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Trading Systems: Modelling Requotes in Tester and Expert Advisor Stability Analysis

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MetaQuotes Software Corp.
MetaQuotes Software Corp. 2007.05.22 09:54 

New article Modelling Requotes in Tester and Expert Advisor Stability Analysis has been published:

Requote is a scourge for many Expert Advisors, especially for those that have rather sensitive conditions of entering/exiting a trade. In the article, a way to check up the EA for the requotes stability is offered.

The Strategy Tester embedded in the Meta Trader 4 Client Terminal is a very good verification/quality evaluation tool for a trading strategy realized in the Expert Advisor. But at the current moment, it has two quite critical (to my mind) features. First, it does not use the real tick history for a symbol and models ticks on the basis of one-minute bars. Second, it does not consider the phenomenon that brokers requote rather often, especially on small trade volumes or on very large ones, and also on the "thin", low-liquid market. Under the conditions of possible requotes, no opportunity to check up the EA leads to appearance of "grails", trading on “spikes”, leaps and non-market quotes. It was explained and proved many times that such a strategy could not be effective on a real account but, unfortunately, quite often it is difficult to realize whether your Expert Advisor plays on “spikes” or not. On a history chart with trades imposed on it, it is sometimes possible to see that the Tester opens trades on leaps, but not every time. It is also difficult to predict whether it will whittle the requote strategy during these moments or just lower the profitability. In this article, I am going to state my own method to solve this problem.

Author: Murashov Anton

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