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Back testing using quote data instead of trade data
http://www.smartquant.com/forums/viewtopic.php?f=43&t=10502
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Author:  azuric [ Thu Apr 18, 2013 5:31 pm ]
Post subject:  Back testing using quote data instead of trade data

2 questions:

1) Is it possible to build bars from quote data instead of the build from trade data in the market data option.

2) Is it erroneous to compress bars form trade data and then use quote data for execution. I am getting different results when I compress using quote data instead? but I technically trade data should be used to build bars not quote data.

Author:  Baraz Sergey [ Thu Apr 18, 2013 5:58 pm ]
Post subject:  Re: Back testing using quote data instead of trade data

Hi,

You can build bars from quote data using BarFactoryInput property of the solution node in the Solution Explorer.

Regards,
Sergey.

Author:  Dr. Anton Fokin [ Thu Apr 18, 2013 6:01 pm ]
Post subject:  Re: Back testing using quote data instead of trade data

Hi,

it doesn't really matter what data you use for building bars - you can use any input that makes your startegy profitable, but it's always a good idea to use quotes instead of trades for execution simulation - it helps to produce much more realistic result.

Regards,
Anton

Author:  azuric [ Fri Apr 19, 2013 10:20 am ]
Post subject:  Re: Back testing using quote data instead of trade data

Thanks never thought to look in the solution explorer.

And I have noticed that switching to quote data is much more realistic/profit plummets!

Author:  kkkwj [ Fri Apr 19, 2013 8:05 pm ]
Post subject:  Re: Back testing using quote data instead of trade data

Dr. Anton Fokin wrote:

... but it's always a good idea to use quotes instead of trades for execution simulation - it helps to produce much more realistic result.

Anton


Ok, this statement has my curiosity going. May I ask

- exactly what you mean by "a more realistic result"?

- how are the results meaningfully different from using trade data?

- how can I spot "more realistic results" if I'm looking at two unlabelled sets of results, one from using trade data, and one from using quote data?

Thanks

Author:  Dr. Anton Fokin [ Fri Apr 19, 2013 9:31 pm ]
Post subject:  Re: Back testing using quote data instead of trade data

Just think about bid-ask spread that can kill all your profits in a scalping-like strategy.

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