hi
i tried backtest a rsi strategy for BTCUSD (bitfinex exchange) in both qunatconnect lab and lean desktop app. but the reslts doesnt match
in both tests initial cash was 1000$. in qunatconnect lab it end up 360$ and in lean desktop it end up 1285$
Data needed for local backtesting were obtained using ToolBox app.
any idea why this is happened?
thanks
Link Liang
Hi A mika,
Are you using the downloader in Quantconnect.ToolBox to download your data for local Lean test? Are you downloading from the same data source (bitfinex)? The Bitfinex data that we have might not match the data you have gotten through a different brokerage.
Besides, are you using same resolution setting and RSI variables in both tests? Those difference would also cause inconsistent results.
A mika
Hi Link Liang
As i mentioned in my first comment i used ToolBox app to download my data. i used following command
./QuantConnect.ToolBox.exe --app=bitfinexdownloader --tickers=BTCUSD --from-date=20160801-00:00:00 --exchange=bitfinex --resolution=Hour
and i forgot to mention the bitfinex downloader had problem with request rate limit (i dont remember exactly it was for hourly resolution or minute) and for solving this pronlem i add
System.Threading.Thread.Sleep(8000);
to BitfinexBrokerage.cs in while ((endMTS - startMTS) > resolutionInMS) block
and for second question yes i used exact same code in both lean and website
Jack Simonson
Hi,
The data downloaded from the Bitfinex downloader is trade data only, not raw quotes, and so this will differ from the data that we process from Bitfinex or our other Crypto data providers. This is the source of the differences in your backtest results.
A mika
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