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Tester: Testing Expert Advisors on Non-Standard Time Frames

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MetaQuotes Software Corp.
Moderator
181164
MetaQuotes Software Corp. 2013.07.02 10:58 

New article Testing Expert Advisors on Non-Standard Time Frames has been published:

The market price fluctuates way too frequently to conveniently use the price change chart, the so-called tick chart, in technical analysis. To facilitate the perception of price changes and allow for use of longer time frames when analyzing, we use bar or candlestick charts. Each bar demonstrates the price value as at the start and end of a certain period of time, as well as the maximum and minimum price value over that period. It is customary to use the following periods or time frames: 1 Minute, 5 Minutes, 15 Minutes, 30 Minutes, 1 Hour, 4 Hours, Daily, Weekly and Monthly. These time frames can be found in the MetaTrader 4 terminal toolbar.


Despite the commonly used time frames that have already become standard, there is technically no reason why we cannot use any other time frame to display price changes. From a practical standpoint, the terminal provides a script (period_converter) which allows terminal users to create non-standard time frame charts, e.g. 2 Minutes, 7 Minutes, 45 Minutes, 2 Hours and basically any other time frame, as well as to attach indicators thereto. However, the terminal's Strategy Tester allows you to select only standard periods for testing.

So near and yet so far - we can create a non-standard time frame chart, yet there is no way to use it for testing Expert Advisors. In fact, the situation is much better than it appears. Testing Expert Advisors on non-standard time frames is possible! All we need to do is to replace standard time frame data with non-standard time frame data. Furthermore, we can even test Expert Advisors that use data from several non-standard time frames.

Author: Dmitry Fedoseev

Scott Woodworth
20
Scott Woodworth 2014.01.16 19:22  

Terrific Article. Can you advise if you know why the modelling quality isn't very good when you run this script and run a back test with the data? I have created a csv file for 8HR data from a 1MIN chart. I run the strategy tester on the 1MIN setting (which contains the 8HR candle data) and the modelling quality comes back at 25% for each test.


Thanks for your help!


Scott

Ivo Luhse
678
Ivo Luhse 2015.06.18 15:12  

Hi.

Has anyone actually tested EA on Non-standart Timeframes with success??

I`m trying to test my EA on weekly and 12h chart, but getting bunch of mismatch chart errors. I substituted Daily chart data with weekly/12 h chart data and run on tick mode test (Daily). 

Its ok if use only Open price mode only and if you don't need to look inside the bar, but thats realy not an option for me.

Anyone tested EA on weekly or other non-standard time frame and managed to see ticks inside the bar? (real ticks not fake ones ST generates)

 

Thanks 

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