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Posts: 6

1 (edited by Minch 2020-02-29 16:24:39)

Topic: Using Broker Data

Hi,

Theory question for you. We all know that we "should" be finding strategies based on the same broker data that we intend to use. It seems intuitive, firstly, but my question is why.

I know for one that this is important to compare results of the backtest in the strategy software with the execution platform, but all you are effectively doing here is checking you have the same settings. If they match and we get the same results, this seems comforting, and when they dont match we flip out and write a message to the forum. But I dont necessarily see any extra value in getting two systems to match. Here's why.

A good trading system isnt just about the backtest due to overfitting, as we know. It's about how robust that system will be in the future and on unknown data.

We test the robustness with Monte Carlo and how good our little boat will fare in unknown seas and the MC looks to scramble things up as much as possible and simulate the unknown future - if the strategy passes the MC, we say its a good strategy. If your strategy is a boat (my analogy) then the MC test is a wave machine designed to upset your vessel in the test pool, creating different conditions to make your strategy capsize.

But "different" data - i.e. non broker data (different currency & same currency and different broker) is also a kind of MC test. Different data is also testing the strategy on a different currency pair and if the strategy does well there, we say its a good one. Surely the best test is to push your strategy onto very different markets and expose it to as wide a range of conditions as possible. Would it be better to have 1) a strategy that worked very well on ONE currency or 2) a strategy that worked averagely on multiple markets/datasets - which is the better one?

My thoughts are that it could be interesting to find strategies that work on "multiple" currencies and data sources and also to trust the numbers rather than get caught up on how the balance chart looks. Im trying to find strategies that have the right numbers on different data, rather than solely having a nice comforting equity graph (although this is useful to prune strategies that seem to have losing streaks). For some of my tests, Im blocking out the equity graphs and then checking these only at the end of the process, so I am trying to rely on the filters more and more.

I guess finding a good strategy is a blend of approaches. Im just interested (as usual) to hear others experiences on whether they always use same broker data or not.

Re: Using Broker Data

The purpose of creating strategies in EA Studio or FSB Pro with the broker's data is to be able to confirm that the strategy works in the same way in MT. Some traders believe that the only "correct" testing is in MetaTrader "every tick" with 99.99 testing quality. It is important for these traders to test with the same data in order to have a perfect match.

We are sure that FSB Pro and EA Studio are the best backtesting platform in the industry, however, sometimes a cross-check is a good idea especially to be sure that the EA Studio or FSB Pro indicators are equivalent to their MQL version. We use this mostly in the development process. It is also very useful when we make videos or documentation in order to have the same results.

It's about how robust that system will be in the future and on unknown data.

Yes, you are right. Having good results on new data is the best robustness test.

Re: Using Broker Data

Thank you, Popov - that makes sense

Re: Using Broker Data

I spoke to my broker the other day as MT4 had very little historical data, and he advised me to download data from the History Center in MT4.  I asked him explicitly if this was Metaquotes data, and he said that for them (IG Markets), they provide their broker data through this mechanism, but can't change the messaging in MT4.  I asked him multiple times to confirm that the History Center in MT4 was in fact the broker data and NOT metaquotes, and he confirmed.

Does anyone know if this is correct / possible? Can the brokers over-ride the MT4 History Center with their own data?

Re: Using Broker Data

I doubt it. Can you check and compare? Download from center vs saved from chart. Or another demo account and compare center vs center data. The best tell-tale would be volumes, I think. If those don't match, then you have your answer.

Re: Using Broker Data

Those are probably from MT4 Metaquotes.

Brokers do not "need" to provide data for more that 1.5 years in h1 chart. that is 13k - 15k candles / chart. Traders will trade with even lesser candles. This is why their MT4 do not store so much candle sticks.

If you need broker data for back testing, you will have to raise a ticket with your broker. If your broker keeps data, they got something to send. If your broker don't care, they will have nothing to send. Either way, you'll be better off with Metaquotes.

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