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Different Backtesting Equity Curve with different mode

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jaukb

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8 years ago #113689

Hi, I am just starting out with SQ and there is something really bugging me when I retest some strategies. 

 

I built some strategies with Dukas Data Daily timeframe ( only Daily Candle data available), test precision: selected timeframe only. For this mode the trades are entered at EOD time ( 0:00)

When I retested those with the same Dukas Data Daily, but with test precision :  1 minute data (1 minute Candle available), it gave me a different equity curve. I checked the trade list and see it models trade at 1 minute time frame, not entered at EOD anymore. 

So essentially why are they different?  And if so the Daily Timeframe Strategies I built are not reliable because of the tick/ smaller data not available within it and so the strategies built based on Daily Candle only is worthless ? How can I configure the data to built reliable Daily Strategies ( do I need to use 1 minute data for building) ?

 

Thank you very much for your help

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mikeyc

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8 years ago #130341

You should be loading SQ with 1 minute data or even better true tick data. In this way you can select higher timeframes, but backtest with some sort of reality using tick simulation or real ticks.

 

Backtesting with daily precision data is going to be completely meaningless, prices can move quite a bit in a day and this intrabar movement will be unknown to the backtester.

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jaukb

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8 years ago #130346

Thank you Mikeyc!

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