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Hello. I am quite new to QuantConnect so excuse me if this is a stupid question.
I am trying to implement a simpel RSI reversion strategy on EURUSD using OANDA data. If RSI crosses over 70, then short, if RSI crosses below 30, then buy. Very simpel.
I have implemented the same strategy on TradingView using OANDA data and the results are totally different, and i can even see that the data is also different between QuantConnect and TradingView. Please see the following two images for the tradingview version (it is fairly easy to read the code, even though you do not know PineScript):
https://imgur.com/a/W1mX8c5
Why is that? And what data should i trust? On TradingView i have 710 trades, and on QuantConnect i have 1500+ (using the same timeperiod), and the results are totally different. Can anyone here help me or at least clarify why there is a big difference between the data and results? The code should be the same and should execute the same trades.
I should add that on TradingView i have implemented a 5 point slippage in order to simulate the spread
Harsh yadav
Yeah,i Also faced the same issue while implementing a given hypothesis.
If there is issue with data,then there is no point of doing backtesting.
Christoffer Jespersen
I tried to dive deeper down and the data is completely off.
Data from QuantConnect at 07/20/2020 - 07:00 (ignore the RSI)
Data from TradingView at 07/20/2020 - 07:00 (ignore the RSI)
If you look at the open, high. low and close (ignore the RSI) there is a big difference, which is the reason why my two similar strategies provides so different results. Does anybody know why this is?
Jared Broad
We source the data directly from OANDA and use GMT (the actual timezone of OANDA's data) and Trading View likely uses Eastern Time. The period you're looking at is likely -5 hours off the QuantConnect time.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jared Broad
PS: If you believe there's an issue with the data please use the Data Issue reporting system. 99% of the time its a misunderstanding about timezones or data scaling/adjustments. Using the specific issue reporting system helps keep the forums focused on algorithm development.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Christoffer Jespersen
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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