backtest quality in mt5

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ghartimagar
21
ghartimagar  
tested same EA on mt4 and mt5  same pair same settings same tf and got different 

results with both mt5 says 99% history quality without downloading history data. and mt4 says modeling quality 36% after downloading m1 history. mt4 backtest was in profit whareas mt4 test was in loss

does that mean mt5 has super history quality by default downloaded with platform and can we relay on it?


Thanks
Sergey Golubev
Moderator
106720
Sergey Golubev  

More reliable backtesting is on MT5.
Some coders are converting their EAs from MT4 to MT5 versions just to optimize and to find good settings.
Besides, MT5 is having the option to backtest with the 'real ticks' - it means that backtesting will be same as the trading by EA on same broker's data for example.

More information is below - 

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Forum on trading, automated trading systems and testing trading strategies

PriceChannel Parabolic system

Sergey Golubev, 2017.02.15 06:02


You can read this article (TESTING TRADING STRATEGIES ON REAL TICKS).

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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. 


Sergey Golubev
Moderator
106720
Sergey Golubev  

Forum on trading, automated trading systems and testing trading strategies

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

Sergey Golubev, 2017.07.22 07:31

The article:

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.



Sergey Golubev
Moderator
106720
Sergey Golubev  
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