Use other optimization algorithms in MT5

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vzografos
66
vzografos  

Hi,

does anyone know if it is possible (and straightforward) to use alternative optimization methods in the Strategy Tester in MT5 instead of the genetic algorithm and the brute force method?

Sergey Golubev
Moderator
106109
Sergey Golubev  

All (not yet) about Strategy Tester, Optimization and Cloud 

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TESTING TRADING STRATEGIES ON REAL TICKS

Forum on trading, automated trading systems and testing trading strategies

PriceChannel Parabolic system

Sergey Golubev, 2017.02.15 06:02


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Just an example -

MT4 and very old builds of MT5: I optimized the EAs from this thread just to find good settings for the pair, I was backtesting them, and I traded on demo for some time just to be sure that EAs are profitable.

With new builds of MT5: I will optimize the EAs from this thread to find the settings, and I will backtesting them with 'every tick based on real ticks' - and it will be same as trading by those EA on real account for many months or years!

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:

  • In MT5 you can backtesting robots with the closest possible conditions to the real market natively  (real tick data, real variable spreads, lag, slippage, etc). In MT4 you can't natively. You only can if you pay for a third-party software. If so, you also have to download history data from a few sources (there are many few, almost everyone uses the same source), transform it to MT4 format and open the platform through this third-party software in order to patch MT4 behavior. You take many hours to complete this process, and you have to repeat it every time you want to incorporate new data. 
    We have all seen hundreds of robots that obtained spectacular results in backtesting, but when operating in real account the results were very bad. This is mainly because they were made with conditions that had nothing to do with real market conditions.

For more information about it - read this summary.

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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. 




vzografos
66
vzografos  
So I am guessing that's a no then?
Alain Verleyen
36058
Alain Verleyen  
Vasileios Zografos:
So I am guessing that's a no then?
It's possible but certainly not straightforward.
vzografos
66
vzografos  
Alain Verleyen:
It's possible but certainly not straightforward.

Can you point me to the right direction please if you know of any such examples? I would really like to try some alternatives because the genetic is really VERY limited for my needs.

So if you have come across someone who has managed to succeed in using an external optimisation solution I would be very interested in adapting it.

Thanks

vzografos
66
vzografos  

FYI


https://www.mql5.com/en/articles/2279?utm_campaign=MetaEditor+5&utm_medium=special&utm_source=mt5editor+article

Neural network: Self-optimizing Expert Advisor
Neural network: Self-optimizing Expert Advisor
  • 2016.10.11
  • Jose Miguel Soriano
  • www.mql5.com
Is it possible to develop an Expert Advisor able to optimize position open and close conditions at regular intervals according to the code commands? What happens if we implement a neural network (multilayer perceptron) in the form of a module to analyze history and provide strategy? We can make the EA optimize a neural network monthly (weekly, daily or hourly) and continue its work afterwards. Thus, we can develop a self-optimizing EA.
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