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Hi guys,
as a total noob to MT4/FX/CFD's I am after some advice on what brokers/data providers are best in your opinion. From what I can gather from reading some topics on the forum is that once you have signed up to a broker you extract data from that broker for back testing purposes etc, is this correct? If so who has the most accurate data as this is essential in my eyes for accurate back testing!

As a predominantly Amibroker/Norgate data user I have been a bit spoiled with quality data and back testing software. So the initial setup on this new software has got me stumped a little bit.

Cheers

@roller

Hi Roller 🙂

 

Unfortunately in our world of FX there are no centralised exchanges like equities (from your world)....and the interbank markets are responsible for setting their own exchange rates....however despite the de-centralised nature it is really surprisingly centralised due to the vast liquidity in these markets and the need for the banks to ensure consistent rates are applied (to prevent undue exploitation of arbitrage) from different rates. With CFD's (eg. equities, ETF's, Commodities) the market makers of these derivative products tend to be kept honest by the centralised exchanges.....but once again reputation does matter with the market makers. IG Markets and Avatrade are pretty good reliable sources that give very wide CFD coverage.....but IG limits trades to 0.1 lot...whereas we like dealing with microlots (0.01) to give us very wide diversification with small levels of capital......so I prefer Avatrade in that capacity.

 

However while this keeps the 'general' industry clean (aka from reputable brokerage sources) there is some variation when you step out into less reputable sources.

 

We test our results from 2 or more brokerage sources that we believe are reputable and we can measure any variation that exists between the sources. The two sources we use are firstly 'Pepperstone' cause we are Aussies (but any ASIC regulated broker is pretty good (AFSL licensed) provided they have a robust balance sheet, offer segregated accounts etc. to provide a degree of protection when ***t hits the fan. ....and then we cross check this against Dukascopy tick data which is a well known reputable data source with high quality data.

 

The Dukascopy data is available through some packages such as Tick Story and Tick Data Suite (what we use)..but there is a monthly fee for TDS....which we are more than willing to pay for our validation purposes.

 

Pepperstone data is free with the platform. I would recommend (as you are an Aussie) you use Pepperstone so you can follow along with us. When or if you decide that you would then like to go live....then you might want to look for a different broker...but just for assurance check the results against your Pepperstone and/or Dukascopy back tests.

 

I understand your concern with the need for quality data. This is a big issue for scalpers and those who trade the lower timeframes (eg from M1 up to M30)...but really is not a big deal for us as we like to trade H4 and above.

 

For example here are two results taken from the same sub portfolio and time frame (1/1/2007 to current). One uses Dukascopy Tick Data and the other uses Pepperstone Control Points.

 

There is very little variation when dealing with longer term data on our particular strategies.

 

Pepper vs Dukas

 

Pepper vs Dukas 2

 

Given the significant impact of outliers to our overall trade result, the more microscopic differences from data variation is fairly immaterial to the overall result as seen above.

 

The following post explains this a bit more

https://atstradingsolutions.com/forum/backtesting-forum/what-are-the-biggest-impacts-on-backtest-variation-with-our-ats-programs/#post-121

Cheers

Rich

2 Answers
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Thanks for the in-depth reply Rich. I have actually previously had a pepper stone demo account so I will fire it back up again and play around with MT4.

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Cheers R......Keep us posted. We would love to hear more from our members. 🙂

Rich

Quidquid latine dictum, altum videtur

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