iF I use Yahoo (SP500 DAILY DATA) in my backtest, I obtain these résultats :
strategy compiling.......... Test: strategy ^GSPC 2008..2018 Monte Carlo Analysis... Median AR 9% Profit 4651$ MI 67$ DD 672$ Capital 841$ Trades 746 Win 76.8% Avg +757.5p Bars 2 AR 9% PF 2.58 SR 1.07 UI 3% R2 0.98 Chart... ok Copied to Clipboard!
If I use fxcm data (sp500 daily data ) , I obtain these results
strategy compiling...........
Test: strategy SPX500 2008..2018 Monte Carlo Analysis... Median AR 42% Profit 1850$ MI 25$ DD 694$ Capital 592$ Trades 620 Win 70.8% Avg +34.3p Bars 3 AR 50% PF 1.51 SR 0.51 UI 10% R2 0.87
It's clear that there a difference. In fact, I use open, high low and close data from Yahoo to do my backtest. These data are different from fxcm. That's why, I want use daily data for live trading in daily mode
Did you see any clear difference in trades in file: Logtesttrades.csv? I would test it also visually during only last months (to see trades on bars) what is difference between them. And maybe checking the history with file ZHistoryEditor.exe and trades from log file...
Re: Yahoo has changed their protocol
[Re: konorti]
#466734 06/29/1720:5106/29/1720:51
I haven't check the history but i think that the difference of performance is possibly caused by the nature of data, specially the high , low and close, and orders are not executed at the same moment,
I've changed like your recommandation : it returns Error 053: ^GSPC unavailable at this time Load NAS100 prices.. 5100 h0.00 0.00 0.00
Trade: model2 2017-06-30 Lookback period (145 bars) Error 030: asset ^GSPC missing in INITRUN Error 011: Function KAMA called with invalid parameters (no price) Error 011: Function EMA called with invalid parameters (no price)
Sorry I tried, it is the same problem for me. There is a way I think to import csv as data, and use as data and not as price history. I havent done that so I cant help.
Re: Yahoo has changed their protocol
[Re: konorti]
#466827 07/04/1708:3607/04/1708:36
I have been using AV for a while, I found the latest data (EOD) I could download from AV has been the data 2 trading days ago, not like other sites just a few hours after the trading hour is over I can get the latest EOD data. Has anyne found the same? What's wrong here?
Thank you
Re: Yahoo has changed their protocol
[Re: konorti]
#466894 07/06/1709:1607/06/1709:16