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Open Bug report MC-2080

Backtesting for Forex Currency - will not work if backtest is dated before 2002

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Description

Currency conversion will display backtests with completely wrong information if you go back before 2002.

I just got off a chat with a support person and after a long session she found out that the data server on multicharts only has currency data for the following symbols only up to the following dates which she supplied.

AUDCAD since April 2002
AUDJPY since April 2002
AUDNZD since February 2005
AUDUSD since December 2001
USDCAD since December 2001
USDCHF since December 2001
USDCAD since December 2001
USDJPY since December 2001
USDHKD since February 2007
USDNOK since October 2008
USDSEK since October 2008
USDSGD since February 2007
USDTRY since November 2008
USDZAR since November 2008
EURAUD since February 2004
EURCAD since March 2004
EURCHF since November 2002
EURGBP since December 2001
EURJPY since April 2002
EURNZD since May 2004
EURTRY since November 2008
EURUSD since December 2001
NZDCAD since November 2008
NZDCHF since November 2008
NZDJPY since November 2008
NZDUSD since December 2001
SEKJPY since November 2008
CADJPY since December 2003
GBPAUD since July 2004
GBPCHF since December 2004
GBPJPY since July 2004
GBPUSD since December 2001
CHFJPY since July 2003

This means if your backtest goes further back than any of these dates, the calculations it makes for that symbol will be completely wrong (sometimes by a factor of 100).

Just do a backtest on USDJPY with dates before 2001, look at the performance report, list of trades and you'll see what I mean.

Please update your data to go back much further. Anyone doing tests on a daily chart should be able to go back more than 2001 to test their strategy.

The correct data is available out there and I don't see why Multicharts doesn't store on their servers correct currency data before these dates to do a proper backtest.

It's unfortunate that we can't even go back for some symbols before 2008.

Also for someone who doesn't know these limitations, the software should inform you that the data will be incorrect before these dates. If not, you may think the performance reports are correct. At least they should inform of the limitation if they cannot get data before that time.

Steps to reproduce this issue

Just pull up a daily chart of USDJPY. Place any strategy macd le, or macd se for example.

Do a backtest fromo 1980 to present and look at the trade list in the performance report. You will see the profit is completely off. Only works properly if the dates are above the 2002 date.

Comments (1)
#0
user-offline.png  Alex MultiCharts (Alex MultiCharts)
Aug 30, 2016 - 13:17

It is expected, as for convesrion we use MCFX data of our servers. For most instruments the data is available back to 2002.

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