Forum on trading, automated trading systems and testing trading strategies
MT4 & MT5 backtest
Sergey Golubev, 2017.02.17 20:53
If you are backtesting EA on MT5 using 'every tick based on real ticks' so it will be almost same with trading on MT5 platform with some particular broker (because it is based on actual historical data).
Example, read this thread: Why is it better MT5 than MT4?? Does it have fewer limitations ??? - this is the quote from the first post of the thread:
As i know - some coders/traders are converting their MT4 EAs to MT5 just to backtest them and/or to find the settings with optimization to get the backtesting results that are closest to reality.
Testing trading strategies on real ticks
The article provides the results of testing a simple trading strategy in three modes: "1 minute OHLC" using only Open, High, Low and Close prices of minute bars; detailed modeling in "Every tick" mode, as well as the most accurate "Every tick based on real ticks" mode applying actual historical data.
Comparing the results allows us to assess the quality in various modes, as well as helps us to use the tester more efficiently in order to receive results faster. "1 minute OHLC" mode allows receiving quick estimated test results, "Every tick" mode is closer to reality, while testing on real ticks is most accurate but time-consuming. Keep in mind that errors in a trading robot's logic may affect the number of trading operations making the strategy test results more susceptible to a selected test mode.
Genetic algorithms - it's easy!
Genetic algorithm (GA) refers to the heuristic algorithm (EA), which gives an acceptable solution to the problem in the majority of practically significant cases, but the correctness of the decisions has not been proven mathematically, and is used most often for problems, the analytical solution of which is very difficult or even impossible.
A classic example of a problem of this class (class NP) is a "traveling salesman problem" (is one of the most famous combinatorial optimization problems). The main challenge is finding the most advantageous route, which passes through the given cities at least one time, and then returns to the initial city). But nothing prevents to use them for tasks, which yield to formalization.
EA are widely used for solving problems of high computational complexity, instead of going through all of the options, which takes up a significant amount of time. They are used in the fields of artificial intelligence, such as pattern recognition, in antivirus software, engineering, computer games, and other areas.
It should be mentioned that MetaQuotes Software Corp. uses GA in their software products of MetaTrader4 / 5. We all know about the strategy tester and about how much time and effort can be saved by using a built-in strategy optimizer, in which, just like with the direct enumeration, it is possible to optimize with the use of GA. In addition, the MetaTrader 5 tester allows us to use the user optimization criteria. Perhaps the reader will be interested in reading the articles about theGAand the advantages, provided by EA, in contrast todirect enumeration.
More article related:
Creating custom criteria of optimization of expert advisors
The MetaTrader 5 Client Terminal offers a wide range of opportunities for optimization of Expert Advisor parameters. In addition to the optimization criteria included in the strategy tester, developers are given the opportunity of creating their own criteria. This leads to an almost limitless number of possibilities of testing and optimizing of Expert Advisors. The article describes practical ways of creating such criteria - both complex and simple ones.
Neural network: Self-optimizing Expert Advisor
After we have defined our strategy and implemented it in our Expert Advisor, we face two issues that may completely invalidate our efforts.
Is it possible to develop an Expert Advisor able to optimize position open and close conditions at defined intervals?
Some discussion threads which may help to newbies:
MetaTester Agents won't start to work
Myql agent manager
And this is something which may be important for example:
MetaTrader 5 Help → MQL5 Cloud Network → How to Participate - Restrictions of Participation on MQL5 Cloud Network
There are several limitations of participation on MQL5 Cloud Network:
good thread to disclose some limitations -
Metatrader5 Strategy Tester Limitations on the Cloud Network: how to fix?
Alain Verleyen, 2017.09.23 11:37
This article should help -
Creating and testing custom symbols in MetaTrader 5
Good thread was started -
MT4 Strategy Tester : good practices, know-how and howtos
This topic is NOT to ask questions, it will be used as a reference.