Bypassing Backtesting (Strategy Tester) limitations

[iRick]

Hi

I'm new-ish to the MT4/EA coding world, although I'm capable enough already to code entry/exit expressions based on multiple indicators/timeframes, change SL/TP, pending orders etc

I'm wanting to outline my EA/Trading logic out here and have some more experienced coders/traders pick it apart...

My strategy is to develop multiple EAs that are fairly consistent across a large history (10yrs+), not to worried if there are extended down or flat periods but are looking for strategies that wouldn't vary too much from a positive trend line

My thinking here is that if I have multiple strategies with uptrends (and not massive drawdowns) then combining them should smooth out the equity curve (providing the Strategies/Pairs are not correlated)

I've got all Timeframes on a few FX Pairs loaded into MT4 from Tickstory but now I'm finding the limitations here are holding me back given I'm wanting to test over 10yrs+ (perhaps this is too long or unnecessary, although I'd prefer to trade a strategy that performed positively every year for previous 10yrs+ than one that performed negatively for early 5yrs then a better positively for the recent 5yrs%, open to input here???)

This in mind I've decided to only concentrate to 1hr+ timeframe strategies, I've also been coding a global variable into the EA to set the candle period (=60) and using this in the Entry/Exit expressions (that are always calculated from indicators with an offset and on the start of a new candle) and I've done this so I can run the Strategy Tester using Open Prices but with the M1 Period (And also including a condition of && Minute() = 0)

Which with the higher timeframes and still using M1 data I can quickly (or at least quicker) perform optimisations and I'm hoping this will create a "swings and roundabouts" situation

From here I could filter out the best performing configs and then run the Every Ticks method (which is obviously going to take a lot longer) I'm yet to connect to Tickstory to perform the Every Ticks (99.9%) level backtest, but this would be my next step if the strategy passes the Open Prices => Every Ticks (90%) tests, I then take the results data (clean it up) and insert it into a SQL database where I've written some SQL that will perform a Monte Carlo simulation to give me an idea of the best/worst outcomes and there likelihood, before testing in a demo account for 3-6months

My questions really is, am I wasting my time with my Open Prices Hack and 90% Every Tick back tests? (which so far seem to performing closely) or is it only worth developing with 99.9% quality data

Does using higher timeframes mellow the need for perfect accuracy data?

Any input would be greatly appreciated

Thanks

[Alain Verleyen]

It's not possible to answer in general. It depends of the inner details of your strategy.

Though,

• A H1+ timeframe is for sure less sensible than a lower timeframe.
• if you get same or similar results on a 10 years backtest on Open Prices and Every tick, that's already a good thing.
• You should also perform a live test and compare with a backtest (1 month for example, just to check your backtest is worth it).
• But you can always have serious difference when you will go to a real live account.

[iRick]

Alain Verleyen:

It's not possible to answer in general. It depends of the inner details of your strategy.

Though,

• A H1+ timeframe is for sure less sensible than a lower timeframe.
• if you get same or similar results on a 10 years backtest on Open Prices and Every tick, that's already a good thing.
• You should also perform a live test and compare with a backtest (1 month for example, just to check your backtest is worth it).
• But you can always have serious difference when you will go to a real live account.

Useful input there Alain, Thanks

I'll be keeping an eye on your "MT4 Strategy Tester : good practices, know-how and howtos" thread, which I see there's already a good point regarding spread, reminding me of something I forgot to mention above, I'm backtesting with the bigger than normal spread, hoping that a strategy that works in testing with a higher spread should also work which the switch to live happens