Have you ever skilled adjustments in historic information? Or have you ever ever puzzled why completely different suppliers have completely different information? Let’s talk about intimately the explanation why these conditions happen.
Foreign currency trading may be complicated and difficult. One of the crucial vital elements of profitable foreign currency trading is information consistency. Maintain studying why. However, attaining 100% accuracy will not be potential for each foreign exchange dealer. This may have vital implications for merchants who use algorithmic buying and selling methods.
Why is it so vital? Information consistency is said to the accuracy and reliability of the info which can be used for selections in buying and selling. Such information embrace historic costs, financial indicators, information releases and different components that influence forex alternate charges (costs). Inaccurate or inconsistent information might result in incorrect buying and selling selections, leading to losses for merchants.
One of many challenges of attaining information consistency in foreign currency trading is the truth that completely different brokers have completely different information units – there is no such thing as a unified international information set (no centralized alternate). Each foreign exchange alternate and dealer has its personal information. There is likely to be quite a lot of components, reminiscent of variations in information assortment strategies or variations in the best way information are reported. Consequently, it’s widespread to see variations in value information between completely different brokers.
One other lure is the state of affairs with information altering over time. For instance, historic value information could also be revised, financial indicators may be up to date, and information releases may be corrected or retracted. These adjustments might have a big influence on algo-strategies and their outcomes, notably in case a method has been developed and carried out.
It’s vital to notice that information adjustments might happen even with well-respected foreign exchange information suppliers reminiscent of Darwinex and Dukascopy. These suppliers have traditionally modified their information, and this sometimes means including extra ticks to unique information. It might change Open, Excessive, Low, Shut value or Quantity.
This isn’t essentially a foul factor – brokers replace their historic information to make them extra exact (by including ticks that haven’t been obtainable earlier than – on the time the info are created).
We simply must understand it occurs and to depend with it.
Examples of knowledge adjustments:
Within the display under, you’ll be able to see that tick information for USDCAD have been re-uploaded one yr later.
Within the following case – all the info have been uploaded on the identical day besides the marked one which appears prefer it was uploaded 3 days later, so the info doesn’t match in any supply and the one single supply of reality is Darwinex FTP.
One other instance of knowledge error -nonsense timestamp:
In conclusion, information consistency is a vital element of profitable foreign currency trading, notably for algo-strategies. Nevertheless, attaining 100% accuracy will not be potential for each foreign exchange dealer. Merchants ought to pay attention to the potential for information adjustments which may influence their methods. By being proactive and monitoring information adjustments, merchants may also help to mitigate the influence on their buying and selling methods and to enhance their possibilities of success.
→ In case you need to protect the backtest historical past technique I might advocate to maintain the older information (these with extra data) and solely to replace the brand new information. Information may be backed up and moved between workstations by copying the ‘SQ X set up folder’/consumer/information.
→ In case you need to have 1:1 backtests with Darwinex FTP information – we advocate downloading clear information, however on this case you must bear in mind that the outcomes of your methods may change with the small updates in historic information.
→ Our advice is relatively to just accept the change within the information, however to have 1:1 information with Darwinex. We additionally advocate testing the methods for sensitivity to OHLC costs in order that they don’t seem to be delicate to such adjustments.
→ This reveals the significance of correct robustness testing – to make sure that small adjustments in information don’t have vital influence in your technique efficiency. If this occurs it signifies the technique was overfitted to the historic information.
Extra about robustness right here: https://strategyquant.com/doc/strategyquant/cross-checks-automated-strategy-robustness-tests/
StrategyQuant’s free information service is a instrument designed to help customers in downloading historic foreign exchange information from third-party information suppliers. StrategyQuant will not be a knowledge supplier and doesn’t assure the accuracy, completeness or reliability of the info obtained by this service.
The info downloaded by StrategyQuant’s free information service shouldn’t be thought of as funding recommendation or a advice to commerce on a foreign exchange market. Customers ought to train their very own judgment when utilizing the info and assume all dangers related to using the info.
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