Topic: trouble in using imported data, could someone help please?
Dear all
I have been developing a strategy that seems to work on the built-in EURUSD15 data, as follows:
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Market: EURUSD 15 Minutes
Spread in pips: 3,00
Swap Long in pips: 2,00
Swap Short in pips: -2,00
Commission per lot at opening and closing in pips: 0,00
Slippage in pips: 0
Maximum open lots: 20,00
Entry lots: 1,00
Intrabar scanning: Not accomplished
Interpolation method: Pessimistic scenario
Ambiguous bars: 0
Tested bars: 19955
Balance: 3929 pips (49293,00 USD)
Minimum account: -33 pips (9672,00 USD)
Maximum drawdown: 169 pips (1693,00 USD)
Time in position: 36 %
[Strategy Properties]
A same direction signal - Does nothing
An opposite direction signal - Does nothing
Permanent Stop Loss - None
Permanent Take Profit - None
Break Even - None
[Opening Point of the Position]
Entry Hour
Enter the market at the specified hour
Base price - Open
Entry hour - 7
Entry minutes - 30
[Opening Logic Condition]
Momentum
The Momentum is higher than the Level line
Smoothing method - Simple
Base price - Close
Period - 24
Additional smoothing - 2
Level - 0,0008
Use previous bar value - Yes
[Opening Logic Condition]
MACD Histogram
The MACD histogram falls
Smoothing method - Exponential
Base price - Close
Signal line method - Simple
Slow MA period - 26
Fast MA period - 17
Signal line period - 14
Level - 0,0000
Use previous bar value - Yes
[Closing Point of the Position]
Stop Limit
Exit at the Stop Loss or the Take Profit level
Stop Loss - 30
Take Profit - 205
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Since the performance looks very nice (see upper half attachment ), what I would like to do now is to back-test this on a wider period data. I downloaded MetaTrader data as explained in http://forexsb.com/wiki/fsb/metatrader_data, saved it in a subfolder under the "Data" directory and changed the data directory to this subfolder. To check if the new data worked, I limited the rows in the file so to have exactly the same starting and ending times. What I obtained as Equity Curve is completely different than before, see lower half in the attachment. The only reason I can think of for that is there must be some difference in the files. Here is how they like in the first row:
built-in data: 20/08/10 09:15 1.28280 1.28323 1.28167 1.28191 764
MT4 data: 2010.08.20,09:15,1.27027,1.27034,1.26896,1.26976,620
What I show here is the same bar and even though the numbers are different I don't think this is the problem, because I plotted both files in Excel and the only difference is some time shift between the two. I am more concerned about the tabulation format, but they both look compatible, so I don't understand: there must be some trivial mistake due to my lack of experience.
In my mind the same strategy on (basically) the same data should give the same result!
Could someone help me to understand this?
Thanks a lot in advance