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Refreshing Historical Data Programatically
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Refreshing Historical Data Programatically

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Refreshing Historical Data Programatically

I see differences (in the entries mostly) between my strategy running on RealTime for a whole session and the results if I open a new chart at the end of the day and run the strategy on totally refreshed data. YES, there are better results on the historical data. I dont really put that down to 'slippage': I think there is more involved.

My gut feeling on this is a need to refresh historical data after the completion of each trade ('clean slate theory'), and it would be so nice to do that within the strategy without having to re-enable it. Any ideas on how that can be accomplished ??

I am open to any and all suggestions. NT support has advised that it cant be done ....

Jon


Last edited by Trader.Jon; January 25th, 2011 at 08:18 PM.
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  #3 (permalink)
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Trader.Jon View Post
I see differences (in the entries mostly) between my strategy running on RealTime for a whole session and the results if I open a new chart at the end of the day and run the strategy on totally refreshed data. YES, there are better results on the historical data. I dont really put that down to 'slippage': I think there is more involved.

My gut feeling on this is a need to refresh historical data after the completion of each trade ('clean slate theory'), and it would be so nice to do that within the strategy without having to re-enable it. Any ideas on how that can be accomplished ??

I am open to any and all suggestions. NT support has advised that it cant be done ....

Jon

If you use a quality (time stamped) data feed, at least the price data should be identical. Where you may find differences is in the reported volume / tick volume.

What you suggest, would reset historical data each time you start a strategy. This will help to make the signals better that occur during the first few bars of the new strategy, but these bars again will be real-time data bars, so the impact of your historical data download will quickly fade away.

I believe that the solution to this problem is a proper real-time data feed.

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Fat Tails View Post
If you use a quality (time stamped) data feed, at least the price data should be identical. Where you may find differences is in the reported volume / tick volume.

What you suggest, would reset historical data each time you start a strategy. This will help to make the signals better that occur during the first few bars of the new strategy, but these bars again will be real-time data bars, so the impact of your historical data download will quickly fade away.

I believe that the solution to this problem is a proper real-time data feed.

Thanks for your input Fat Tails,

I dont disagree with you, and I have the feeling I might be in a maybe/maybe not issue . Some entrys it makes a difference, other not. Also, not limited to first entry after data refresh.

I think I have to stay on a broker feed for forex else there might be too much difference with a feed from a different source.

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Trader.Jon View Post
Thanks for your input Fat Tails,

I dont disagree with you, and I have the feeling I might be in a maybe/maybe not issue . Some entrys it makes a difference, other not. Also, not limited to first entry after data refresh.

I think I have to stay on a broker feed for forex else there might be too much difference with a feed from a different source.

If you talk about FOREX, it is most difficult, as there is no centralized exchange. Historical data might come from a different source, so you cannot use it at all. The only way you can check performance here is via life test or replay. Any backtest based on historical data will probably fail, unless you only trade large time frames.

One reason more to switch to currency futures. They also have better volume information than FOREX, which mostly is converted tick volume.

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