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Discrepency of Bar plotting from Data #483095
05/04/21 03:59
05/04/21 03:59
Joined: May 2021
Posts: 3
C
contactmmfx Offline OP
Guest
contactmmfx  Offline OP
Guest
C

Joined: May 2021
Posts: 3
Hello guys, I am running into an issue with how Zorro is plotting data sets I am pulling from 1M and 5M bar data I purchased from Reuters Refinitiv Datascope as well as Dukascopy FX spot data. I upload a data set from Refinitiv 1M bar data for spot FX into Zorro (properly configured and in correct folders) I dont get any errors but when I run my strategy over the data i get completely different returns / draw-downs etc then I do when i run the strategy on Zorro back test with Dukascopy Data. When I analyze the charts and review the entries and exits the bars seem to not overlay properly for OHLC, many bars open beyond or within the previous bar not at its last close price which I think may be skewing my results from my strategy as its plotted in the data as far as entries and exits of my signal. I thought at first it was an aggregation issue within Zorro since my strategy runs off of 5M bars not 1M so I thought it was aggregating the 1M bars into 5M candles but then when I uploaded 5M bars to validate this I still had the same issue. Please let me know if anyone can recommend anything. The data set should be clean as possible as it is directly from Datascope Refinitiv data which is top of industry standards. "Forum" picture shows left side as Refinitiv data and right side is live Oanda data from trades taken this week (the bars are plotting differently aswell) I can provide any other information as far as what folders / files i am placing the data into for Zorro to read and any specific functions needed in the code to validate and plot the data.

Attached Files Forum.jpgForum 2.jpgForum 3.PNG
Re: Discrepency of Bar plotting from Data [Re: contactmmfx] #483098
05/04/21 05:15
05/04/21 05:15
Joined: Apr 2008
Posts: 348
Austria
Petra Offline
Support
Petra  Offline
Support

Joined: Apr 2008
Posts: 348
Austria
You are aware that reuters and dukascopy forex data can be completely different?

Better test only with data from the brokerage with which you trade.

Re: Discrepency of Bar plotting from Data [Re: contactmmfx] #483138
05/05/21 18:43
05/05/21 18:43
Joined: Dec 2019
Posts: 33
ozgur Offline
Newbie
ozgur  Offline
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Joined: Dec 2019
Posts: 33
Normally timestamp should be UTC.

Check jForex platform time is in UTC (not WET which is dst adjusted) before downloading data from Dukascopy.


Moderated by  Petra 

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