Support Board
Support Board
Search Board
Control Panel
View My Posts / Threads
Direct MessagesDate/Time: Mon, 06 May 2024 01:46:26 +0000
Huge Differences in backtesting between
View Count: 772
| [2019-12-22 02:26:09] |
| Furinkazan - Posts: 19 |
|
In my backtesting of a strategy, I use both "CQG Web API" and "SC Data - All Services" data feeds. I found a huge discrepancy in results between the 2 data feeds. In a backtest of 1000 days of data, "SC Data" yields $200K of profits while "CQG Web API" yields only $5K! The strategy uses 1 minute chart. The "Intraday Data Storage Time Unit" for both data services is 1 Tick. I did a trade by trade comparison for many records and I found that trades almost always get a better fill using "SC Data". Even though the difference of individual trades is pretty small, the results could be significantly different even within a day, not to mention over 1000 days. The better fills with "SC Data" applies to both entries and exits. I've seen many cases where using CQG data would get me the worst possible fills on an exit. For example, it tends to exit on the extremes (high or low of the bar whichever is more unfavorable). I used Auto Trade System Replay Back Test with the following settings: Replay Mode: Accurate Trading System Back Test Mode Jump Method: To Next Bar Am I using the correct settings for getting the most accurate testing results? Is "SC Data" more accurate than the CQG data at the tick level? |
| [2019-12-23 14:42:46] |
| |
|
You need to update Sierra Chart to the current version because in the case of CQG, the expired contract Intraday data is in 1 Second units but in newer versions tick by tick data is downloaded even for the expired futures contracts. Instructions: Software Download: Fast Update Re-download all the data in the chart by going to the chart and selecting "Edit >> Delete All Data and Download". You just need to do this once per symbol and not for each chart. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2019-12-23 14:44:22
|
| [2019-12-24 02:34:37] |
| Furinkazan - Posts: 19 |
|
I updated to Version 2028 64-bit (29463:29464) following your instructions. Reran the backtests and got the similar results. How do I verify whether the expired contract Intraday data is stored in 1 tick units?
|
| [2019-12-24 03:14:31] |
| Furinkazan - Posts: 19 |
|
Sorry I forgot to delete and re-download the data. After downloading the data, the results on SC Data and CQG are much more closer. Thanks for your help! In live trading, does it matter which data feeds I use? Are any data feeds inherently better in getting better fills, or is that a function of the proximity of my machine to the exchange, or both? |
| [2019-12-28 05:40:22] |
| |
|
We would recommend using the Denali Exchange Data Feed.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2019-12-28 17:19:48] |
| Furinkazan - Posts: 19 |
|
Does Denali Exchange Data Feed work with a CQG Web API account? How does it work? Regarding tick data, are they only available for up to 1000 days for both SC data and CQG data? I asked because I found the backtesting results to be very different between the current year and dates that are more than a year old. |
| [2019-12-29 03:46:08] |
| |
|
Yes it does and this is fully explained here: Real-Time Exchange Data Feeds Available From Sierra Chart: Integration with Trading Services For the amount of historical tick by tick data available with the Sierra Chart / Denali Exchange Data Feed, refer to: Real-Time Exchange Data Feeds Available From Sierra Chart: What is Included We would have to check, but there is less historical tick by tick data that is available with CQG. It could be just about three years. There is much more available with the Sierra Chart data feeds. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2019-12-29 03:47:27
|
To post a message in this thread, you need to log in with your Sierra Chart account: