hello all,
I have been working on a futures signal using IQFeed - @ES# and @ES#C.
I have found that over the exact same time frame these two return very different Profit and loss data. My backtest is only going back 10 days. 11-12-19 back to 11-2-19. I am using the CME: Equity Index Futs Combined session.
over this time frame P&L is significantly different? What am I missing? thanks very much
IQFeed @ES#C vs @ES# backtest
Re: IQFeed @ES#C vs @ES# backtest
Pretty sure IQfeed's website detail that no?
@/Q=electronic (unless looking only at pit; add this)
#=continuous
#C=continuous back adjusted
My understanding anyway
Without sounding condescending; nailing your datasets is probably the most important step in strategy development.
@/Q=electronic (unless looking only at pit; add this)
#=continuous
#C=continuous back adjusted
My understanding anyway
Without sounding condescending; nailing your datasets is probably the most important step in strategy development.
Re: IQFeed @ES#C vs @ES# backtest
Thanks for the reply,Pretty sure IQfeed's website detail that no?
@/Q=electronic (unless looking only at pit; add this)
#=continuous
#C=continuous back adjusted
My understanding anyway
Without sounding condescending; nailing your datasets is probably the most important step in strategy development.
wouldn't continuous and continuous back adjusted only be different if there was a contract change? instead of having a constant difference?
Re: IQFeed @ES#C vs @ES# backtest
Yes you're right?
How do they compare to @ESZ19? That might give us some clues.
For good measure.... might be worth deleting the symbols, restarting MC, then re adding them and seeing what happens then.
If still different plot them side by side and add the spread (difference) indicator to visualise changes in spread values, as that will give clues too.
How do they compare to @ESZ19? That might give us some clues.
For good measure.... might be worth deleting the symbols, restarting MC, then re adding them and seeing what happens then.
If still different plot them side by side and add the spread (difference) indicator to visualise changes in spread values, as that will give clues too.
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Re: IQFeed @ES#C vs @ES# backtest
It depends on the "Look Back" of your strategy.hello all,
I have been working on a futures signal using IQFeed - @ES# and @ES#C.
I have found that over the exact same time frame these two return very different Profit and loss data. My backtest is only going back 10 days. 11-12-19 back to 11-2-19. I am using the CME: Equity Index Futs Combined session.
over this time frame P&L is significantly different? What am I missing? thanks very much
If the calculation of your logic involves data before 11-2-19, you have to check your data to make sure they are the same.
Re: IQFeed @ES#C vs @ES# backtest
Thanks for Replies,
This difference seems to be persistent... a setting on a Signal is profitable all the way back to max ticks on @ES# but when I switch to @ES#C it immediately starts losing money... almost appears to be from slippage. Its so stark that I feel like I am missing something obvious but I don't change anything except the instrument?
This difference seems to be persistent... a setting on a Signal is profitable all the way back to max ticks on @ES# but when I switch to @ES#C it immediately starts losing money... almost appears to be from slippage. Its so stark that I feel like I am missing something obvious but I don't change anything except the instrument?
Re: IQFeed @ES#C vs @ES# backtest
apologies for the delay on this response. I still haven't solved it. I plotted the continuous and the front month both on the same chart as data 2 and 3 with front month as data 1. they dont line up.. its like the time signatures puts the continuous futures just ahead of the front month futures. But im not sure if this would cause the discrepancy I saw in the back testing data.Joebone,
Any updates? Did you work it out?
EDIT: @ES# and @ES#C line up on minute bars but not on tick bars.
Re: IQFeed @ES#C vs @ES# backtest
I can confirm there is a slight difference when plotting tick data. Please see attached snapshot. Note the volumes are displaced and not always the same. The timestamps of the peaks are exactly the same down to the ms. So perhaps it's a data sampling or timing issue at the source.EDIT: @ES# and @ES#C line up on minute bars but not on tick bars.
I suggest you contact IQFeed support or check their forum to see if this is a known issue.
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