Why the history quality different so much?

[Terry Zhang]

When I run back test, I notice if I pick "Every tick based on real ticks", I can get 99% or 100% history quality. But if I pick "Every tick" or "1 minute OHLC", with everything else exactly the same (same EA, input, time frame and so on), I get no more than 15% history quality. Am I missing something? Thanks.

[Sergey Golubev]

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).

-------------------

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.

--------------

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. 

[Terry Zhang]

Thanks, I understand "Every tick based on real ticks" is the most realistic one, but what's point of having "Every tick" and "1 minute OHLC" if they can't produce somewhat sensible result?

[Sergey Golubev]

From this article:

• "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.

----------------

For example, if I want to check the following: EA works or not? when stop loss is placed? and so on - I will use "1 minute OHLC".

But if someone told me: "my EA is profitable" so I can ask: "which broker?"
And he will backtest with real ticks just to show me the performance of his EA with his broker.

It may be the other examples ...
I remember old Firebird EA for MT4 which was coded on open bar + high/low of the bar + close bar, and the trades did not know how to backtest this EA. But the better way for now is to convert this EA to MT5 and backtest with MT5 strategy tester (and optimize to find the settings for several brokers for example) ..

[Terry Zhang]

OK, thanks, I guess I will have to stick with real tick then.