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  • #111881 |
    Administrator
    3114 Posts

    Hi,

     

    a frequent problem in testing is getting the quality history data.So in this topic we can share various data sources.

     

    Forex data sources I know:

     

    – data from Alpari – I’m not sure if they are still available, but for some time they offered real history data from 2000 for their clients

     

    – Dukascopy data – free, downloaded using our Tick Data Downloader

     

    http://www.ForexHistoryDatabase.com (paid) – history data of 11 forex pairs

     

    – Forex Tester data (http://www.forextester.com/data/datasources.html) – free and paid, I use their paid variant. 

     

     

    Stearno also mentioned this data source:

    http://www.histdata.com/download-free-forex-data/?/metatrader/1-minute-bar-quotes

     

    daveM mentioned:

    http://www.quandl.com/ – this is source of all types of data, forex, futures, commodities

     

     

    Stock data:

    http://finance.yahoo.com

    Mark
    StrategyQuant architect

    #123371
    Customer
    734 Posts

    I use Alpari data via their MT4 platform history downloader. Its 2000-2014. Good data.
    Dukas is great.
    Histdata is nice.
    How do we feel about this paid service “forexhistorydatabase”? I’m curious. What is their source? (maybe we can get it for free)

    I also use axitrader. They’re a quality australian broker. I use their USA branch.
    Also FXDD. FXCM. Forex.com. FXpro.uk

    #123390
    Customer
    383 Posts

    I believe (but not 100%) that the MT4 History down loader actually downloads from MetaQuotes and not the broker’s historical data.  That is why when looking at history in charts, someone can see a huge gap.  That is were you jumpt from live data downloaded to what downloaded by the History Downloader.

     

    Here is a website that mentions the this:

     

    http://mechanicalforex.com/2010/10/solving-backtesting-problems-finally-a-true-absolutely-reliable-data-set-for-asirikuy.html

     

    -Stearno

    #123424
    Administrator
    3114 Posts

    yes, this is true. Usually data downloaded from MT4 terminal are downloaded from MetaQuotes and are not accurate.

     

    Some brokers however offer their own data.I asked Alpari about this and they told me that the downloaded data are their own real historical data, if you have real account with them.

     

    Mark

    Mark
    StrategyQuant architect

    #123439
    Customer
    27 Posts

    Just my 2 cents: I use forexhistorydatabase. You pay once and the give you data every 3 months. It is 100% compatible with metatrader and my backtesting are very good, but be aware that I only do “control point” backtests and systems in the 1H or more frequency,

     

    The 3 months gap in which I don’t have data is not so important, I have just adapted my methodology to retrain the systems every 3 months.

     

    I’m really happy with the results I get with this data.

    #123441
    Customer
    511 Posts

    Hi nablaquant,

    are you ea´s profitable on Demoaccount ? or Realaccount ?

     

    How many EAs do you have generated and running on Accounts ?

     

    thomas

    #123491
    Customer
    57 Posts
    Hey guys. 
     
    Here I give you one more source to explore. what’s interesting about this, is that like Dukascopy, these are by tick. They are since may 2009.
     
    They are free. just you need a fast register.
     
    Maybe sometime we can add them to the SQ as a measure of comparison with the dukascopy data.
     
     
    Best regards 

    AndrEAs

    #125516
    Customer
    11 Posts

     

    Hey guys. 
     
    Here I give you one more source to explore. what’s interesting about this, is that like Dukascopy, these are by tick. They are since may 2009.
     
    They are free. just you need a fast register.
     
    Maybe sometime we can add them to the SQ as a measure of comparison with the dukascopy data.
     
     
    Best regards 

     

    Good bro, 

    ¿so is any possibility to merge all the data together?

    Thanks in advance.

    Founder & Trader @ Pullback Trading

    #125540
    Administrator
    3114 Posts

    Merging data is tricky, because unlike futures and stocks data, forex data can be in various times depending on where the broker is based and his GMT shift.

     

    But you can import them separately and test your strategy on both data – this will give you another view to robustness.

    Mark
    StrategyQuant architect

    #125702
    Customer
    197 Posts

    Hi Mark,

     

    I think it would be great if you could add Google intraday data download to Tick Data Downloader. Examples:

     

    http://trading.cheno.net/downloading-google-intraday-historical-data-with-python/

    http://investexcel.net/free-intraday-stock-data-excel/

    #125724
    Administrator
    3114 Posts

    Hi,

     

    the new SQ version 4 (and possibly also the new TDD version) will have data import extendable by plugins, so it would be possible to create plugin that will download daily or intraday data from Google, Yahoo and similar sites.

    Mark
    StrategyQuant architect

    #125782
    Participant
    3 Posts

    yes, this is true. Usually data downloaded from MT4 terminal are downloaded from MetaQuotes and are not accurate.

     

    Some brokers however offer their own data.I asked Alpari about this and they told me that the downloaded data are their own real historical data, if you have real account with them.

     

    Mark

    I asked about the data today ( on 6th August 2014) and they said: 

    Dear Sir,

     

    Thank you for your email.

     

    Alpari UK provides an execution-only service and consequently cannot comment as to how to proceed with your back testing.

    #125814
    Administrator
    3114 Posts

    Hello,

     

    I’m not sure what question you asked, I asked them about two years ago and they confirmed that the downloaded data are their own.

    Mark
    StrategyQuant architect

    #125822
    Participant
    3 Posts

    Hello,

     

    PLease find my questions below to Alpari:

     

    Sent: 05 August 2014 22:34
    To: Alpari (UK) Customer Services
    Subject: Data

     

    Hello,

    I have just one question, which data source Alpari recommends to use for a EA testing. At the moment Alpari Micro live data and Micro Demo data gives different test results.

    #125838
    Administrator
    3114 Posts

    Hello,

     

    I asked them if the history data downloaded through MetaTrader ar etheir real data or some generic data and the answer was that it is their data.

     

     

    The difference in your tests could be in spread – demo accounts usually have smaller spreads than live accounts, and MT4 uses current spread during the backtest. So with different spread your tests on live vs demo could be also very different.

     

    If you want to test with fixed spread you have to disconnect MT4 from the market, for example by logging it out, or turning off Internet connection.

    Mark
    StrategyQuant architect

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