Data Differences Between Dukascopy and Go-Markets

[tickstory]

Hi Milcodek,

EAs typically trade not by an absolute price but instead by some algorithm that aggregates or quantifies price movements (eg. moving average). A properly designed strategy should not be sensitive to minor price discrepancies as they will always occur between brokers.

The value in backtesting is the ability to evaluate a strategy to-a-point. You have probably heard the phrase "past results do not guarantee future results" and this is the case for back-testing. The best you can do is understand your strategy and the variables involved so you have some confidence it can handle various market conditions, brokers, etc. Once you have done this, you are still not guaranteed to get the results you see on your backtest report - you will then need to go through a period of forward-testing on your chosen broker where you will find various other variables that cannot easily be simulated (trading lag, price discrepancies, slippage, etc). Then, when you finally are confident enough to go live with it, you are still likely to see some discrepancies between your simulated results versus live. This doesn't mean that back-testing has no value. The process of testing your strategy is a matter of prudence to ensure you are not merely gambling that your strategy will work as you hope. When you work with tick data, this is just another tool to help you more accurately simulate market conditions (especially for scalping strategies).

Hope this helps.

[milcodek]

Thanks for the clear explanation.

Milco

[tickstory]

You're welcome, Milco. (FYI, this topic will be split into a new one since it doesn't relate to the original topic.)

Regards.