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Diffrent backtest results between web and lean for bitfinex BTCUSD

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.

73562_1554470358.jpgany idea why this is happened?

thanks

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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

 

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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.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Update Backtest





0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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