How to perform a backtesting, equivalent to the real trading.

LUIS ALBERTO BIANUCCI
459
LUIS ALBERTO BIANUCCI  

First of all, a tick-to-tick trial should be used, where it is possible to download all the real ticks that have happened in the forex market. There are several recognized groups, many belonging to brokers, but these registries are certified by all the international organisms that intervene in the forex market, and their certainty is backed by the big operators, central banks, and big banks.
This in general is difficult to find them for free, in general it is paid, and this allows you to download the registers and tick by tick taking into account: spread, leverage, and sliding operations.
It is also possible to indicate other parameters with which the trader operates due to his knowledge or customs.

Once the backtestig is done. It is always convenient to do it at least 2 years ago, from the date it is done, the further back the profit factor starts and is maintained, the safer the Expert advisor is.

It is possible to determine which Ea behaves best, you can download the Ea that you think are best for you, from MQL5 where the best experts are, and you are sure that you were not scammed, here if you pay the rent or the Ea, you always will receive. Do the backtesting, in the conditions of the broker you use, and compare them with each other, and you will see that the results you obtain will resemble the real ones. This way you will have the possibility of acquiring or renting the one that performs best, with a very low possibility of error.

Thanks


Sergey Golubev
Moderator
122903
Sergey Golubev  

MT5 - Testing trading strategies on real ticks and the explanation is on this post.

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Testing trading strategies on real ticks - the article

If you need the most accurate representation of history data in the strategy tester, use "Every tick based on real ticks" mode. In this mode, the tester downloads real ticks from a broker's trade server and uses them to display the price development. In case real ticks are absent for some time intervals, the tester simulates the price just like in the "Every tick" mode. Thus, if the broker has all history of the required symbols, you can perform testing of real historical data without artificial modeling. The drawback of the mode is a significant increase in test time as shown in the comparison table above.

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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).

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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.

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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. 



Testing trading strategies on real ticks
Testing trading strategies on real ticks
  • www.mql5.com
The article provides the results of testing a simple trading strategy in three modes: "1 minute OHLC" using only Open, High, Low and Close prices of minute bars; detailed modeling in "Every tick" mode, as well as the most accurate "Every tick based on real ticks" mode applying actual historical data. Comparing the results allows us to assess...
LUIS ALBERTO BIANUCCI
459
LUIS ALBERTO BIANUCCI  
Look, that's not true, and I'm sorry that I don't share your opinion. I have optimized a recurring neural network, in metatrader 5, and when rehearsing tick by tick. metatrader 5 does not match reality.
If metatrader 4, using tick to tick, using tick data suite.
It is false that mt5 is better than mt4. Because mt5 is generally the same profit or loss rate as mt4. People who use mt5 do not earn more money than those who use mt4. The profit depends on the Ea. and a neural network that works well is possible, even make it mt4.
Sergey Golubev
Moderator
122903
Sergey Golubev  
LUIS ALBERTO BIANUCCI:
Look, that's not true, and I'm sorry that I don't share your opinion. I have optimized a recurring neural network, in metatrader 5, and when rehearsing tick by tick. metatrader 5 does not match reality.
if one person told that his EA is profitable based on backtesting results on MT4 strategy tester so this person is scammer; because MT4 strategy tester can not proof it (profitable or not); we can use MT4 strategy tester just to understand about how EA works, when EA places stop loss and more.


If metatrader 4, using tick to tick, using tick data suite.
It is false that mt5 is better than mt4. Because mt5 is generally the same profit or loss rate as mt4. People who use mt5 do not earn more money than those who use mt4. The profit depends on the Ea. and a neural network that works well is possible, even make it mt4.

I am in forex and with Metatrader (started from Metatrader 3) from last century.
And I know the following:

  • if one person told that his EA is profitable (or his EA was profitable) based on backtesting results on MT4 strategy tester so this person is scammer; because MT4 strategy tester can not proof it (profitable or not); we can use MT4 strategy tester just to understand about how EA works, when EA places stop loss and more.
  • if one person told that his EA is/was profitable based on backtesting results on MT5 strategy tester with "every tick based on real ticks" mode so the only querstions we can ask are the following - which are the settings/parameters, and which broker is used (because the data/quotes are different from one broker to an other one.

Because we are not talking about the future, right? As one famous coder told "future is not set". We are talking about past performance based on reality.

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There are some users/coders who are converting their EAs to MT5 just to find good profitable settings for their EAs with "every tick based on real ticks" mode.

The Fundamentals of Testing in MetaTrader 5
The Fundamentals of Testing in MetaTrader 5
  • www.mql5.com
The idea of ​​automated trading is appealing by the fact that the trading robot can work non-stop for 24 hours a day, seven days a week. The robot does not get tired, doubtful or scared, it's is totally free from any psychological problems. It is sufficient enough to clearly formalize the trading rules and implement them in the algorithms, and...