Optimization and DOM

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Hi ,

I've understood that it is impossible to backtest a strategy on strategy tester using Depth of Market because brokers don't offers enough data to do it (correct me if i'm wrong) , my question is , how can we deal with that problem , to benchtest and optimize a strategy based on order book, 

Thanks

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...
 
eoltrading:

Hi ,

I've understood that it is impossible to backtest a strategy on strategy tester using Depth of Market because brokers don't offers enough data to do it (correct me if i'm wrong) , my question is , how can we deal with that problem , to benchtest and optimize a strategy based on order book, 

Thanks

You clearly nailed it. It's impossible. 

How else do you want to navigate around the problem? Create your own market depth?

 

Ok thanks,  a bit sad,

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