The absolute cornerstone of building any reliable trading strategy, and indeed a successful quantitative trading career, is the precise and accurate configuration of your historical data within StrategyQuant. Get this wrong, and everything that follows will be built on a shaky foundation.
Many newcomers stumble here. It’s not unusual to generate strategies that initially show breathtakingly perfect equity curves – a smooth, steep line heading skyward. While exciting, this is almost invariably a red flag indicating incorrect data settings. The “No-Nonsense” approach demands we get the fundamentals right.
The most frequent errors occur when setting the pip/tick step and pip/tick size, especially for currency pairs involving the Japanese Yen (JPY), which have different quoting conventions than most other pairs.
Decoding the “Edit Symbol” Window:
- Point Value in $:
- This defines the monetary value of a full point price move.
- Crucial Distinction: In StrategyQuant, a “point” isn’t the smallest price increment (a pip). It’s a large move, like from 1.5000 to 2.5000.
- For forex, the standard is 100,000 units of the second currency in the pair (the quote currency).
- EUR/USD: 100,000 USD
- EUR/GBP: 100,000 GBP
- USD/JPY: 100,000 JPY
- No-Nonsense Alert (2025): If your trading account is denominated in USD, but you set the Point Value for EUR/GBP as 100,000 (implying GBP), your backtest profit, drawdown, and average trade values in USD will be incorrect. The shape of the equity curve might appear valid, but the financial figures will be misleading. This must be accurate for your account’s base currency.
- Pip/Tick Step:
- This is the smallest possible price change the market can register. This is a very common point of error.
- Example (5-digit brokers): For EUR/USD, it’s typically 0.00001.
- Example (JPY pairs, 3-digit brokers): For USD/JPY, it’s typically 0.001.
- Pip/Tick Size:
- This value is always one decimal place larger (less precise) than the Pip/Tick Step.
- Example (EUR/USD): If Pip/Tick Step is 0.00001, Pip/Tick Size is 0.0001.
- Example (USD/JPY): If Pip/Tick Step is 0.001, Pip/Tick Size is 0.01.
- Data Type:
- Usually straightforward: MT4 data often uses the first option; other platforms might use the second. This relates to whether the timestamp marks the beginning or end of a candle. Correctness here ensures your strategy logic aligns with the data’s timing.
- Default Spread:
- The difference between bid and ask prices. Set a realistic average for your chosen pair.
- Cost per roundturn:
- Broker commissions for opening and closing a trade. Include this for realistic backtests.
Data Quality and Sourcing:
The “No-Nonsense” principle is to prioritize high-quality, clean data from a reputable source. Dukascopy is often cited for good quality forex data. Avoid using default MT4 history from MetaQuotes for serious development, as it can be unreliable. The adage “garbage in, garbage out” is acutely true in quantitative finance. Jim Simons’ Renaissance Technologies was legendary for its obsession with acquiring and cleaning vast amounts of historical data. While you may not have their resources, the commitment to data quality should be just as strong.
Tick vs. M1 Data for Backtesting:
There’s a common belief that tick data is essential for accurate backtesting. While it offers the highest granularity, extensive testing has shown that for strategies on M1 timeframes and higher, high-quality 1-minute (M1) data often provides sufficiently accurate backtest results. The differences are usually minor and tend to average out. Using M1 data significantly speeds up the strategy development process as it’s much smaller than tick data. For a career focused on efficiency and robust results, M1 data is often the pragmatic choice for most strategy types, unless you are specifically developing very high-frequency systems.
Point values change with exchange rates. You must calculate these based on current rates for your account’s base currency.
- Example CAD-quoted pair (e.g., EUR/CAD, for a USD account):
- Assume USD/CAD = 1.3650 (meaning 1 USD buys 1.3650 CAD).
- Value of 1 CAD in USD = 1 / 1.3650 ≈ 0.7326 USD.
- Point Value = 0.7326×100,000=73,260 USD.
- Example JPY-quoted pair (e.g., EUR/JPY, for a USD account):
- Assume USD/JPY = 148.50.
- Value of 1 JPY in USD = 1 / 148.50 ≈ 0.006734 USD.
- Point Value = 0.006734×100,000≈673.40 USD.
Reference Table (Illustrative for USD Account, Early 2025 – Calculate Your Own!):
| Pair Ending | Illustrative Point Value (USD) | Pip/Tick Size | Pip/Tick Step |
| …CAD | (e.g., $73,260 based on 1.3650 USD/CAD) | 0.0001 | 0.00001 |
| …CHF | (e.g., $114,940 based on 0.8700 USD/CHF) | 0.0001 | 0.00001 |
| …JPY | (e.g., $673 based on 148.50 USD/JPY) | 0.01 | 0.001 |
| …NZD | (e.g., $60,240 based on 0.6024 NZD/USD) | 0.0001 | 0.00001 |
| …USD | $100,000 | 0.0001 | 0.00001 |
| …GBP | (e.g., $126,580 based on 1.2658 GBP/USD) | 0.0001 | 0.00001 |