Strategy Tester and spread evolution
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First question : Is it a limitation of my broker or of metatrader platform ?
Bonus question : Did the spread value used for the simulation is the lowest ( I am probably joking ;) ), the average, or the highest real spread of the minute ?
Thank's
Good question. It's probably written somewhere on the site, please inform us if you find it.
Anyway, you can monitor the spread on a live chart, there the spread is updated on each tick.
angevoyageur:
Anyway, you can monitor the spread on a live chart, there the spread is updated on each tick.
You are right but my goal is to analyse past news and there implication on a pair, that's why I used the strategy tester to "travel to the past" ;)
I didn't found any detail about the spread implementation in the strategy tester, so I opened a service desk ticket to ask more information.
You are right but my goal is to analyse past news and there implication on a pair, that's why I used the strategy tester to "travel to the past" ;)
I didn't found any detail about the spread implementation in the strategy tester, so I opened a service desk ticket to ask more information.
I doubt you get a reply. Service Desk is not there to answer such question in my opinion. As you noted yourself, the spread used in the Strategy Tester comes from minute data. It's fixed for 1 minute.
Calculation techniques is an important point to understand I guess
- 2010.06.02
- MetaQuotes Software Corp.
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Thank's for this links Ange,
The tick data are not real but generated, I totaly missed this detail ... For me I was training my robot on true historical data in every tick mode.
In fact I can only trust OHLC value, witch are based on historical data.
But I didn't found any details on spread value indicated for every minute bar in simulation.
The price difference between the Bid and the Ask prices is called the spread. During testing, the spread is not modeled but is taken from historical data. If the spread is less than or equal to zero in the historical data, then the last known spread is used by testing agent.
Excuse me, to be honest this part give details about spread in simulation. But it's very strange because my tests show me that spreads are fixed for a minute during a simulation
So following this part of article "Simulation of spread" :
I only got valid spread data for the first tick of each minute, and other tick has data with spread less than or equal to zero ? This implementation is worst than a spread calculated in function of average or highest spread values. It can increase the gap between simulation and reality (in reality your SL can be trigger by a jump of spread but for the same period in simulation, nothing happen ...)
Excuse me, to be honest this part give details about spread in simulation. But it's very strange because my tests show me that spreads are fixed for a minute during a simulation
So following this part of article "Simulation of spread" :
I only got valid spread data for the first tick of each minute, and other tick has data with spread less than or equal to zero ? This implementation is worst than a spread calculated in function of average or highest spread values. It can increase the gap between simulation and reality (in reality your SL can be trigger by a jump of spread but for the same period in simulation, nothing happen ...)
During testing spread is taken from historical data : that means spread is the same for 1 minute, as there is only 1 value for spread during this minute.
I do some test and from what I can see, recorded spread in 1 minute candle is the max spread of this minute.
During testing spread is taken from historical data : that means spread is the same for 1 minute, as there is only 1 value for spread during this minute.
I do some test and from what I can see, recorded spread in 1 minute candle is the max spread of this minute.
I have also try to do my own test but it's right now impossible : The strategy tester can't simulate the current day.
But tomorrow I will get the answer about this implementation (I will do a comparison between a tracking log of all bar's ticks recorded today and the same bar in simulation).
I guess too that the recorded spread for a minute is the maximum, but I prefer to be sure.
Anyway I am grateful to you for this details about simulations ;)
I have also try to do my own test but it's right now impossible : The strategy tester can't simulate the current day.
But tomorrow I will get the answer about this implementation (I will do a comparison between a tracking log of all bar's ticks recorded today and the same bar in simulation).
I guess too that the recorded spread for a minute is the maximum, but I prefer to be sure.
Anyway I am grateful to you for this details about simulations ;)
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Hi ;)
Basic question : I have try to used the Strategy Tester to follow step by step how an important news impact a major pair like EURUSD. But I am a bit disappointed because even if I am in every tick mode for the simulation the spread look to be fixed for one minute
For example : 2013.11.07 for Alpari ECN on EURUSD
- at 14:44 -> Spread of 68
- at 14:45 -> Spread of 148
- at 14:46 -> Spread of 36
But can't follow spread evolution tick by tick
First question : Is it a limitation of my broker or of metatrader platform ?
Bonus question : Did the spread value used for the simulation is the lowest ( I am probably joking ;) ), the average, or the highest real spread of the minute ?
Thank's