Today I was backtesting on the TF using the front month and the continuous.
I am only testing from today to 30 days ago, so TF ##-## (through IQFeed) and TF 06-09 (IQFeed).
Now when I ran the back test on the FM, I got +2300.00 profit. When I ran it on the CO, I got nearly 1000.00 less in profit.
Exact same parameters, exact same everything, just chose different contract/instrument.
I then reloaded my data from the control panel (more than once as the first time it didn't seem to resolve my situation), then after doing so, I backtested again, and the results matched spot on.
My question is this, How in the heck can one trust the data. It's either the feed provider, or the platform, but it's ALWAYS SOMETHING!
Is there a routine you recommend before backtesting that will assure data is up to date, etc. Should I just run reload historical data every time?
What advice do you offer, what bugs/issues are you aware of that you can point me to so that I can get some sort of handle on expections and further procedures to avoid inconsistancies.
Regards
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