Standard misconceptions in trying to trade in the noise (there was a "Nightmare on MT4 Street") - page 7

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kniff:
>> If you have something to say, please provide correct and perceptible evidence.

You were shown at the beginning of the thread the difference of 10 pips between your data and Alpari's. And the difference between any data taken from different brokers does not exceed 2 spreads. Based on that I argue that there is non-market noise in your data. That is, noise caused not by the "OTC market" and not by the "lack of a single benchmark" but by the method of quotation filtering. The situation with HC is equivalent to the following - if we had an exchange. Chicago, for example. Where the benchmark for quotes IS. And you would offer ones that differ from them by +- 10 points.

I am, in fact, asserting the isomorphism of these 2 cases. And talk about usability of your data is really just talk. I don't use it. 90%, I think, neither do I. And not because HC is bad by definition. But because you refuse to say how you made it . If you told it, many would use it, making a discount on method of generation of quotes from HC, and there would be no reason to quarrel with people like me in these threads - you would reply with simple link to description of method of getting your HC.

It seems to me if you buy data from any fee-based provider like Tenfore, CQG, eSignal, Barklay bank and others, you can see that they have the same fluffy nature as the History Center quotes. And these quotes will differ from the quotes of many well-known brokerage companies by their smoothed character.
And what will you get from where the quotes for HC were collected? If they were taken from known sources, then you believe them, and if not, you think that methaquotes generate them themselves, running a random number generator:)):)
 
elritmo:
Maybe you, Renat, have in your selection of such insensitive EAs. If I had such a thick-skinned Expert Advisor I would do it and show the results on the forum proving that a good EA may not care about fluffy quotes or smooth quotes of brokerage companies.
I think we should take the average indicator as an indicator that shows the difference between the two. I think we should take the average of oppenclose high and low for each bar and apply it to indicators instead of the close values as it is now. If we take average values, the fluffiness will be smoothed. So far I have the following method of decreasing the sensitivity to quotes.
This article may help you to write an article about methods of reducing the sensitivity of Expert Advisors to quotes, preferably with examples.

Please use any brokerage company data. I am using data from History Center (previously I used Alpari data).

Files:
nrtr_revers.mq4  6 kb
 
>>If they were taken from known sources then you will take them on faith and if not then you will assume that the methaquots generated them themselves by runninga >>random number generator:):)

At the very least I'll stop suspecting them. Not that there's any foul play... I don't consider myself cheated here - after all, they don't make you use HC. But that they want to put a good face on a bad game - maybe. Maybe the quotes are heavily glued or generated based on periods above - who knows.

I just don't understand why they want to hide it? What's the point! Only more questions and suspicions.

Barklays Bank? You can buy HIS ticks from him, I think. I.e. the quotes at which he had trades (smoothed out in some way, yes).
CQG also gives ticks. I really don't know whose ones.

And as far as I remember comparing time series from CQG and Alpari (a friend did it long ago) - there was NO difference of 10 pips on EUR/USD.
 
elritmo:
kniff:
It seems to me if you buy data from any paid provider such as Tenfore, CQG, eSignal, Barklay bank and others, you can see that they have the same fluffy nature as the quotes of History Center. And these quotes will differ from the quotes of many well-known brokerage companies by their smoothed nature.

Absolutely correct. He simply has not seen these prices, and we have been working with these prices from these price providers for many years.

The information flow from hundreds of providers (banks and brokers) per time unit is so wide (noise of 2-3 regular spreads and constant hourly spikes) that there is only a few banks/brokers to choose and orient in quoting on them. And even that will not keep outliers out.

The nature of prices in the foreign exchange market is such that there is no way to provide a "moderately smoothed, clean and perfect" story. One must accept history as it is and not try to remake it to suit the experts. It is much better if you remake the expert so that it does not depend on noises in the story.

By the way, here are some people claiming that they get graals on stories in the History Centre and then they leak on the other story. So why not publish 100% correctly conducted tests right here in this thread? With all the conditions, the source code of the Expert Advisor, reports and trades. It's that simple, isn't it?

The work should be done with diligence and accuracy (no need to compare apples and oranges with each other). For example, I run public tests and publish the results:
  • Comparison of real tick stream and strategy tester generated in "all ticks" mode
 
>> noise in 2-3 normal spreads and constant hourly emissions

Renat, can you show us please?
 

kniff, what if not a secret answer to your question about how the quotes in HC were obtained? Suppose in the end the developers will answer something like the following: From period 01.01.2000 to period 05.08.2002 we used simple averaging of quotations for banks B1, B2, ... B10, and for the period 05.08.2002 - 03.04.2004 we used simple quotation averaging for banks B11,B12, ...B30, as banks B1 ...B10 all "passed away", i.e. "died" ;o), leaving as a legacy only our own quotation bases, which we could obtain, etc., etc. for different periods and banks? What does that get you personally? You just need to tell the whole world with the facts in your hands, which should be the answer of the developers, that the quotes in HC are complete lies and that it is even harmful to work with them? ;o) Well, tell the whole world that right now (lighten your soul!) - I am fully prepared to agree with you! :o) So what's next? At this your ego will be satisfied and you will stop terrorizing the developers? I think the developers won't be too repulsed by this either - they did say so from the start that the quotes are "normalized" and without the holes that are present in ANY quotes of ANY banks! However, this does not make HC any less efficient, does it? You need to test your strategy, not make money in the past, don't you? Even if your strategy is 15 times more optimistic in HC, you still need to check it with your broker. Or do you just want to be less optimistic? I also use both InterBankFX and Alpari and it all looks much less optimistic depending on what broker I use. So what? The main thing is to know that there will be a tangible plus, not its size to the nearest cent? And HC as it stands is a very necessary and useful service that helps the developers in cozying up the MTS.

 
kniff:
Barklays Bank? From him, I think, you can buy HIS ticks. I.e. the quotes he had traded on (smoothed out in some way, yes).
CQG also gives ticks. I really don't know whose ones.

This is already crossing the line. You don't know prices, you haven't even had practical experience of using information systems and are making completely incorrect assumptions. You are simply using trivial erudition and other people's speculation (friend, I've read, heard, forum) to construct your statements.

I suggest you simply admit - "there's a lot you don't know", especially in the area of prices. But you stubbornly try to spread your ignorance on _our_ forum, where the developers are absolutely clear on this area.
 
solandr:

kniff, what if not a secret answer to your question about how the quotes in HC were obtained? Suppose in the end the developers will answer something like the following: From period 01.01.2000 to period 05.08.2002 we used simple averaging of quotations for banks B1, B2, ... B10, and for the period 05.08.2002 - 03.04.2004 we used simple averaging of the banks' quotations

The quotes were not averaged by any means. But a part of obviously erroneous quotations was filtered out.
 
My ego has nothing to do with it. I just want to make the service transparent. In the same way, I fought for tick testing at one time, and stopped after the appearance of such an opportunity (you can send your ticks to tester). Although, I'm not using it now - I was satisfied with testing on minutes even then.

Now I do not really understand where the developers took the quotes from, and it confuses me. And, consequently, I am confused by the type of quotes. Because I personally have never seen a difference of more than 2 spreads on EUR/USD. That's why in the previous post I asked to show me where there is such a difference. I am really, really curious.
 
>> I suggest you just admit - "there's a lot you don't know",

Yes, and I'll be honest about it. See my post above. Please show me where the difference in quotes is more than 2 spreads :)

I don't get it, Renat. I am not your enemy - I am a simple user who wants to understand what you are offering and you want me to take your word for it.
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