Check your back-test data

[moonmist]

@
For example: I trade ES (S&P Futures) using pre-programmed strategies. I did initial back test using historical data from Kinetick, then because I trade at Interactive Brokers, I turned on my strategies using data from IB. What I noticed after few weeks, is that I had discrepancy between my real trades and simulated trades (using Kinetick data). Apparently to improve data reliability IB aggregates executions every 0.1 sec, which doesn't sound like a lot but did create discrepancy between my real and test parameters. Over long term, I am sure P&L impact would be negligible since changes would work both ways. However, in real time it drove me nuts, every time I got into a loosing trade that did not register on test data. I ended up switching to Kinetick data for real trading to try to keep my sanity.

I had similar experience:

About two years ago, I developed a very simple automated trading system using TWS /Sierra Chart. At that time, I thought Interactive Brokers' data were good enough for Globex futures back-testing, and real-time trading.

Once the automated system executed a LIVE trade, and was stopped out at breakeven plus one tick. (Sierra Chart would move the stop loss order upon 10-tick profit.) After the market closed, I ran a back-test to make sure that the system could reproduce the LIVE signal. No problem. Ran it for the second time. Same result. Finally, I did a "delete and re-download all data", and ran the back-test for the third time. The signal was gone. Ran the back-test for the fourth time. Nothing.

Like the OP, I switched to IQFeed, which is the same as Kinetick, to keep my sanity.

 

[jharmon]

Re Moonist:

Next time you need to be like "CSI" and do the forenzics and figure out "why" and ask them why this happened.

It could simply be a cancelled trade causing this and that is the way they deliver their data. You might not receive the cancelled trade until hours later.

The only way to be really sure is to look at an unadulterated version of the sales data for that day with all of the trade condition codes so you can pinpoint what is going on.

It might be a case of "they are both right" in terms of their published methodologies but without knowing you might just be substituting one flawed system for another.

 

[moonmist]

Re Moonist:

Next time you need to be like "CSI" and do the forenzics and figure out "why" and ask them why this happened.

It could simply be a cancelled trade causing this and that is the way they deliver their data. You might not receive the cancelled trade until hours later.

The only way to be really sure is to look at an unadulterated version of the sales data for that day with all of the trade condition codes so you can pinpoint what is going on.

It might be a case of "they are both right" in terms of their published methodologies but without knowing you might just be substituting one flawed system for another.

This seems to be the answer:

http://www.elitetrader.com/et/index...correct-market-data-feed.283277/#post-3962726

 

[mrez114]

Export the data using NT standard export.
Then delete within NT the data you have just exported.
Then reimport to NT the data you exported, but with the import timezone set to EST.

Hi abattia, so something really weird happened. I haven't been able to convert 20 years of data i purchased, but did follow your suggestion with 6 months worth of data in 2010 to see the Flash Crash. When I imported the data using Easter Time Zone, Flash crash occurred at 11:45am, so I blew it away and re-imported data using Pacific Time Zone. This gave me the result I was looking for, but now I am totally confused. Which Time Zone did backtestdata.com initially save this data in? Why did Pacific Time Zone worked?

 

[Paghy]

mrez114,

I tried contacting you via your blog, but never heard back. Maybe you have given up on backtestdata.com (AKA ninjatraderdata.com). Anyhow, I found this thread and thought I would reply to you here.

mrez114 said:
I was a little skeptical about the company at first since I could not find much info about the company or who the owners or officers were, but I did find a lot good reviews from what appeared to be happy customers.

I hate to break bad news to you, but all the reviews you are referring to are fake. Both Backtest Data (backtestdata.com) and Ninjatrader Data (ninjatraderdata.com) are operated by the same company out of China. A quick lookup and you will discover both sites are sharing the same server host.

Want more proof the reviews at Ninjatrader Data (ninjatraderdata.com) are fake? Try submitting a review. Surprise, you can't. The submission page doesn't even work. From the same bad english, grammer & spelling, I would say all the reviews are from one person. Most likely of Chinese descent.

As you already guessed, yes, you were scammed.

Paghy

 

[pcijoin]

They saved in New York Eastern Time. I bought the all future historical data and market replay data pack from them an year ago and had no such problem as you described. Their customer service was pretty smooth. Did you mix the data with other data you already have in your computer? Also from whois I check, Backtestdata.com is hosted in New York and its DNS is in Cloudflare CDN I think.