Strategy tester - multiple financial instruments
read "Testing Features and Limits in MetaTrader 4"
They forbid use other symbols than that from tested chart
They forbid use other symbols than that from tested chart
thanks, didn't see that thread
however I think it is a significant limitation for backtesting strategies where multiple instruments are traded simultaneously
for instance, I can open 5 longer-term positions and each one of them may result in profit or limited loss when closed, but if opened simultaneously there is a chance that all 5 of them will at the approximately same time go against me (temporarily) and that the summed loss would produce a margin call
so, if analysed separately and summed I get xx% profit, but in real-life situation I get a huge loss
If I could trade all 5 (or whatever number of) instruments from a single expert then I could simulate real life situation and see what temporary drawdown can I expect
Am I going in wrong direction?
Is there maybe another way to do it, or some workaround?
however I think it is a significant limitation for backtesting strategies where multiple instruments are traded simultaneously
for instance, I can open 5 longer-term positions and each one of them may result in profit or limited loss when closed, but if opened simultaneously there is a chance that all 5 of them will at the approximately same time go against me (temporarily) and that the summed loss would produce a margin call
so, if analysed separately and summed I get xx% profit, but in real-life situation I get a huge loss
If I could trade all 5 (or whatever number of) instruments from a single expert then I could simulate real life situation and see what temporary drawdown can I expect
Am I going in wrong direction?
Is there maybe another way to do it, or some workaround?
It is easy after tests to add equity curves from every symbol and see what drawdown do you have when you trade. You can also share 1/5 of your deposit to every symbol. Also use of the external data from files with other symbol's trade history or account's balance history is possible. Many ways to try...
Still, the limits of STester seems to be strange.
All the best
Rafael
Still, the limits of STester seems to be strange.
All the best
Rafael
yeah, some of the things you've mentioned are possible but a lot of unneccessary hassle for this problem that I think should be supported by strategy tester
I mean, if OrderSend function takes symbol name as one of it's argument, then what is the point of it if there is only a single value that is accepted?
anyway, rafael, thank you for your help and the ideas
could anyone from Metaquotes please add some comments on this issue?
reasons for not supporting this, or any future plans...
I mean, if OrderSend function takes symbol name as one of it's argument, then what is the point of it if there is only a single value that is accepted?
anyway, rafael, thank you for your help and the ideas
could anyone from Metaquotes please add some comments on this issue?
reasons for not supporting this, or any future plans...
Hi
I don't know if you read this "Testing Features and Limits in MetaTrader 4"
They don't allow other symbols in OrderSend with STester due to optimization I think.
On demo and real it should work.
STester and MQL are not very efficient. I wrote complex strategy and I can't test it :) For short time it takes hours to test...
I think this is because MQL is interpreter language not compiled one.
I don't know if you read this "Testing Features and Limits in MetaTrader 4"
They don't allow other symbols in OrderSend with STester due to optimization I think.
On demo and real it should work.
STester and MQL are not very efficient. I wrote complex strategy and I can't test it :) For short time it takes hours to test...
I think this is because MQL is interpreter language not compiled one.
no, didn't find that one either
as for your problem, maybe something simple can be done
if it is indicator calculations that slow down your expert you could write values of indicators used (custom or included) to a file and then, when testing, in init() read them back in into an array which will be later used as a look-up table, therefore, eliminating timely calculations
for indexing purposes you could simply declare static var that will increment each time a start() is called; that way this approach will work for every model (every tick, open price, ontrol points)
the only drawdown (that I currently see) is that you must write values for each symbol and each timeframe, but once you get a hold off it it should be a quicky one
and of course, you have to write to a file each time a new bar appears on the chart, but we are talking about backtesting, right?!
I wonder if Metaquotes guys could make this the feature of the tester - at the beginning, the tester should calculate everything it needs and then fetch this data from memory instead of calculating it over and over in each pass...
Much faster approach and still, simple to implement.
METAQUOTES GUYS HAVE YOU READ MY LAST POST?
WILL MULTIPLE SYMBOLS EVER BE SUPPORTED?
as for your problem, maybe something simple can be done
if it is indicator calculations that slow down your expert you could write values of indicators used (custom or included) to a file and then, when testing, in init() read them back in into an array which will be later used as a look-up table, therefore, eliminating timely calculations
for indexing purposes you could simply declare static var that will increment each time a start() is called; that way this approach will work for every model (every tick, open price, ontrol points)
the only drawdown (that I currently see) is that you must write values for each symbol and each timeframe, but once you get a hold off it it should be a quicky one
and of course, you have to write to a file each time a new bar appears on the chart, but we are talking about backtesting, right?!
I wonder if Metaquotes guys could make this the feature of the tester - at the beginning, the tester should calculate everything it needs and then fetch this data from memory instead of calculating it over and over in each pass...
Much faster approach and still, simple to implement.
METAQUOTES GUYS HAVE YOU READ MY LAST POST?
WILL MULTIPLE SYMBOLS EVER BE SUPPORTED?
swacc,
Bring up the EURUSD and GBPUSD charts. Then drag your EA onto each one. That's how you trade multiple symbols.
- Vooch
Bring up the EURUSD and GBPUSD charts. Then drag your EA onto each one. That's how you trade multiple symbols.
- Vooch
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unknown symbol name ... for OrderSend function.
For instance, if EURUSD is set in the strategy tester and my expert tries to execute:
OrderSend("GBPUSD",OP_BUY,lots,Ask,3,SL,TP,"MA Cross",0,0,Green);
i get:
unknown symbol name GBPUSD for OrderSend function.
OrderSend("EURUSD",OP_BUY, ... is accepted with no problems
thanks
swacc