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The open-source GitHub repository of source code for the TASCExtensions Quantacula extension. Contains indicators and other extensions adapted from the Traders' Tips articles in Technical Analysis of Stocks & Commodities magazine.
3 Reasons why QPremium Historical Data Rocks
Published by Q Glitch on 12/1/2018

Using inferior historical data in your backtesting can lead to erroneous and possibly disastrous consequences. Quantacula provides QPremium Data to help you mitigate these concerns. There are three primary reasons why QPremium Data is among the best historical data you can use for your backtesting.

1. Dynamic Indices

Have you ever backtested a trading model on a Universe of data like the Dow 30 or Nasdaq 100? If so, there's a good chance you used a static Universe with the 30 or 100 symbols "hard-coded." Doing this introduces survivorship bias into your backtest results.

Indices are composed of the best performing symbols in their respective market. As time goes by, symbols are dropped from and added to the index. Without taking this into account, you are illegally "going back in time" and backtesting using the symbols that performed best before the fact.

Here's an example using a Quantacula Rotation Model. The Model buys the 3 stocks in the Nasdaq 100 that have the lowest RSI(14) (Relative Strength Index indicator). Each position is given a third of the current equity, and the Model rebalances daily, so it's always 100% invested. Starting with $100,000 simulated capital, here are the results over the past 10 years.


Turning $100K into $4+M over 10 years sure looks appealing! But this was run on a static Nasdaq 100 Universe. What happens if we run the same Model on the QPremium Dynamic Nasdaq 100 Universe? This Universe properly accounts for the symbols that drop in and out of the Nasdaq 100 over time.


The total profit over 10 years was reduced to just about $500K, and the APR dropped from 46.72% to 19.68%. It still beats SPY, which is a testament to the value of Rotation Models, but this eye-opening difference should get you thinking.

2. Curated Data

QPremium Data for the stocks of the Dow 30, Nasdaq 100, and S&P 100 are curated, meaning that the open, high, low, close, and volume are painstakingly checked against the tick data for each trading day. Often, a symbol's open, high, or low price is distorted by spurious ticks, which may be actual transactions, but are outliers that could never be captured by a retail trader. The curation process eliminates these spurious ticks, giving you daily bar data that is clean and represents what you could expect in your actual trading experience.

3. Seamless Integration

The QPremium Dynamic Universes are seamless integrated into and Quantacula Studio. Any Model you create can target them and gain the benefits of survivorship-bias free backtesting, without any code changes to the Model at all. In order to use the QPremium Dynamic Universes on you'll need to purchase a QStudio or a QWeb membership.


Try out QPremium Data today and sleep better at night knowing your backtests are that much closer to reality!