is Metatrader data reliable?

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patagonia2015
156
patagonia2015  
I'm doing some testing with Metatrader 5 and trading view. The results, on Metatrader the same system make about double the trades.

For what I understand when we perform a backtest on MT5, we download the data from Metaquotes, and of course is not the data of our broker, but for example EURUSD data should be pretty similar on Trading View or Metaquotes or my specific broker.

Anyone has made similar testing? I think the question if is someone that "makes money" with EAs in Metatrader need to buy data from a third party, or we can use the data from the terminal. Thanks!

Vimal Nathwani
199
Vimal Nathwani  
patagonia2015:
I'm doing some testing with Metatrader 5 and trading view. The results, on Metatrader the same system make about double the trades.

For what I understand when we perform a backtest on MT5, we download the data from Metaquotes, and of course is not the data of our broker, but for example EURUSD data should be pretty similar on Trading View or Metaquotes or my specific broker.

Anyone has made similar testing? I think the question if is someone that "makes money" with EAs in Metatrader need to buy data from a third party, or we can use the data from the terminal. Thanks!

I could write a lecture on this topic. Is MT4/5 data reliable? Yes

How do I know? Well I am in the process of getting funding for my trading systems and as part of this, I presented my backtested and live trading performance to various Investment Houses

They asked how I backtested and I said via MT4/5 data and also through Tradestation

They insisted I subscribe to Sierra Charts and Bloomberg Data to validate what I had

I subscribed to the data which was a bit painful to get the data and downloaded it. 

I did a comparison and there were extremely negligible differences. My PF didn't move over the same timeframe

So in a nutshell, I do not see why you cannot use Metatrader data to backtest and work with

patagonia2015
156
patagonia2015  
Vimal Nathwani:

I could write a lecture on this topic. Is MT4/5 data reliable? Yes

How do I know? Well I am in the process of getting funding for my trading systems and as part of this, I presented my backtested and live trading performance to various Investment Houses

They asked how I backtested and I said via MT4/5 data and also through Tradestation

They insisted I subscribe to Sierra Charts and Bloomberg Data to validate what I had

I subscribed to the data which was a bit painful to get the data and downloaded it. 

I did a comparison and there were extremely negligible differences. My PF didn't move over the same timeframe

So in a nutshell, I do not see why you cannot use Metatrader data to backtest and work with

Thank you for your response. Do you use algorithmic trading (EA) or do you use manual trading?

I'm only asking because I think in the case Algo trading is more important to have good data.

Lorentzos Roussos
29070
Lorentzos Roussos  
Id stick with MT5 data , alongside Ticks you can now also get historical news events. 
Vimal Nathwani
199
Vimal Nathwani  
patagonia2015:

Thank you for your response. Do you use algorithmic trading (EA) or do you use manual trading?

I'm only asking because I think in the case Algo trading is more important to have good data.

I do both. Manual with mt4 and i have programmed strategies running through tradestation
patagonia2015
156
patagonia2015  
Vimal Nathwani:
I do both. Manual with mt4 and i have programmed strategies running through tradestation
Thanks for the responses. I'm sure the data is very similar with reality (what is reality in case of a OTC market anyway right?). I found one of the differences in the code explain 90% of the difference, the rest I think is a little discrepancy in the hour of the time and different broker data. So, seems MT5 as you guys say is pretty good.
Vimal Nathwani
199
Vimal Nathwani  
The only other thing I forgot to mention Patagonia is that I even take some of my strategies to Excel when they are at their early stages. So I put them in excel and then test them. It involves a fair amount of work because you have to also put the indicator excel formulae in and it has to be correct. But this sometimes gets me thinking more creatively rather than just going straight for the tradestation or MT route. I find it helps be bolt on other indicators to what I have and do something more combined and wider than the original spec I had in mind. Just the way I work which I guess is qwerky!
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