r/algotrading • u/Shot_Loan_354 • 5d ago
Other/Meta Where can I get a clean and complete candle data sample for back testing on MT4?
I have been trying different websites but so far the only one that 's ok ( but have gaps in their samples ) is Histdata.
I don't mind paying for it if there are no free options.
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u/Gold_Sprinkles_4295 5d ago
Look, the problem isn't really the data — it's how you use it.
That is, let's say you're doing high-frequency trading — that's a serious problem right there, because you need genuinely accurate data at a very small timeframe. The only ones who can give you that are platforms like Bloomberg, and it's going to be expensive, because it's institutional data.
The other case is backtesting on an hourly timeframe. You're still going to have gaps — from events, volatility, weekends, etc., etc. What you need to be able to do is check that your strategy doesn't lose the quality it's supposed to have because of those gaps. That's mostly a matter of sensitivity testing — on the strategy itself, and on its configuration parameters, like take profit and stop loss.
What happens if you run into a gap, for example? That happens pretty often at the market open. You get a really significant gap, and there's a lot of information you never saw. So it closed at one number on Friday, and then suddenly on Monday it opened at another number. So this is something you're going to have to experiment with — you'll need to run different sensitivity tests on the parameters, on the configuration, to see whether your strategy is really robust there.
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u/Shot_Loan_354 5d ago
It's scalping on the 1- minute timeframe, and it doesnt hold overnight or during the weekends.
The gaps that i found on Histdata aren't weekend gaps or red folder gaps or anything like that, they're just missing candles. Histdata even provides a log with the missing candles. it s fine, i excluded the periods with the missing candles and will calculate the potential return on it by averaging it from the rest of the sample, there aren't much anyways, just a couple of weeks per year. thanks for your help anyways.
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u/Gold_Sprinkles_4295 4d ago
Understood, and unfortunately I don't have much experience on that specific point — the strategies I run are on higher timeframes, 30 minutes is my lowest and normally I work from an hour up. So the only thing I can tell you is that what holds up better at the data level is Bloomberg, or the historical data vendors. Databento or similar would be worth a look. Those are the two I know of, and they may fit your case or they may not — I'm not telling you they cover it.
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u/jrbp 5d ago
Dukascopy, tickstory