Extracting backtest data --> wierd results? What am I doing wrong?
i'm not sure but i think if u add Time[0] (or TimeToStr(Time[0],TIME_DATE) (or iTime())) u will c that u have a lot duplicate
Ok here's the results, using Open;Close;High;Low;Bid;Ask,Time[0]:
27.56;27.56;27.56;27.56;27.56;27.6;1290578400
27.56;27.564;27.564;27.56;27.564;27.604;1290578400
27.56;27.567;27.567;27.56;27.567;27.607;1290578400
27.56;27.571;27.571;27.56;27.571;27.611;1290578400
27.56;27.574;27.574;27.56;27.574;27.614;1290578400
27.56;27.573;27.574;27.56;27.573;27.613;1290578400
27.56;27.572;27.574;27.56;27.572;27.612;1290578400
27.56;27.571;27.574;27.56;27.571;27.611;1290578400
27.56;27.573;27.574;27.56;27.573;27.613;1290578400
27.56;27.575;27.575;27.56;27.575;27.615;1290578400
27.56;27.578;27.578;27.56;27.578;27.618;1290578400
27.56;27.58;27.58;27.56;27.58;27.62;1290578400
27.56;27.582;27.582;27.56;27.582;27.622;1290578400
27.56;27.581;27.582;27.56;27.581;27.621;1290578400
27.56;27.58;27.582;27.56;27.58;27.62;1290578400
27.56;27.579;27.582;27.56;27.579;27.619;1290578400
27.56;27.582;27.582;27.56;27.582;27.622;1290578400
27.56;27.585;27.585;27.56;27.585;27.625;1290578400
27.56;27.587;27.587;27.56;27.587;27.627;1290578400
27.56;27.59;27.59;27.56;27.59;27.63;1290578400
27.56;27.589;27.59;27.56;27.589;27.629;1290578400
27.56;27.588;27.59;27.56;27.588;27.628;1290578400
27.56;27.587;27.59;27.56;27.587;27.627;1290578400
27.56;27.586;27.59;27.56;27.586;27.626;1290578400
27.56;27.585;27.59;27.56;27.585;27.625;1290578400
27.56;27.586;27.59;27.56;27.586;27.626;1290578400
27.56;27.585;27.59;27.56;27.585;27.625;1290578400
27.56;27.587;27.59;27.56;27.587;27.627;1290578400
27.56;27.586;27.59;27.56;27.586;27.626;1290578400
27.56;27.587;27.59;27.56;27.587;27.627;1290578400
27.56;27.585;27.59;27.56;27.585;27.625;1290578400
27.56;27.584;27.59;27.56;27.584;27.624;1290578400
27.56;27.582;27.59;27.56;27.582;27.622;1290578400
27.56;27.581;27.59;27.56;27.581;27.621;1290578400
27.56;27.58;27.59;27.56;27.58;27.62;1290578400
27.59;27.59;27.59;27.59;27.59;27.63;1290579300
27.59;27.616;27.616;27.59;27.616;27.656;1290579300
27.59;27.615;27.616;27.59;27.615;27.655;1290579300
I've highlighted in bold just when Time[0] transitions to a new value. So it seems many ticks are being recorded for a specific period. The amount between each Time[0] value is 900, which corresponds directly to 900 seconds in 15 minutes, so yes qjol, you are correct - thanks for this!
Now the question remains, how do I obtain a high/low/open/close for that timeframe? Should I take all the results and average? Or should I take all the minimums and find the smallest one, all the maximums and select the largest one from each Time[0] set? Im not sure which one would be more accurate.
1) don't write Duplicate or
2) open it in excel or access & delete the unnecessary lines
They aren't duplicates - within each Time[0] frame, there are different open/close values. Also I cannot use excel as the dataset is huge. I can remove the lines with my code however.
I am just unsure whether it is more accurate to take all that data and merely average open/close/high/low/bid/ask within the same timeframe, or whether I should take the 'highest high', 'lowest low', and depending on the direction of the candle, the highest/lowest open/close. In essence, with inter-Time[0] data, is it better to use the average to obtain the values, or the range.
More wierdness ensues.
For a period of 1 year backtrace on XAGUSD with these periods, and then filtering for unique Time[0]'s (i.e select only one open/close/high/low/bid/ask per Time[0]):
Period Expected Candlesticks Unique Time[0]'s in 1yr dataset
M5 1yr/5m = 105189 3395
M15 1yr/15m = 35063 2451
M30 1yr/30m = 17531 2210
H1 1yr/1hr = 8765 2083
H4 1yr/4hr = 2191 1156
D1 1yr/1d = 365 260
I really really have to be doing something wrong here. Filtering the results as qjol has suggested (which makes perfect sense - remove duplicates) leads again to numbers that just don't make any sense...
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Hi guys,
I'm currently exporting backtest data from MT4 via this very simple code I made:
int fileHandle;
int init()
{
fileHandle = FileOpen("MT4dump.txt",FILE_CSV|FILE_WRITE, ';');
if(fileHandle < 0){
Alert("Error ", GetLastError());
}
return(0);
}
int deinit()
{
FileFlush(fileHandle);
FileClose(fileHandle);
return(0);
}
int start()
{
if(fileHandle > 0){
FileWrite(fileHandle, Open[0], Close[0], High[0], Low[0], Bid, Ask);
}
return(0);
}
...which as you can see simply dumps the open/close/high/low/bid/ask per 'tick'.
The issue that is confusing me is, that I do not understand what the strategy tester considers a 'tick' with respect to the 'period'.
For instance, this is the dataset obtained from XAGUSD, from 2010-01-01 to 2011-01-01 (the last full year), by varying the period in the strategy tester:
M1: 15907 entries
M5: 58320 entries
M15: 149580 entries
M30: 286252 entries
H1: 392812 entries
H4: 1046989 entries
D1: 1046263 entries
I was under the assumption that the 'period' you set in the strategy tester would essentially define how large a 'tick' is. For example, if i chose D1, then one 'tick' should be 1 day, thus there should be 365 entries, more or less. There's obviously a lot more then that!
So I don't understand firstly why the ST period doesn't reflect the 'tick' duration in the MQL4 code. Any ideas why not / how I should fix this? I know I can probably get a timestamp and quantize the data, but that seems a dirty way to do it, and also makes it harder to develop my EA.
Additionally, I do not understand why all the pairs have different amounts of entries - the date range for all sets is the same, and I established above that the 'tick' is independant from the strategy tester 'period', so I can only assume that a tick is always a tick is always a tick (smallest lot of data possible). But even that doesn't fit the results because in that case, the amount of ticks for M1 should be equal to M5,M15,M30,H1,H4 and D1...
I really do not know what is going on here guys but I would be most grateful if anyone could indicate what I am doing wrong or where my method of thinking is flawed.