The Great Bid-Ask Problem

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Has anyone else studied the underlying Bid-Ask prices in the backtest environment? I'm using the previous version of MetaTrader available at InterBank FX. I used the print command to see what values the system is using for Bid Ask prices. I printed values for the latest hour and saw spreads of 2 to 5 pips. Mostly the spreads were greater than 2 pips and they varied widely from one minute to the next. My broker offers 2 pip spreads (on EURUSD) so this backtest environment is producing greater losses than real trading would.

Does anyone know why the underlying Bid-Ask is so large and variable? Why can't we backtest on a fixed spread? If this is not possible it seriously reduces the value of this backtest tool. I think I'm going to go back to my Visual Basic backtest tool and use the data supplied by InterBank FX. Maybe I'll package it and sell it like our friend Sara here.

Thanks

Steve
 
backtesting uses constant spread
 
Are you sure? Here is part of a log for a backtest I just ran. The spread doesn't look very constant to me. I see 5 pips, then 4 pips, then 3 pips, then 4 pips. Can you explain? This is a big problem for backtesting. Do you work for MetaQuotes? And can you explain why every time I close my longs I see "invalid trade 1 for OrderValue"? Closing my shorts has no error message.

07:57:34 Expert 'Whipsaw': Ask = 1.2334
07:57:34 Expert 'Whipsaw': Bid = 1.2329
07:57:34 Expert 'CloseAllOrders': close #174 1.00 lots at 1.2334 [slippage 100]
07:57:34 Expert 'PlaceOrder': buy 1.00 EURUSD at 1.2334 [slippage 1000], sl: 1.1334 tp: 1.3334
07:57:34 Expert 'Whipsaw': Ask = 1.2336
07:57:34 Expert 'Whipsaw': Bid = 1.2332
07:57:34 Expert 'CloseAllOrders': close #175 1.00 lots at 1.2332 [slippage 100]
07:57:34 Expert 'CloseAllOrders': invalid trade 1 for OrderValue
07:57:34 Expert 'PlaceOrder': sell 1.00 EURUSD at 1.2332 [slippage 1000], sl: 1.3332 tp: 1.1332
07:57:34 Expert 'Whipsaw': Ask = 1.2361
07:57:34 Expert 'Whipsaw': Bid = 1.2358
07:57:34 Expert 'CloseAllOrders': close #176 1.00 lots at 1.2361 [slippage 100]
07:57:34 Expert 'PlaceOrder': buy 1.00 EURUSD at 1.2361 [slippage 1000], sl: 1.1361 tp: 1.3361
07:57:34 Expert 'Whipsaw': Ask = 1.2374
07:57:34 Expert 'Whipsaw': Bid = 1.237
07:57:34 Expert 'CloseAllOrders': close #177 1.00 lots at 1.2370 [slippage 100]
07:57:34 Expert 'CloseAllOrders': invalid trade 1 for OrderValue
 
i am sure. exposed log is not MT4 tester log.
 
Slawa

Thanks for the reply, but it doesn't make any sense. When I execute a trade in Strategy Tester a buy (long position) opens at the same Ask price as the Print command shows and a buy closes at the same Bid price as the Print command shows. Your system isn't doing what you think it's doing. Major problem.

Steve
 
Hello Steeve:

Can you tell me which is your Broker?

Regrads

Gonzalo

Has anyone else studied the underlying Bid-Ask prices in the backtest environment? I'm using the previous version of MetaTrader available at InterBank FX. I used the print command to see what values the system is using for Bid Ask prices. I printed values for the latest hour and saw spreads of 2 to 5 pips. Mostly the spreads were greater than 2 pips and they varied widely from one minute to the next. My broker offers 2 pip spreads (on EURUSD) so this backtest environment is producing greater losses than real trading would.

Does anyone know why the underlying Bid-Ask is so large and variable? Why can't we backtest on a fixed spread? If this is not possible it seriously reduces the value of this backtest tool. I think I'm going to go back to my Visual Basic backtest tool and use the data supplied by InterBank FX. Maybe I'll package it and sell it like our friend Sara here.

Thanks

Steve

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