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Backtest on Tick Database - Will be available?

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Lime
642
Lime 2010.12.21 01:30 

Hi Coders!

Does anybody know, that will be available the MetaTrader5 for backtest on tick database?

Now, we still can't import datas to MT5 history. Later, we are going to can. But will be available import tick database too?

Thank you.

Relative

Brett Luedtke
114
Brett Luedtke 2010.12.21 03:14  

Your question confuses me - do you intend to do an import of ticks into MQL5 as you would for rates history? 

I personally haven't heard much on the prospect of full ticks backtest. However, since the nature of ticks and rates (historical data in MT5) are quite different from one-another, I "wouldn't count on it."

You might find evidence of this unfortunate reality by looking at the Ticks indicator example in the Articles section. This article was posted sometime back - from my experiments then, the analysis of a "ticksSeries" of sorts isn't so simple. There are lots of nuances in even analyzing the ticks themselves - not to mention rewriting a considerable amount of the StrategyTester. One area of difficulty is the indicators, which can be applied to RATES natively but can't function on TICKS data. Perhaps there is too monumental a task at hand. 

At first I thought you were asking something else, if it is possible to work with a database (DBMS) in backtesting. This is a possibility worth exploring. Maybe with a database table, an enormous text file, or some other solution for storing tick history, we can "internalize" the foreign ticks data using our program. In your EA you can call the data on-the-fly (weary of resources), and perform needed calculations that way. ...Beyond this point I begin to struggle with the concept.

Regards 

Creating Tick Indicators in MQL5
  • 2010.04.23
  • Denis Zyatkevich
  • www.mql5.com
In this article, we will consider the creation of two indicators: the tick indicator, which plots the tick chart of the price and tick candle indicator, which plot candles with the specified number of ticks. Each of the indicators writes the incoming prices into a file, and uses the saved data after the restart of the indicator (these data also can be used by the other programs)
Pawel Wojnarowski
686
Pawel Wojnarowski 2010.12.21 10:10  
Relative:

Hi Coders!

Does anybody know, that will be available the MetaTrader5 for backtest on tick database?

Now, we still can't import datas to MT5 history. Later, we are going to can. But will be available import tick database too?

Thank you.

Relative

As far as I remember, it won't be possible. Ticks for backtest are generated by MT5.
Lime
642
Lime 2010.12.21 13:18  

Thank you Lugner and Enigma71fx!

Really, I'm looking for a solution to make run backtest which is more close to the reality. The purpose is to get same trading result either at forward- and backtest. I think, the only way is to feed somehow the StrategyTester with tick data. Because the deviation between the trading results arise from the tick calculation algorithm of the tester. ...Maybe

Brett Luedtke
114
Brett Luedtke 2010.12.23 01:07  
Relative:

Thank you Lugner and Enigma71fx!

Really, I'm looking for a solution to make run backtest which is more close to the reality. The purpose is to get same trading result either at forward- and backtest. I think, the only way is to feed somehow the StrategyTester with tick data. Because the deviation between the trading results arise from the tick calculation algorithm of the tester. ...Maybe

It will require forward testing.. (adjusted my view after sleep) . . .

To think of it in terms of passing the generator custom times of OnTick() event simplifies my interpretation of MetaQuotes options for "working into" strategy tester flexibility. This feature obviously couldn't be marketed as supported, but to have "custom" times of onTick generations during test seems to do do the trick. I don't know why I choose to analyze such possibilities, so from here MQ can comment themselves. If their willpower remains after this many inquiries on the matter, I would like to see "best possible solution to encourage best possible outcome" of the problem in replacing generated ticks values.

 

Fortunately if you have the core concepts pre-built into "best practices" or "best available solutions" this will allow you to enhance beyond the presented limits of MT5 platform and truly into MQL5 utopia. :) It is very possible though extremely long hours making a self-optimization technique which can make sense for your situation. For me, since I'm "catching up" on many missed years since last programming, I am just coming out of planning stages. To get a plan for my lifecycle, it has so far taken 2 or 3 notebooks, and many sheets of printer paper.

Mind you, I write with a pen; most of my plan is crossed out and rewritten in more than a few places.

If you think like a trader while programming your bot, and refuse to think like the strategy (because winning is more than strategy) you will have an easier time.

Cheers! 

Documentation on MQL5: Standard Constants, Enumerations and Structures / Chart Constants / Types of Chart Events
  • www.mql5.com
Standard Constants, Enumerations and Structures / Chart Constants / Types of Chart Events - Documentation on MQL5
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