TS2 Simulated Data VS Historical Data

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TS2 Simulated Data VS Historical Data

Postby thomajar » Wed Dec 30, 2020 11:49 pm

Hi, I'm having some trouble with price data that is displayed in MarketScope, vs how it is displayed after a refresh (or as historical data) - and a bigger issue in how my indicators are calculating their values.

I've put an example in a screenshot below, this was using the D1 chart and running a 1-year simulation. Using the better_volume indicator, and some default indicators, ADX and DMI.
The top screenshot is what the chart looks like after completing the simulation, and the bottom screenshot is what it looks like after refreshing the chart.

There are some small insignificant differences that I notice in the price data, however the indicators are showing completely different results, especially towards the end.

The simulation was the easiest way to consistently reproduce and show this problem, however I'm getting the same or similar results in backtesting - and I have seen the same results of the better volume indicator on a live chart on my real account. After the chart had been open for more than a week, when I refreshed I noticed some differences in the output of the indicators.

Has anyone seen this before, are there any tricks to fix this?
I've tried a fresh Win10 VM and I'm seeing the same result. This is making it impossible for me to accurately test my strategies, and I'm afraid to run the strategies live until this is fixed.
Attachments
Simulation vs Refresh.PNG
thomajar
 
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Re: TS2 Simulated Data VS Historical Data

Postby thomajar » Mon Jan 04, 2021 11:54 pm

I've gathered some more information.
I notice in the refreshed data the indicators are completely wrong as you can see with the DMI value at the far right, it should be positive not negative.
The chart before the refresh is closer to the live chart, but still incorrect.

I've found the simulation is showing candles for Saturday's, so 6 candles per week instead of 5. Its also simulating the end of the daily candle at 4pm New York, not 5pm.
So we have an extra candle per week plus the OHLC values are different, or mainly just the open/close.

Attached 2 more screenshots, both showing the month of December 2020; the one with the arrows is showing the Saturday candles on the simulation, the other is the live chart. (EURJPY, D1).

This is making all indicators (and strategies) calculate wrong values. Occurring in simulations, backtests, and optimization projects.
I've got the default options set to 'hide weekend data' and 'show price gaps'.

-- JT
Attachments
Simulated Chart.png
Simulated Chart
Real Chart.png
Live Chart
thomajar
 
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