Discussion of article "MQL5 Cookbook: Trading strategy stress testing using custom symbols"

To add comments, please log in or register
MetaQuotes Software Corp.
Moderator
211471
MetaQuotes Software Corp.  

New article MQL5 Cookbook: Trading strategy stress testing using custom symbols has been published:

The article considers an approach to stress testing of a trading strategy using custom symbols. A custom symbol class is created for this purpose. This class is used to receive tick data from third-party sources, as well as to change symbol properties. Based on the results of the work done, we will consider several options for changing trading conditions, under which a trading strategy is being tested.

The below table shows my strategy testing results with different spread values, using EURUSD data (Table 1).

Value Spread 1 (12-17 points) Spread 2 (25 points) Spread 2 (50 points)
Number of trades
172 156 145
Net Profit, $
4 018.27 3 877.58 3 574.1
Max. Equity Drawdown, %
11.79 9.65 8.29
 Profit per Trade, $
 23.36  24.86  24.65

Table 1. Testing results with different spread values

Column "Spread 1" reflects results with a real floating spread (12-17 points with five-digit quotes).

With a higher spread, the number of trades was less. This resulted in a decrease in drawdown. Moreover, the trade profitability has increased in this case.

Author: Denis Kirichenko

To add comments, please log in or register