- ago
Hi,
I am running an Intraday strategy using a data scale of 1 minute. My local time zone is US Central. I am using the 09:30 EST Market I previously set up for TQQQ only. Here's my problem. When I run my strategy using let's say 12 months' worth of data, I get a certain profit percent. When I run it again using a different time frame like 3 months, I get the same profit percent. And when I go look at the backtest positions, it only shows me positions from the start of this year. Also, I am connected to TDA.

This was working last night. However, I did run this for a longer time like 5 years. While it was getting the data, I canceled it. I believe this messed something up and after that point, I couldn't get the same results I was getting before. And I am trying this on a separate machine and I still get these bad results.

Can anyone help me figure out what is wrong? I tried deleting the local data files but that didn't help.
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Cone8
 ( 23.73% )
- ago
#1
I can't determine anything without more specifics.

"Different time frame" - what were the time frames and the date range loaded, precisely?

"Same profit percent" - of the backtest? every position? This is doubtful for a strategy run on different scales. My guess is that the backtest didn't really run.

"tried deleting the local data files" - I can't even tell if deleting was successful or not from what you said, but I guess there were deleted and refreshed, but it didn't make a difference.

Here's a better tact - post images. Describe what's happening in each one.

As far as I can tell, TD won't return more than 1 year of data for 1-minute bars, though you could have more cached if you started collecting data before today. In any case, if you start a backtest for 5 years, WealthLab will be looking for data from other providers since it won't be able to get it from TDA - that could result in a long delay, especially when downloading intraday from IB.
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- ago
#2
I’ll get you more details shortly.
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- ago
#3
Here is some info from my debug session. I was expecting the start of the data to go back 6 months ago. However, the second image shows the first bar to be in January. This isn't right as far as I know. Please correct me if I'm wrong.





I uninstalled WL8 and reinstalled it to see if it made any difference. But it didn't.
I am running WL8 Build 34.

Please let me know if anyone has any suggestions on how to clear up this problem.

Thanks,
Mike


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- ago
#4
I don't know if this will help, but I setup a new dataset consisting of only TQQQ that is linked to TD Ameritrade. I looked at the 1-minute scale data, and it went back to late 2022. I truncated the data using the Data Manager and then refetched the 1-minute data. It now only has from 2/27/2023 to 4/13/2023 for TQQQ.

Take a look in the data manager and setup a new dataset with only TQQQ in it and assign have the 'Data Provider Linked' set to TD Ameritrade. Then see if what data it has for the 1-minute scale. But, then don't truncate anything, because TDA really limits how much data you can snag, as noted above.

Perhaps now you only have a few months of data for TQQQ.
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Cone8
 ( 23.73% )
- ago
#5
Brokers prioritize giving you the data you need to trade, not to backtest.

You could download the 1-min TQQQ history with IB, but it will take a day.

More info for Wealth-Lab data providers
https://www.wealth-lab.com/blog/wealthlab-data-providers

IQFeed (paid service) is the best option.
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- ago
#6
I take it I need an IB account to do this.

Is Alpaca data any good?

Mike
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- ago
#7
Mike - I don't have an Alpaca live trading account, but I do have an Alpaca paper account. Using the Alpaca paper account, I was able to fetch one-minute scale data for symbol TQQQ from 12/01/2015 to present, 4/13/2023 (MM/DD/YYYY):



Using the paper account, the fetch go throttled a bit - it took maybe 5 minutes to fetch with obvious throttling pauses along the way. After the initial load, an update was practically instant. I don't know how a live account would perform.

I do not have experience trading in WL using Alpaca as a data provider. So, I'm not recommending it nor am I not recommending it.

However, I posted this info about the data in case you may find it useful in making a decision.
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- ago
#8
Thanks, Paul. I don't care to use Alpaca data since it sounds like it's not very accurate.
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