Topic: Differences in trading results

Hello -

I've been experimenting with FSB for a while now and slowing beginning to figure it all out.  However, one thing I have not been able to understand is why there are significant differences in results if data from different brokers are used, and also differences in the results obtained in FSB and the results obtained from live trading even when, in the latter case, the data is from the same broker.

The attached spreadsheet has 3 tabs all with last week's using the same 5M strategy.  The first tab shows results shown in FSB using JForex data, the second tab using ATC data, and third tab shows results from live trading through ATC.  As you can see, the results in all 3 tabs are significantly different from each other.  I can understand why small differences might exist, but can you help me understand why the difference is so great, particularly between the results obtained using ATC data and from live trading using ATC?  Thanks.

Re: Differences in trading results

Sorry, I attached the wrong spreadsheet to my first message.  Here is the correct one

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Results Comparison.xlsx 24.08 kb, 4 downloads since 2011-11-07 

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Re: Differences in trading results

I found this problem before and discovered it was because different brokers use different GMT offsets. If you can check those first you may be able to re-align the data to get more consistent results.

Re: Differences in trading results


That would explain differences when using data from different brokers, but what about the difference between the trading results shown in FSB using last week's data downloaded from from ATC Brokers and live trading results through ATC Brokers for the same week?  It would seem to me that these results should be substantially the same.  However, they are quite different.  Any ideas?

Re: Differences in trading results

These might introduce some variation:

Tick vs Fixed Spread: sometimes the spread widens or narrows in real trading, FSB usually has a fixed number of pips for the spread. I think you can solve this by interpolating tick data, I've never tried though.

Interpolation: FSB cannot know the path of ticks in a bar without lower time frame data, it estimates with a "pessimistic", "optimistic", or "nearest" bias. Example -- if you use a band indicator, usually the bar hits the high band or the low band, so it's clear. But some bars expand wildly past a narrow range, so the high and low band get hit in the same bar. FST real trading would know which got hit first; FSB does not, unless you have lower time frame data that it can scan.

Overlapping trades: sometimes trades affect each other, like blocking the next trade, especially if your strategy gives frequent signals but holds the trade for a long time. I think this thread may be an example: … me-in-fsb/

Indicator Bugs: Some indicators have bugs, a lot of the ones I've written, they always have bugs. The way to find them is let FST run a while, then get that data into FSB, and compare the indicator values for the bars (not the trades). FSB indicator values should match FST indicator values for closed bars, if not there is probably a bug. Some other common bugs:
- indicator redraws itself in FST because it has live ticks coming in
- indicator gives signal based on highest or lowest value of bar and enters before bar closes

If you find mismatching values, it helps a lot to post it, with a couple of screenshots, that helps track down and fix it.