NEW Equity Data provider to be able backtest without any hindsight bias

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Salzburg
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NEW Equity Data provider to be able backtest without any hindsight bias

Postby Salzburg » 23 Apr 2020

I Have enabled contact between Norgate data provider and Multicharts, so that it hopefully would finally be possible to build and test equity portfolios
without any hindsight bias, and to utilise their unique approach to only allow equities that at the time of the trade belonging to an index for examle sp500..
Check out their approach here, and hopefully it can be integrated with MC,
https://norgatedata.com/ndu-watchlist-library.php

They are using fixed lists but also dynamic lists, so that one are able to always know going ahead and looking back what equity did belong or belongs to a certain index.

This is something that would help lots of equity traders using portfolio trading all constituents of an index and to be able to backtest without survivorship bias etc ..

I know that Multicharts are charging a hefty price for anyone wanting to utilise their API which would be required for this, and to enable this to happen it would be great if everyone that is interested should make their voices heard here..

Daniel
Last edited by Salzburg on 12 Jun 2020, edited 1 time in total.

Salzburg
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Re: NEW Equity Data provider to be able backtest without any hindsight bias

Postby Salzburg » 13 May 2020

Could Multichart update how this Norgate data integration is going ? as i have understood the price Multichart demand from companies like Norgate in order for them to connect to Multichart api is a 5 figure USD amount, which make it a very low priority for anyone to offer data/connectivity to multicharts.

Would it not be in anyones interest to have an open api for vendors to connect to? i mean its in the best interest for Multicharts users for sure.

Multicharts?

Thanks

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Re: NEW Equity Data provider to be able backtest without any hindsight bias

Postby Salzburg » 03 Jun 2020

?

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Re: NEW Equity Data provider to be able backtest without any hindsight bias

Postby Salzburg » 07 Jun 2020

@multicharts, can you please comment ?

Btw as it is now, Norgate will sadly not be available to Multicharts users due to the very heavy fee (that amounts to tens of thousands USD) that Multicharts demands from anyone wanting to be able to supply data via MC API...... i think this is very much NOT in multicharts users best interest to block out great data providers like this.

I am not in anyway associated with Norgate, just a user/trader that would like to be able to backtest equity index constituents properly, which can not sadly be done with Multicharts as it is now.

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Re: NEW Equity Data provider to be able backtest without any hindsight bias

Postby Salzburg » 10 Jun 2020

@multicharts, can you please comment ?

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Re: NEW Equity Data provider to be able backtest without any hindsight bias

Postby Salzburg » 12 Jun 2020

@multicharts can you please comment ?

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Re: NEW Equity Data provider to be able backtest without any hindsight bias

Postby Salzburg » 17 Jun 2020

@multicharts can you please comment ?

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Re: NEW Equity Data provider to be able backtest without any hindsight bias

Postby TJ » 17 Jun 2020

You can submit a feature request here:

https://www.multicharts.com/pm/public/m ... ssues/find

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Re: NEW Equity Data provider to be able backtest without any hindsight bias

Postby Salzburg » 17 Jun 2020

You can submit a feature request here:

https://www.multicharts.com/pm/public/m ... ssues/find

That is not the point, if you read the posts.

I am not asking for a way to make a "feature" request.
I am asking for a comment from Multicharts, about the fact we have a provider of data, that have the possibility to solve a big problem with multichart, i.e being able to backtest equities properly. BUT they are making this imossible, due to the fact that they are demanding tens of thousands of USD in order for them to work with their API, so result is that they are not willing to do this. And this is NOT in the best interest in Multicharts users i would say.

So i would like to ask again for the 4 th time, Multichart for a comment behind this rationale, since today it is impossible more or less to being able to backtest equities as index constituents without hindsight bias, adjustments etc and to properly handle static and dynamic equity lists.

I am very much happy with Multicharts and not affiliated with Norgate at all, but this just do not make any sense.

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Re: NEW Equity Data provider to be able backtest without any hindsight bias

Postby Salzburg » 23 Jun 2020

@multicharts can you please comment, this is now the 5th time i ask you to comment ?

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Re: NEW Equity Data provider to be able backtest without any hindsight bias

Postby Svetlana MultiCharts » 26 Jun 2020

Hello Salzburg,

Please leave the corresponding feature request on our Project Management page, so that we could estimate the number of votes and include the request in our road map. If you do not have PM account, please contact us directly by email.
I’m afraid, currently we have not enough requests to add this data connection in the nearest future.
As you know, we could start this project on paid basis, but Norgate were not satisfied with our general requirements.

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Re: NEW Equity Data provider to be able backtest without any hindsight bias

Postby Salzburg » 27 Jun 2020

Hi Svetlana,

Well yes i know how to make a feature request.

My point with this post was to bring attention to the fact that Multichart is an awesome plattform, however it also is lacking in its ability to handle and structure data for equities.

As you know, trading equities differs from trading futures.

A great article for people about how to avoid most mistakes and how to backtest equities properly can be found here

https://www.followingthetrend.com/2015/ ... stituents.

Most trades when they start to work with a platform like Multicharts they struggle with the fact how to get equities data into MC, then next question is, how do i get ALL SP500 constituents into the patform, next issue is how can i structure and work with my data.

Import can be done from Excel in a batch, but that just solves the fact how to import x amount, and once you manage to do this you then often have a list of all constituents of for example sp500, but that is how it is looks today.

So then most people start to torture their data using these constituents equities with their trend following strategy and think great, it works, lets start trade, but they will often find out that their result will not match reality since they have not taken into account that what they just tested is not what was belonging to their index 10 or 15 years ago, and its not adjusted properly most often and results they see is not what is is in reality since they are fooled by poor backtesting/data handling.

Here then comes the problem, in order to backtest equities data properly, you need to be able to backtest over a decent amount of time period, but then you also need to take into account that you need to test equities only that was belonging to the index at the time when he trade happened, and that the data is properly adjusted etc. This is NOT possible today in multicharts. Once this is understood, you then need to maintain your index constituents going ahead.

Symbol lists/scanners in MC is not the solution.

Norgate today have a solution to this, using dynamic lists and keep record of all equities that once belong to an index, tagging an equity with a 0 or 1 enable the user to make sure to only backtest on equities that belonged to the index at the time of the trade. You also have lots of options to adjust the data properly.

Would it not be great if multichart could help new traders not falling into the backtesting trap, and also enable for experienced users to handle equity data properly ? i think MC is awesome for futures, but its lacking for data/handling/structure for equities.

This is to Multicharts advantage, much more than Norgate.
So demanding tens of thousands of dollars to enable a solution to get rid of a problem most multicharts users that trades equities today have, does not make any sense.

End result is that we cant have this fix today for MC, because they was not interested in paying this api fee.

Cant you see that this is not in the best interest of your users?

I guess you could take the easy route out and dismiss this and send me away to the feature request direction, or you could engage yourself to the real issue here and perhaps take apart in a discussion and provide some help to actually a solution, or even better, enable Norgate to solve this issue with MC.

Besides all this, i use MC every day and think its a great product, so thank you for that and great support as always in the chat and email.

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Re: NEW Equity Data provider to be able backtest without any hindsight bias

Postby Svetlana MultiCharts » 30 Jun 2020

Hello Salzburg,

Please vote for this feature here.

We will be glad to implement this feature when the request collects enough votes. Unfortunately, we cannot include this feature in our road map right now without estimating the number of votes.
If you would like to get this feature for yourself, we will be glad to do it for you as a custom paid project. If you are interested please contact us by email to discuss the conditions.

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Re: NEW Equity Data provider to be able backtest without any hindsight bias

Postby Zheka » 13 Jul 2020

Hello Salzburg,

Please vote for this feature here.

We will be glad to implement this feature when the request collects enough votes. Unfortunately, we cannot include this feature in our road map right now without estimating the number of votes.
...AS if the number of votes has ever been the deciding factor for MC to implement a new feature.

It would save users and MC support quite some time, if the the answer was just a straight 'yes' or 'no', without packaging it in a politically correct bs.

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Re: NEW Equity Data provider to be able backtest without any hindsight bias

Postby biffhero » 18 Nov 2020

@svetlana,

Please create an account on the PM site for the user "biffhero", as I would like to upvote this feature request.

https://www.multicharts.com/pm/public/m ... es/MC-2658

Thank you,
Rob

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Re: NEW Equity Data provider to be able backtest without any hindsight bias

Postby VMI » 21 Jan 2022

Hello,

Is there any update on the Norgate data integration?

Regards,
V.

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Re: NEW Equity Data provider to be able backtest without any hindsight bias

Postby Svetlana MultiCharts » 25 Feb 2022

Hello,

We aim to add it in the future.


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