Testing Features and Limits in MetaTrader 4

Introduction

This article allows to find out more about features and limits of Strategy Tester in MetaTrader 4.

Special Features of Testing Strategies on History Data

• Some functions are processed/passed without output
  

  These are Sleep(), Alert(), SendMail(), PlaySound(), MessageBox(), WindowFind(), WindowHandle(), WindowIsVisible()

• Trading is permitted for the symbol under test only, no portfolio testing
  

  Attempts to trade using another symbol will return error

• Lot sizes including initial size and increment step, commissions and swaps should be taken from the active account settings
  

  Before testing, it is necessary to make sure that there is at least one activated account in the list in "Navigator" window of the terminal.

• All swaps, margin requirements, expirations, GTC-orders are modeled
  

  Testing is performed maximally closely to trading server conditions. But the can occur some inaccuracies in estimation of margin requirements on cross currencies because of lack of precise information about conversion prices at each moment.

• Zero bar of another timeframe for the same symbol under test is modeled approximately
  

  Open = correct Open, Close = correct Close, Low = min (Open,Close), High = max (Open,Close), Volume = final Volume (false)

• Instant Execution mode is assumed to be used in trades, being processed without slippage
• Processing orders, Open/Close without slippages
• Testing stops after StopOut
• Weekly, monthly, and irregular timeframes are not tested
• The deposit currency can be changed, but conversion prices are set, and the current available ones are used
• There are still no delays in execution of trade operations
  

  A setup delay is planned to be introduced in processing of transactions

• Account History is fully available, and it does not depend on settings
• If other symbols and periods are actively used, it is desirable to download them to all possible depth
• At every-tick modeling, tester pumps all necessary timeframes for the symbol under test independently
• Using of MarketInfo function generates error ERR_FUNCTION_NOT_ALLOWED_IN_TESTING_MODE(4059), however, correct information about current prices for the symbol under test, about stop level dimensions, about point size, about spread size of any symbol being present in the quotes window is provided.

Special Features of Optimization Process

• Nothing is output in the journal (either Print() function)
  

  This was done in order to accelerate the testing and save disk space. If complete logs are output the journal files will need hundreds of MByte.

• Draw objects are not really set
  

  The objects are disabled in order to accelerate the testing.

• "Skip useless results" function is used
  

  In order not to garble the table and chart with testing results, the possibility to skip very bad results is used. This function can be enabled in context menu of "Optimization Results" -> "Skip useless results" tab.