Hi there,
A system I am working on developing is performing significantly better on one set of intraday data (standard MetaQuote server data provided by IG Markets) compared to another, more realistic dataset (Alpari).
Unfortunately for me, the lacklustre performance is on the more realistic dataset...
I have tried to analyse the datasets and looked at how each candle differs on average (average, max, min). My suspicion is that the unrealistic dataset is less volatile (lower max, higher min), particularly during announcements, however I have not been able to confirm this by looking at the data.
Would you have any idea what could be the difference? Or perhaps what I should look for when a trading system backtests significantly better on one dataset compared to another?
Looking forward to any help :) !
A system I am working on developing is performing significantly better on one set of intraday data (standard MetaQuote server data provided by IG Markets) compared to another, more realistic dataset (Alpari).
Unfortunately for me, the lacklustre performance is on the more realistic dataset...
I have tried to analyse the datasets and looked at how each candle differs on average (average, max, min). My suspicion is that the unrealistic dataset is less volatile (lower max, higher min), particularly during announcements, however I have not been able to confirm this by looking at the data.
Would you have any idea what could be the difference? Or perhaps what I should look for when a trading system backtests significantly better on one dataset compared to another?
Looking forward to any help :) !
Varying performance with different intraday datasets
Aucun commentaire:
Enregistrer un commentaire