2013-12-27

Data

Choosing the right data is critical for the strategy development process. The data's accuracy should determine the meaningulness of the backtest's result. Nevertheless there are systems which can be backtested and there are systems which cannot be backtested like newstrading and even some high frequency trading strategies.
In Forex there is not one price because of it's decentralized structure. Therefore the best approach in my opinion is to develop and test the strategy with different data sources. I prefer tickdata because it's most precise. Nevertheless I am not convinced that this data will always produce the most realistic results. I expect a lot of variation in the results of backtests, forward tests and backtests with different data sources and accuracy. Therefore I will take the average result over different brokers into consideration - not paying too much attention to one single result. On the other hand testing with different data sets offers the opportunity to pay attention to possible feed dependency of the system already within the backtesting stage. This could save a lot of time in the forward testing stage. I will be using the following data sources:
  1. Built in data of strategyquant
  2. Dukascopy tickdata
  3. Alpari data
  4. TrueFX tickdata
  5. Forextester data (free and paid)
  6. GAIN Capital data
  7. Histdata

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