The problem is I have just 2 months of 1 Minute live data.

Ahhh -- yep, I know what you mean.  I have the same problem with the one US broker I use.  So, in that case, I use data from a different broker.  Please don't tell anyone I just contradicted my previous post.

Though people throw the term around, I really don't know what "data quality" means.  Also, I don't know how it actually affects back testing statistics or how one would even begin to quantify its affect.

OK, I better call it data range.
The problem is I have just 2 months of 1 Minute live data.

But I guess I have to deal with it in someway.

However, I do know the following:

1. Back testing with MT4 demo and real accounts -- from the same broker -- often yields different results.

2. Back testing with MT4 demo accounts from different brokers often yields different results.

3. DocZero demonstrated (in a different thread) that using the same data, MT4 and FSB-Pro do yield nearly identical results.

Like it or not, the data source makes a difference.  So -- if I'm going to trade a strategy with broker XYZ then I'll calibrate the strategy using data from my XYZ *real* account.  If I'm going to trade a strategy with broker QRS then I'll calibrate the strategy using data from that broker.

I keep separate folders for different brokers -- the folders contain the same strategies, but calibrated against data from that broker.

It's definitely redundant and sort of a pain -- but, you know, there's a very fine line between success and failure and it would be a shame to allow a strategy to trade poorly simply because it was calibrated using the wrong data source.

My guess it it would be the if your broker has high quality data which you can use for strategy creation and optimization.

Unfortunately only very few broker have high quality data available.

My current broker is IC Markets their execution is great no complains about that.
But the history data they are offering is bad.
I just get 2 months of good 1Minute data and that's it and since I know no way of building a live history database I'm always stuck with the last 2 months of data.

I generate my strategies with Dukascopy data (via Tickstory) but I cannot really compare them with the IC Markets data.
The strategies look similar during the last two months but it's not really satisfying.
Backtest woud not work either since I'd have to use Dukascopy for that also since not enough bars are loaded from my broker to make this work.

And I'm afraid there is another problem; many strategies need a certain amount of bars already loaded into MT4 to work.
But the quality of my broker's past data is qualitywise a joke compared to Dukascopy.

So I'm thinking does it make sense to just open an account with Dukascopy?
I mean it takes so much time and effort to create the strategies and then the (live) data is the problem?

What are your thoughts about it?

I can create an indicator (for free) that will chart two values:
(1) the latency (i.e. delay) between the time a close signal is received and the time the position is actually closed
(2) the delta (i.e. difference) in price at the time a close signal is received and the price used by the broker (or bank) when the transaction is completed

You would run this indicator in both a Demo and Live account.  You would expect the latency and delta price charts to be very similar but, if not, then it may warrant further investigation.

Mr. Popov, it would be very nice to get : Execution time, Slippage and Spread output in the log after each entry/exit executed

Very reasonable request.  I'm adding it to my ToDo.  Thank you!

In my experience this time is about ~200ms , so not very much ticks. If you get some, you get slipped, and with ECN good execution broker I sometimes get positive slippage. So in the end it pretty much evens out. If you are seeing higher execution times, like couple seconds and bigger slippages you definitely need to change your broker to better one, because it is stealing from you... I had used some nasty brokers, witch sometimes putted some artificial lag and slipped like 10 pips in some cases. You need to avoid these for all costs. You can insert some mql code to EAs output executions times and slippage after each order. I was doing it in old mql days... And found some surprises with some brokers, lag and slippage was a norm for them.  I can recommend some ECN broker what I think is good, but not sure what they say about USA users. If interested please PM me.

Mr. Popov, it would be very nice to get : Execution time, Slippage and Spread output in the log after each entry/exit executed in new FSB versions. It would be tremendously useful to catch NASTY brokers.

Hidden bad ticks

This was an excellent explanation and I now understand how lower time frames can be used to determine whether Max or Min occurs first.  However, I think there still is a problem with bad ticks -- and it is because several seconds and many ticks occur between the time your strategy receives a signal and a transaction is actually completed with a bank.

Let's suppose a bad tick occurs that is a Maximum and creates a TakeProfit signal.  But the actual price used by the bank will likely be much different because dozens of ticks can occur between the signal and completing the transaction.  So, whereas your strategy thinks it just won, it actually loses.

When the price action is relatively stable, then it probably doesn't make much difference if the price that caused the signal is a little bit different than the price used by the bank to close the transaction.

However, I'm not sure that FSB-generated strategies really protect us from bad ticks -- which contribute to the disconnect between back testing and live trading.  I won't claim that bad ticks account for all the disconnect, but I suspect they do contribute. 

I don't think this falls under the category of slippage -- because slippage is a naturally occurring difference between the price used to generate a signal and the price used to close a transaction.  Since slippage is not taken into account during back testing then it, too, can contribute to the disconnect.  In this thread I was primarily referring to bad ticks.  So, I guess what I'm suggesting is that since slippage and bad ticks contribute to the disconnect, and since they may have a bigger (negative) effect than using different broker data (assuming your strategies do not include a time filter), then maybe it is not so important to worry about using data from a particular broker because other factors have a bigger effect.

Sleytus, I am heavy user of time filter. Not all day is the same in forex trading activity. Asia session is a lot calmer, rangy, huge price movements is rare in these time, and it seems you filtered out these times with your 22-04 filter (to be exact it depends on timezone, but for GMT+2 it seems Asian ranginess is cut off). It means that calmer price action is not so profitable with your strategies. So why not skip some losses? During London and US session trading is a lot more active. It is very logical to filter out calmer/loosing market hours and leave more active trading hours what are suitable for your strategy. With some strategies you can find that opposite is true, and calmer Asian session market is more suitable. Also you can isolate only one or few hours in a day, like London Open time, or US open session, and you will find certain strategies suitable for that market volatility. In short "time filter" opens  some possibilities what you will not find without using it. If you are lazy not to reoptimize strategies, and have some reasoning for this, you always can shift few hours manually in time filter for timezone compensation.

With regards to the midnight price action -- you refer to a time filter.  Are you using the "Entry Time" indicator?

I just now started experimenting with the "Entry Time" indicator and finding that it frequently *improves* the statistics of many of my strategies -- e.g. the Win / Loss ratio goes up 5 - 10%.  I'm using an Entry Time of [4,22].  Why do you think it improves the stats?  From your example, when you apply a time filter it removes the midnight price action and your stats go down.  Why do you think mine go up?

And now I think you've answered my original question about brokers.  If a strategy includes an indicator such as "Entry Time" then you really must optimize using different broker data for each account.  As a US client I have to use foreign brokers -- so I'm using brokers around the world -- EU, South Pacific, etc.  And their time zones are very different.  So, a strategy that was optimized using data from a broker in EU may not perform as well with a broker located in the South Pacific.

GD -- thanks for your recommendation about the indicator that checks for maximum spread.  I will give that a try.  With regards to MT4Tracker and FSB Pro Journal -- FSB Pro already provides stats for each strategy, so I'm not sure what more MT4Tracker could do.  Also, MT4Tracker was intended to be used for portfolios, and FSB Pro journal shows the results for only one strategy.

Just some information...