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frostengine
Registered: Oct 2005
Posts: 1215 |
07-22-12 09:33 PM
The EC2 instance is back online and ready for the week to begin. I have configured EURUSD,AUDUSD,and GBPUSD to run against version 1 strategy. While NZDUSD is configured to run against version 2 strategy.
Both strategies are still optimized only for EURUSD, but I want all 4 pairs running so that I can continue to gather data such as slippage etc.
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frostengine
Registered: Oct 2005
Posts: 1215 |
07-23-12 03:44 AM
Quote from gmst:
No, this just proves that the data on which backtesting is being done is completely screwed up.
I think this experience should be enough to clearly demonstrate that MB Trading is a bad choice. Move to OandA - use their data for backtesting - and your backtested numbers will bear resembalance to actual executions. Or, move to IB - but then you will pay full commissions even if you are trading micro lots. FX Futures are other option - you will get good data in all 3 these cases. You decide - but obviously MB Trading is worthless for developing systematic intraday trading algos - unless you are doing algos on dailys.
Finally, I think OandA is what you are looking for.
I do not believe OandA works with NinjaTrader? I also believe, there are fundamental problems with Backtesting. It can help give you an"idea" how a strategy will perform, but is not much more than that.
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gmst
Registered: Jul 2011
Posts: 3695 |
07-23-12 06:30 AM
Quote from frostengine:
I do not believe OandA works with NinjaTrader? I also believe, there are fundamental problems with Backtesting. It can help give you an"idea" how a strategy will perform, but is not much more than that.
You are correct. OandA doesn't work with NT. Sorry for that suggestion.
Also, I agree with your assertion that there are "fundamental problems with backtesting". Having said that, there is no way you can test a strategy and can have confidence in it if the historical data used to develop the strategy is different from the live trading data (in the sense that live data for today is different from the data if you query it tomorrow from the historical server of MB Trading.
This difference between historical and live data (because they come from different servers) is the bigger problem here. This is easily solvable if you ditch your currrent broker and rather move to a broker whose historical and real time data are similarly generated. Do you see what I mean? IB and CME futures are the obvious choices that will work with NT.
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