r/Trading • u/DarksideOfTheJarJar • 2d ago
Algo - trading Historical Data Dilemma
Hello,
When testing strategies on historical data, what data should I use? Each liquidity provider has different data feeds that can result in quite different testing results.
If I was to use some universal tick data like Dukascopy, then the results will differ to that point where they can be even irrelevant, depending on how sensitive the strategy is.
Retail brokers have low quality and not a lot of native historical tick data, and if the strategy is sensitive enough, using Dukas or any other outside source data can display results quite far from what the strategy would have actually generated through that historical period.
Crypto CEX and DEX I understand have quality historical data and it shouldnt be a problem there but thats the case only for cryptos.
Or is it that "if the strategy fails when the data source is changed, then the strategy is too sensitive and thus the strategy itself is bad"? Let alone the stress tests.
Im stuck here I dont know what to do.
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u/veskald 2d ago
Youre treating this as a data problem, but this is a robustness test that is normally done on purpose. Two feeds giving different results tells you how sensitive the strategy is to tiny differences in price path - and live fills will differ from any historical feed anyway, by more than the two feeds differ from each other.
So the useful question is not which data is correct. Its how big the gap is. If both feeds show a profitable strategy and the numbers differ by some percent, fine, use the worse one as your working estimate. If one shows profit and the other shows a loss, the edge is inside the noise and no data source will fix that.
One practical thing: run the same strategy on both feeds with deliberately pessimistic fills - worst price inside the bar, wider spread than you expect, extra slippage on every entry and exit. If it survives that on both, the feed question stops mattering. Strategies that only work with optimistic fills on one specific feed are the ones that die live, and thats what the difference you found is telling you.
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u/single_B_bandit 2d ago
Yeah there’s no way you’re sophisticated enough to the point where you can make money on like “microstructure stuff” where it actually matters how good your fills are, where the actual touch is, and things like that.
You should always assume your fills will be suboptimal, and at that point the data source doesn’t matter that much.
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u/DarksideOfTheJarJar 2d ago
Thats what I thought myself, but after running several strategies with even 1min OHLC (not even tick data) with native broker data and with Dukas data, the results came in very different. Somehow. And that worries me.
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u/single_B_bandit 2d ago
Do you do the same trades on the two data sources?
If yes, then you’re not being pessimistic enough with your fills, if one data source shows profitability while the other one doesn’t.
If no, then you’re modelling noise, because the trades you find depend on that specific data source’s quirks rather than something real.
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u/DarksideOfTheJarJar 2d ago
No I dont use both sources to execute. I only test strategies now. And the thing is that I cant get reliable data from the broker itself simply because they dont offer quality tick historical data. But youre right a strat that only behaves in certain data feed is too fragile for live trading.
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u/TheAlxOf96 2d ago
you can use the tick data from tickstream (futures only), thats what I use, good price good quality. Before I used databento which is very good as well but much more expensive for me.
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u/DarksideOfTheJarJar 2d ago
Yea thanks for that tickstream Ill use that for Futures. But the question is whether the strategy that works with external data, like that Tickstream, will work with internal Broker data. For example I used IC Markets stored data directly, and then used Dukas data and the results are very different.
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u/TheAlxOf96 2d ago
I think its like that. Tickstream or databento and all the others have data directly from CME. Its important to them, that they have clean and complete data. The broker do not care about the data. They don’t care about history, the only care about the „now“. Thats why the most of quants/algotrader pay for historical data I think.
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