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Different signals with different data range
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Different signals with different data range

  #1 (permalink)
Trading Apprentice
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Different signals with different data range

Hey,
I'm currently facing some problems with a new system. The problems is that when I change data range of the historical prices I get different signals. For example if I change starting day 1.1.2010 and compare it with one with starting day 1.1.2011 signals are different for some of the trades. The problem also occurs when i use different symbols and backadjustment types, so that is not the case this time.

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  #2 (permalink)
Market Wizard
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jjsshh View Post
Hey,
I'm currently facing some problems with a new system. The problems is that when I change data range of the historical prices I get different signals. For example if I change starting day 1.1.2010 and compare it with one with starting day 1.1.2011 signals are different for some of the trades. The problem also occurs when i use different symbols and backadjustment types, so that is not the case this time.

Sounds like "starting point dependency" to me. If, for example, you are using an exponential moving average (instead of a regular moving average), your results will change depending on where the calculation starts. This is because some calculations (like an exponential ma) calculate using all previous data. The differences might be slight, but just enough to trigger signals at different times.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #3 (permalink)
Trading Apprentice
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I was also thinking about that. There is one indicator which are using all available data. How do you handle this kind of situations when placing new orders?

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  #4 (permalink)
Market Wizard
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jjsshh View Post
I was also thinking about that. There is one indicator which are using all available data. How do you handle this kind of situations when placing new orders?

I keep the start date the same for all testing, and then for live trading. In some cases, I am running charts from 5-10 years ago, and trading live, just to keep calculations with a consistent start point.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #5 (permalink)
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You could also measure the statistical significance of starting date on you results via a Monte Carlo simulation. THat will give you an indication if you should worry.

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