At testing high-frequency advisers it is necessary to pay attention to a method of generation of tics. Results of tests can differ depending on what you use data - the generated tics or real tics.
Examples look below:
Example 1
Example 2
Example 3
Example 4
Example 5
Example 6
Nice presentation. I saw several times about this happened. When tested any EA in the back test, result is excellent positive but in real platform loss and loss. What is your advice, Back test in brokers terminal, is that generated or actual??
Thanks,
Nice presentation. I saw several times about this happened. When tested any EA in the back test, result is excellent positive but in real platform loss and loss. What is your advice, Back test in brokers terminal, is that generated or actual??
Thanks,
Здесь я как раз и хотел показать чем отличается тест в тестере стратегий (на генерированных тиках) от реальных данных.
В тестере стратегий терминала МТ4 используются генерированные тики, так как тиковая история в терминале не сохраняется.
Подробно о генерации тиков написано в статье Алгоритм генерации тиков в тестере стратегий терминала MetaTrader 5.
Что бы протестировать стратегию на реальных данных можно использовать метод, описанный в статье Тестирование на реальной истории.
Вот как выглядят генерированные тики -
MetaTrader Trading Platform Screenshots
RoboTrade Ltd, MetaTrader 4, Demo
Tester history - Every tick :(the most precise method based on all available least timeframes to generate each tick)
А так выглядит реальная история -
MetaTrader Trading Platform Screenshots
RoboTrade Ltd, MetaTrader 4, Demo
Tester history - Every tick (REAL:)
Если ваш брокер не предоставляет тиковую историю, можно пользоваться тиковой историей любого брокера.
Я использую тиковуя историю Alpari.
Every tick based on real ticksComparison testing of EAs on simulated and real ticks has produced really amazing results. The robot behavior changes drastically depending on what type of data is provided as quote history.
Every tick based on real ticks
When testing on real ticks, the quote history accuracy is over two times more detailed than when using the most accurate simulation mode ("Every tick" option in the strategy tester). In fact, this is a completely different and high-quality set of history data, which makes EA algorithms behave in a qualitatively new way as compared to a simulated and possibly halved history.
