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mt5 strategy tester ticks

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Nathan
1438
Nathan  

Hello MQL5 community,

Are ticks in the mt5 terminal tester accurate or are they random similarly to mt4?

Thank you

superk11
36
superk11  
The Algorithm of Ticks’ Generation within the Strategy Tester of the MetaTrader 5 Terminal
The Algorithm of Ticks’ Generation within the Strategy Tester of the MetaTrader 5 Terminal
  • 2010.06.02
  • MetaQuotes Software Corp.
  • www.mql5.com
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.
Nathan
1438
Nathan  
superk11:

https://www.mql5.com/en/articles/75

There is your answer. 

Thank you superk11.
Nathan
1438
Nathan  

"Using an M1 time frame in the tester, allows for a very accurate simulation of the price movement,..."

MT5 tester generates simulated ticks. I believe these simulated ticks are still considered fake ticks (more accurate fake ticks).

"Comparing the sequences of ticks"

I had difficulty comprehending some major points contained within this article, lots of "fluff and puff" to sort through to get specific information but overall it was an interesting read.

Is anyone from the MQL5 community familiar with a method to use actual tick data for testing in the MQL5 tester?

Thank you

Alain Verleyen
Moderator
32530
Alain Verleyen  
WhooDoo22:

"Using an M1 time frame in the tester, allows for a very accurate simulation of the price movement,..."

MT5 tester generates simulated ticks. I believe these simulated ticks are still considered fake ticks (more accurate fake ticks).


I had difficulty comprehending some major points contained within this article, lots of "fluff and puff" to sort through to get specific information but overall it was an interesting read.

Is anyone from the MQL5 community familiar with a method to use actual tick data for testing in the MQL5 tester?

Thank you

Hi WhooDoo, it is not possible to use actual tick data with MT5. Read this topic.
Simon Gniadkowski
Moderator
18025
Simon Gniadkowski  
WhooDoo22:

"Using an M1 time frame in the tester, allows for a very accurate simulation of the price movement,..."

MT5 tester generates simulated ticks. I believe these simulated ticks are still considered fake ticks (more accurate fake ticks).


I had difficulty comprehending some major points contained within this article, lots of "fluff and puff" to sort through to get specific information but overall it was an interesting read.

What points in particular ?
Nathan
1438
Nathan  
angevoyageur:
Hi WhooDoo, it is not possible to use actual tick data with MT5. Read this topic.

Hello angevoyageur,

Apparently, Heinz Traub is experimenting to discover a solution for MT5's real tick issue.

Thank you

Nathan
1438
Nathan  
RaptorUK:
What points in particular ?

I was reading the article then began reading this header, "Algorithm of ticks' generation" and it seemed as if everything below overran the rest of the article with pictographs and diagrams. I'm thinkin' really? This article is complicated enough just by having to skip past "A little history about the strategy tester" consisting of MT3-4 tester features and limitations. I'm grateful for such a detailed background on the testers from MT3-5 but I simply wished to know if MT5 generated real ticks or not. If not, then I was interested if it was possible to incorporate history files to the MT5 terminal history folder to ultimately generate real ticks in the MT5 tester in this manner. I considered pressing Ctrl+F to type keywords, locating specific criteria to answer this question but really? Wait for it... But really? LOL!

Thank you

Simon Gniadkowski
Moderator
18025
Simon Gniadkowski  
WhooDoo22:

I'm grateful for such a detailed background on the testers from MT3-5 but I simply wished to know if MT5 generated real ticks or not. 

Doesn't the article title give you the answer ?

"The Algorithm of Ticks’ Generation within the Strategy Tester of the MetaTrader 5 Terminal"

If the Strategy Tester used real ticks,  not sure where it would get them from,  but if it did there would be no need to generate any. 

The Algorithm of Ticks’ Generation within the Strategy Tester of the MetaTrader 5 Terminal
The Algorithm of Ticks’ Generation within the Strategy Tester of the MetaTrader 5 Terminal
  • 2010.06.02
  • MetaQuotes Software Corp.
  • www.mql5.com
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.
NyemaSanya
64
NyemaSanya  
WhooDoo22:

Hello MQL5 community,

Are ticks in the mt5 terminal tester accurate or are they random similarly to by Browse to Save">mt4?

Thank you


Hi WhooDoo22,


They are not accurate.

This would be a quite important issue for me. I try to develop fast strategies (trading on 5 minutes chart, deals last for minutes only). I got good results in the tester optimalisation but in real time the results were much different. And different means not only profit or loss, means numbers of deals. Obviously, when based on the test you expect few trades a day but on real time demo account dozens happen you suspect something is wrong with the tester.

Therefore I started look after this problem. I wrote an EA which does not trade, only records ticks into file. This gave the real life data (it runs on VPS, so it is reliably recording everything). I created a modified version also which prints out each tick data from the tester. I extracted this piece from the log. So, I had both data and could compare. And the surprise came.

Actually, the tester data is more. I expected that the tester data is less because of simplification explained in this article https://www.mql5.com/en/articles/75, but it is not true. Just to reiterate with simple words to make the point clear: in the strategy tester, more ticks are generated for the same time period (for example 1 minute) than there were in real life. Moreover, volumes are totally different showed by the built in indicators than recorded.


Ps:

The problem with the difference in number of ticks tester vs real life is not transparent because the main candle data (open, close, high, low) agree. Without recording real life data and compare to tester is not possible to recognise it.

The Algorithm of Ticks’ Generation within the Strategy Tester of the MetaTrader 5 Terminal
The Algorithm of Ticks’ Generation within the Strategy Tester of the MetaTrader 5 Terminal
  • 2010.06.02
  • MetaQuotes Software Corp.
  • www.mql5.com
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.
Nathan
1438
Nathan  
RaptorUK:

Doesn't the article title give you the answer ?

"The Algorithm of Ticks’ Generation within the Strategy Tester of the MetaTrader 5 Terminal"

If the Strategy Tester used real ticks,  not sure where it would get them from,  but if it did there would be no need to generate any. 

A title is just a couple lines a text to name an article so it can be found by users (like little ole' me) when surfin' the site. Yes, the article's title does give strong indication of its subject's background but I decided to read its content in order to receive a detailed explanation. Yep, I can't argue with the article's title "Algorithm of Ticks' Generation" but I feel it doesn't really help me when I haven't read the article's content as confirmation for my question (not too hasty now WhooDoo, right? Hahahaha!)

Thank you

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