Old Aug 26, 2010, 4:52pm   #408
 
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Re: Deadline June

I use excel, so I made a macro that writes every signal on an excel sheet, whether it's a real trade or not. Then I save, week by week, my 100 lines of weekly signals (one line per transaction, whether real or simulated):

snap2.jpg
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Old Aug 26, 2010, 10:10pm   #409
 
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Re: Deadline June

Adamus started this thread Aha. Keeping it simple again, I see.
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Old Aug 31, 2010, 1:52pm   #410
 
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simulated trading results compared to backtested over same period

Adamus started this thread Trading period: last week 23rd Aug - 27th Aug.

I ran 14 systems in simulation last week on IB's paper trading account. That was fortunate since they would have lost $4,000 over 52 trades.

The backtest missed 10 trades that the simulation did and the simulation missed 3 that the backtest did.

While the simulation lost $4,000, the backtest only lost $800.

A lot of this can be put down to the GBP - USD 30mins pivot system which lost $1,247 in simulation but made $500 in backtest.

The yen crosses were really bad in matching up, the €-Yen made 600 more in backtesting than simulation, and the £-Yen made 500 more.

Generally speaking the systems traded more in simulation than in backtesting and the profitable systems in simulation were more profitable and the losing systems more unprofitable. Apart from the GBP. It's not really convincing though.
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Old Sep 1, 2010, 11:23pm   #411
 
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IB and other forex feeds

Adamus started this thread I was day trading the Euro-USD and a bad tick came in, so I have to refresh the data. I have set up NinjaTrader charts to pull the historical data from IQ-Feed which is a lot quicker than IB's historical data servers.

This is a "before and after" type shot. The first is the chart as built up from IB's live forex feed, the second is the chart using historical data supplied from IQ-Feed.
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eurusd-1-min-01_09_2010-ib.jpg   eurusd-1-min-01_09_2010-10-4.jpg  
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Old Sep 2, 2010, 11:44pm   #412
 
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Post another comparison

Adamus started this thread These charts demonstrate an issue with forex and currency trading that is becoming clearer to me now - it's essentially a camel market compared to the currency futures.

The IB live feed on the left is composed of data from a dozen banks but is sampled by IB or compressed or put through some sort of algorithm, for reasons unknown.

The chart on the right is Tenfore which is composed of data from thirty different banks. This is not filtered or compressed or sampled. There are even different symbols for each bank so I could choose which ever bank I wanted to chart data for.

But it's pretty obvious, the Tenfore composite signal is not something that is remotely like anything you could trade against. True there are a hell of a lot more ticks but they don't represent a single market, they represent 30 different markets. Since I don't have a broker to take my trades on those prices I guess I'll never know. Also there may well be time delays on some of the feeds causing the bars to overlap a lot more, e.g. at 15:20.

In fact, if I started looking at the individual symbols instead of the composite from Tenfore, I bet I could find arbitrage opportunities - if I knew it wasn't just caused by network delays.

I have unsubscribed from the Tenfore data, and I'm sticking with FXCM unless IB radically increase the download times for past data from their servers.
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Old Sep 4, 2010, 5:43pm   #413
 
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Post interesting article

Adamus started this thread Just want to save this link somewhere

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