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BIG Difference between CQG data and IQFEED data. MC Backtest completely Different
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Created: by Dvdkite Attachments:4

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BIG Difference between CQG data and IQFEED data. MC Backtest completely Different

  #11 (permalink)
Trieste Italy
 
Trading Experience: Beginner
Platform: Multichart
Broker/Data: Dtn Iqfeed
Favorite Futures: Mini dax
 
Posts: 128 since Feb 2018
Thanks: 120 given, 13 received


centaurer View Post
Your strategy is probably overfit to one dataset also.

Hello centaurer, I think that this is not the case. I developer this strategy last year to buy/sell over the Value areas levels of the previous day... then This Year I simply changed the levels with some Gann square of nine levels and without touch ANYTHING of the code the strategy appeared so good at the first shot!
Then I decided to run an optimization to have an idea of what Stop Loss number of points would be the better solution.. and surprisingly the BEST and the WORST scenario were very acceptable and the strategy was profitable...
So I think that for the FIRST time I found one of my strategy good and profitable without an optimization and after some real time simulation I decided to go live...

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  #12 (permalink)
Trieste Italy
 
Trading Experience: Beginner
Platform: Multichart
Broker/Data: Dtn Iqfeed
Favorite Futures: Mini dax
 
Posts: 128 since Feb 2018
Thanks: 120 given, 13 received

Thanks ABCTG

ABCTG View Post
Dvdkite,

... Also make sure that both symbols use the correct symbol settings and session times in Quote Manager.
Regards,

ABCTG

and ocpb

ocpb View Post
....
I know you copy/pasted to create these, but when you edit an instrument symbol, MC may at that point reset to some default values. So check the "break on session" checkbox, the session times, chart dates, etc.

Just a quick update... I was checking all the possible difference in the instrment settings on the chart (and they're the same), then I checked the symbol settings and they're the same but I found different session times... so I updated CQG DD to the same session hours of the IQfeed XG and some things changed... for example the 2 different operations showed above now Are the same.. and CQG entered corrected long as in the first IQ feed screenshot.

I was thrilled about this but when I compared again the strategies just last 3 months (from half december to now) the results were still so different.. the strategy who was running IQfeed data earned around 9000$ and the strategy who was running CQG data was earning 2500$... again different operations...

At the moment THIS IS ENOUGH for me to decide to RUN the strategy using IQFEED data and only CQG for routing orders.
Even with further investigations (that I'm going to do for sure anyway) and assuming that this is going to be MY FIRST TIME EVER live with a completely automated strategy I will not feel "safe" even in the case that cqg will start to perform the same backtests...

Also I checked with LIVE real simulation using IQFEED that the last 15 operations are the same as in the backtest

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  #13 (permalink)
Legendary  Vendor: www.abctradinggroup.com 
Hamburg Germany
 
Trading Experience: Advanced
Platform: Multicharts, Tradestation
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 2,022 since Apr 2013
Thanks: 354 given, 1,273 received


Dvdkite,

you are welcome and thank you for the update. Depending on what data you used for the test for the three month period, you might have compared the June contract to the March contract for some period again, which could account for some differences.

Regards,

ABCTG


Dvdkite View Post
I was thrilled about this but when I compared again the strategies just last 3 months (from half december to now) the results were still so different.. the strategy who was running IQfeed data earned around 9000$ and the strategy who was running CQG data was earning 2500$... again different operations...


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  #14 (permalink)
Administrator: Retired Backtester
Rennes France
 
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sam028's Avatar
 
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It's painful but there is only one thing to do:
- select a specific trade
- compare the market data received between the two data feed to see why the signals were different

Success requires no deodorant! (Sun Tzu)
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  #15 (permalink)
Hartford, CT. USA
 
Trading Experience: Intermediate
Platform: NinjaTrader
Broker/Data: AMP/CQG, Kinetick
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RJay's Avatar
 
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Hi,

If you think there is a BIG Difference between CQG data and IQFEED data, do you have a way to run time and sales windows for both datafeeds side by side with live data?

See if one feed has more entries than the other. I trust the feed showing the greater number of trades.

You might also compare the volume per bar on matching time charts with live data. One for each feed.

RJay

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  #16 (permalink)
Trieste Italy
 
Trading Experience: Beginner
Platform: Multichart
Broker/Data: Dtn Iqfeed
Favorite Futures: Mini dax
 
Posts: 128 since Feb 2018
Thanks: 120 given, 13 received

Thanks again for the tips. As I said I'll investigate in the upcoming days but in the meantime I'm going live using IQfeed data. I have a question again..

I have my strategy running over the XG iqfeed chart and I have this "default" settings inside the singnal properties.

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I left everything as it is by default. I only want to understand the field "GET REAL-TIME DATA"... it is BROKER for default. I suppose that this option is referring to the data used to execute and check the orders and P/L and this option should have nothing to do with the data used on the chart to trigger the entries?

Am I supposing correctly?

I also check the " Do not show initial Market Position ad the Broker Dialog" and then "Use the actual position at the broker" it seems the best option to me. Am I correct?

Actually I'm running the strategy from my computer in my office to see when the first operation live will come... (because I want first to check that everything is ok and second I'm having problems with configuring XG and DDM19 datas on multichart in my new rented VPS .... but this is another thing, I'll do later a post about it)

As alwyas THANKS for every reply

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  #17 (permalink)
Legendary  Vendor: www.abctradinggroup.com 
Hamburg Germany
 
Trading Experience: Advanced
Platform: Multicharts, Tradestation
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 2,022 since Apr 2013
Thanks: 354 given, 1,273 received

Dvdkite,

you are correct, your signals are triggered from the chart data. This option can affect how/when special orders get triggered, although I'd say this should only come into play if Multicharts manages the orders and they don't reside at the broker.
https://www.multicharts.com/trading-software/index.php/Auto_Trading#Get_Real-Time_Data_from

Regards,

ABCTG


Dvdkite View Post
Thanks again for the tips. As I said I'll investigate in the upcoming days but in the meantime I'm going live using IQfeed data. I have a question again..

I have my strategy running over the XG iqfeed chart and I have this "default" settings inside the singnal properties.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


I left everything as it is by default. I only want to understand the field "GET REAL-TIME DATA"... it is BROKER for default. I suppose that this option is referring to the data used to execute and check the orders and P/L and this option should have nothing to do with the data used on the chart to trigger the entries?

Am I supposing correctly?

I also check the " Do not show initial Market Position ad the Broker Dialog" and then "Use the actual position at the broker" it seems the best option to me. Am I correct?

Actually I'm running the strategy from my computer in my office to see when the first operation live will come... (because I want first to check that everything is ok and second I'm having problems with configuring XG and DDM19 datas on multichart in my new rented VPS .... but this is another thing, I'll do later a post about it)

As alwyas THANKS for every reply


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  #18 (permalink)
Trieste Italy
 
Trading Experience: Beginner
Platform: Multichart
Broker/Data: Dtn Iqfeed
Favorite Futures: Mini dax
 
Posts: 128 since Feb 2018
Thanks: 120 given, 13 received


ABCTG View Post
Dvdkite,

you are correct, your signals are triggered from the chart data. This option can affect how/when special orders get triggered, although I'd say this should only come into play if Multicharts manages the orders and they don't reside at the broker.
https://www.multicharts.com/trading-software/index.php/Auto_Trading#Get_Real-Time_Data_from

Regards,

ABCTG

As always thank you for the prompt answer! :-D

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