Historical Data Quality - optimization impacts

[caveroute]

If historical data is poor, gaps etc, then the quality of any backtesting/optimization will be suspect at best, wealth reducing at worst.

I have a strategy that uses daily values to establish direction, tick bars to enter and 5 min bars to exit.

The strategy is optimised for each instrument and the results are used to drive my live environment.

I've been getting some poor and unexpected results with CL, so I had a look and there are holes in the tick data, for example a gap from 27/9 13:24.52 to 3/10 00:00:01. Trades were taken live but not in the backtest .....................

further inspection shows there are other gaps - so I cannot trust the data or the results of my optimisation runs.

This potentially renders the entire backtest / optimisation circus supported by NT worse than useless.

What can you/I do about this ?

I've got to have quality data otherwise all bets are off.

[NinjaTrader_PatrickH]

Hello caveroute,

Thank you for your post.

Can you go to the Historical Data Manager (Tools > Historical Data Manager) > Edit tab and ensure you have the data needed for the Strategy Analyzer to run the test at the times of the gaps?

For information on the Edit tab of the Historical Data Manager please visit the following link: http://www.ninjatrader.com/support/h...t7/editing.htm

I look forward to assisting you further.

[caveroute]

Hi, maybe historical data was not the right word.

Here I just let NT download what it needs based on the backtest parameter settings.

I do not use any data I have explicitly downloaded.

[NinjaTrader_PatrickH]

Hello caveroute,

Thank you for your response.

You are using the correct process without directly using the Download tab of the Historical Data Manager.

However, the Edit tab will show the data downloaded during your process. Is the data missing where the gap occurred?

[caveroute]

Hi Patrick,

Yes data is missing, I checked the interval I mentioned earlier.

Thanks

[caveroute]

Hi, so how would I know what gaps there might be in the data set under test ?

without performing a manual check - which is impractical.

Thanks

[NinjaTrader_JC]

Hello caveroute,

There is not automated routine to be able to check historical data, NinjaTrader will request that data for the dates and times set from your Data Provider then download on to your computer. If any data is missing or not available from your Data Provider NinjaTrader will not know.

Typically, it should be easy to spot missing data because you will see a date range missing in the Historical Data Manager. Also with that said, you should not have to check the Historical Data that often as once it is downloaded it is going to be on your Local PC so you will know that data is already good.

Happy to be of further assistance.