Discussion of article "Custom Strategy Tester based on fast mathematical calculations" - page 3
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You misunderstand me. You are suggesting that the TS for testing should be written on your trading API specifically for this purpose. And this is tantamount to using other testing solutions.
Well, you ignored the point with custom symbols, as well as the comparison of speeds in numbers.
Not all at once. Speed comparison will definitely be in another part.
Through the templates. I posted something like this in the Buy More.
Accordingly, if FrameNext is not called at least in one OnTesterPass, then all subsequent OnTesterPass+FrameNext will receive the previous pass instead of the one that came in.
Since the article is a tutorial, it wouldn't hurt to implement this nuance in the code in the form of the same comments.
And without templates, it's very versatile. No, no templates for sure. It's just not my style.
Almost half of your code is occupied by byte operations. And they depend a lot on the task. I think you can write a much more universal and concise code. But the boss is the boss.
You misunderstand me. You are suggesting that the TS for testing should be written on your trading API specifically for this purpose. And this is tantamount to using other testing solutions.
Vasiliy Sokolov:
Теоретически возможно использовать единое API. Единственное абстрактное API, которое сейчас имеется это CStrategy. Вот его поддержку и можно реализовать в математическом тестере.
Then it will be a solution for you only. If implemented, then either MQ4/5 or SB as a last resort.
But even if to realise support of basic things - it is a very difficult task. So taki-yes, now and in the foreseeable future API is different, therefore TC will have to be written twice.
That's what sucks. Write TC on one API, then rewrite it on another and look for discrepancies.
However, it is not quite correct to compare with third-party testers, because all calculations take place in MetaTrader infrastructure and the analysis block is the same. I.e. you can always run the TS in a standard tester or even in a demo and compare the report with the one in the matrix tester. Maybe in the next part I will integrate reporting with the standard MT tester.
MT infrastructure here is Agents and GUI of parameter setting. In general, it is doubtful.
MT tester is cool because most of the combat Expert Advisors can be tested on a virtual trading environment without any changes.
A tremendous job has been done! My remarks are as follows.
The mode of mat. calculations is not suitable for solving the task at hand for several reasons.
In the article itself, right after listing its advantages, including the absence of time-series data preparation, it starts its own implementation of the same functionality! :)
Since there is no comparison of the speed of the obtained cycle with the built-in mode "At opening prices", it becomes not clear at all whether there is any gain at least for such a primitive strategy.
Another trading API was mentioned by fxsaber, I fully agree with him. The solution should be universal, otherwise it risks to be not even unclaimed, but untried. Well, the necessity to rewrite indicators (including standard ones) for simple testing of the idea puts a fat cross on this approach.
The "future plans" include further movement to standard "Opening Prices", so it is not clear at all what value this tester has, except for demonstration and training.
The topic of frames and optimisation management is much more interesting and deserves more detailed elaboration and wrapping into convenient universal functions.
The Analyzer is also interesting as an alternative to standard reports and the standard optimisation process in general (I mean post-processing of all passes due to the presence of its own cache).
It is in this direction, in my opinion, that the series of articles should be continued.
Thank you for your work!
Although Christmas is long gone I wish your strategy tester could read and process local tick data in ASCII format.
Tick data has grown to ~400 GB on an external USB-HD using the free TickDownloader with me - which I would like to use - others probably also - so as not to depend on different brokers. Possibly also with the possibility to use multiple symbols at the same time (arbitrage, basket, ...).
This would also be interesting for MT4 because it can't do that!
Although Christmas is long gone, I would wish that your strategy tester could read and process the local tick data in ASCII format.
The tick data has grown to ~400 GB on an external USB-HD by the free https://strategyquant.com/tickdownloader# with me - which I would like to use - others probably also - in order not to be dependent on different brokers. Possibly also with the possibility to use several symbols at the same time (arbitrage, baskets,...).
That would also be interesting for the MT4, because it can't do that!
(by google translate)
Calli
PA: Anyway thanks for this interesting approach!
Thanks for the interesting article.
I think that the tester needs standard trading functions - open/close/TP/SL, which could be easily added to any Expert Advisor and get approximate results without excessive efforts.
Regarding indicators, here again it is necessary to implement the possibility of loading indicator indicators from a file/files, and to do it in such a way that the agents would keep this file and not transfer it permanently (if it is not available). Accordingly, it is necessary to implement at initialisation the switch of the indicator handle to the array of the file with ready calculations of the indicator. And, if a large number of such arrays will work fast enough, there is really a good thing in it.
The"Mathematical calculations" mode itself should probably be considered as a reduced analogue of the script, which is needed for any calculations not related to indicators.
Dear Vasily, can you please tell me if there is a mechanism for creating a feedback of Expert Advisors during optimization, when according to the results of the optimization analysis it is possible to continue optimization according to other criteria without manual intervention? Some analogue of GA in terms of controlling optimization parameters.
congratulations!
your article is really great! really for professionals ;-))
why don't think to enable standard indicators to work on custom symbold imported as array?
it's really too time-expensive and difficult to rewrite indicatos to work on array
i also developed by myself the code to do virtual trading, and i'd like to use it using virtual indicators too, with similar syntax to original mql5 one
thanks