Data by Provider vs. Broker
Author: placebo76
Creation Date: 9/16/2015 3:30 AM
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placebo76

#1
Hi,

is there any advice how to handle different data sets?

My problem is:

i have created my strategies based on the yahoo or stooq data provider. Both data and performances are nearly the same.

But the data of my CFD/Forex Broker are extremely different and i don't know if my system is profitable on that data.

An Example:

on the 29. June 2015 all provider charts opened with a very low gap (all charts i can find in online chart tools like yahoo) (DAX 30)

And in ALL!! Broker-Charts / Accounts (i have 6 of them) there was a very large gap, so this single day results in a different performance of 5! percent.

And as i remember the cfd-broker charts are right, because the day starts with a large down gap.

I know that is not a problem of wealth lab, but i would like to know why other trader don't have these problems or how they handle that!?

Regards Daniel
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Eugene

#2
Hi Daniel,

1. Fact: some data vendors may retranslate (at least some) data provided to them by just one feed behind the scenes e.g. CSI data.

2. Quotes by CFD/Forex "brokers" is not necessarily a good indication of the whole market. They can make up anything they want because they intimately know the levels where the stop orders of their customers are placed. ;)

3. The importance of making blind tests is underestimated. Instead of focusing on making my system appear best with some data sets, I'd evaluate its performance using random data and/or MC:

Random data provider
Extra Performance Visualizers > Monte Carlo-Lab
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placebo76

#3
Hi Eugene,

yes i know the disadvantages of using CFD-Broker ... if i have enough money i will switch to IB.

The random data provider i will check.

I think one another solution would be exporting my MT4 - CFD-Broker-Data and importing it to WealthLab, so i can check my strategy with these data.
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Eugene

#4
QUOTE:
I think one another solution would be exporting my MT4 - CFD-Broker-Data and importing it to WealthLab, so i can check my strategy with these data.


Then fortunately, there's no need to even export the data out of MT4. Wealth-Lab can read MT4's internal *.HST files directly (if your MT4 build is 574 or greater):

MetaTrader static provider

Just don't look for them in MT4 installation folder e.g. inside Program Files. The HST files are located somewhere inside your AppData\Roaming folder:

Data Structure in MetaTrader 4 Build 600 and Higher