Articles on strategy testing in MQL5

There are a lot of measures that allow determining the effectiveness and profitability of a trade system. However, traders are always ready to put any system to a new crash test. The article tells how the statistics based on measures of effectiveness can be used for the MetaTrader 5 platform. It includes the class for transformation of the interpretation of statistics by deals to the one that doesn't contradict the description given in the "Statistika dlya traderov" ("Statistics for Traders") book by S.V. Bulashev. It also includes an example of custom function for optimization.

This article describes the usage of the TesterWithDrawal() function for estimating risks in trade systems which imply the withdrawing of a certain part of assets during their operation. In addition, it describes the effect of this function on the algorithm of calculation of the drawdown of equity in the strategy tester. This function is useful when optimizing parameter of your Expert Advisors.

MetaTrader 5 allows us to simulate automatic trading, within an embedded strategy tester, by using Expert Advisors and the MQL5 language. This type of simulation is called testing of Expert Advisors, and can be implemented using multithreaded optimization, as well as simultaneously on a number of instruments. In order to provide a thorough testing, a generation of ticks based on the available minute history, needs to be performed. This article provides a detailed description of the algorithm, by which the ticks are generated for the historical testing in the MetaTrader 5 client terminal.

This article shows you how to easily use Neural Networks in your MQL4 code taking advantage of best freely available artificial neural network library (FANN) employing multiple neural networks in your code.

Developers of order modification/closing algorithms suffer from an imperishable woe - how to compare results obtained by different methods? The mechanism of checking is well known - it is Strategy Tester. But how to make an EA to work equally for opening/closing orders? The article describes a tool that provides strong repetition of order openings that allows us to maintain a mathematically correct platform to compare the results of different algorithms for trailing stops and for exiting the market.

The articles describes and provides a library of functions that allows a trader to optimize his or her Expert Advisor's inputs by launching optimization directly from the EA.

An idea of testing the hedge Expert Advisors using the strategy tester.

The article describes the methods of how to understand the tester optimization results better. It also gives some tips that help to avoid "harmful optimization".

In this article an example of optimization by profit/drawdown criterion with results returned into a file is developed for a standard Expert Advisor - Moving Average.

Enjoy the process of testing with charts, displaying the balance - now all the necessary information is always in view!

The elaborate interface of the terminal MetaTrader 4 is a forefront, but beside this the terminal includes a deep-laid tester of strategies. And while the worth of MetaTrader 4 as a trading terminal is obvious, the quality of the tester's strategy testing can be assessed only in practice. This article shows the advantages and conveniences of testing in MetaTrader 4.

The article compares the time and results of Expert Advisors' optimization using genetic algorithms and those obtained by simple search.

Testing manual strategies on history. Check how your trading algorithm works turning a deaf ear to programming niceties!

The article describes software that can make strategy testing highly similar to the real trading.

The article describes the possibilities of convenient viewing the trade history when visualizing tests. Starting from build 196, MetaTrader 4 Client Terminal offers testing visualization function. It allows controlling the Expert Advisors' testing on a brand new level. Now, the trading programmer can watch every action of his or her Expert Advisor checking its operation on history!

What happens after you have clicked on the "Start" button? The article answers this and many other questions.

Examined are the most frequent mistakes that lead the first-time programmers to creation of a "super-moneymaking" (when tested) trading systems. Exemplary experts that show fantastic results in tester, but result in losses during real trading are presented.

One-Minute Data Modelling Quality Rating

Genetic (evolutionary) algorithms are used for optimization purposes. An example of such purpose can be neuronet learning, i.e., selection of such weight values that allow reaching the minimum error. At this, the genetic algorithm is based on the random search method.

The article gives formulas and the calculation order for data shown in the Tester report.

Article explains how to read testing reports and to interpret the obtained results properly.

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

Many programs of technical analysis allow to test trading strategies on history data. In the most cases, the testing is conducted on already completed data without any attempts to model the trends within a price bar. It was made quickly, but not precisely