Python or MQL5 — Code Migration - page 5
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Thank you for the clarification. I agree with your points. I was lead to the same conclusion.
Since I lack the experience with Futures, what I am about say could be incorrect, but ... if your strategy is so "delicate" that the lack of DOM history could through your results off so much, then it is NOT a good strategy.
It would mean that the strategy is not robust enough to handle different market conditions and any little "glitch" would through it off and cause great losses.
So, as long as the back-tests can be 80-95% accurate compared to the live trading, I would consider it irrelevant if the DOM history is used or not.
What is important, is that in the back-testing, all the logic is executed accurately and correctly according to your strategy and trading rules, and that in general terms, it is sufficiently profitable, and the metrics, such profit-factor, recovery-factor, draw-down, MAE, MFE, etc. are favourable in your analysis.
After that, apply the EA on a live demo account, and compare the results. If they are within the margin of error compared to back testing, then move forward and don't focus so much on having the "perfect" back-testing conditions.
If the back-test and live trading are very different, then blame the strategy or the code. The back-testing abilities will be the least of your problems.
I’ve already developed the strategy, and it seems to work correctly, just as it did in NT8. The strategy is both profitable and robust. I'm transitioning to MT5 for three reasons: first, the backtesting is much faster and easier with cloud integration, which will be invaluable when I start running optimizations to make the strategy even more robust and profitable; second, I can incorporate AI in a friendly way; and finally, the platform offers greater reliability.
I plan to make the comparison you suggested. I believe the results will be very similar to those in NT8. However, I’m still a bit unclear on what additional information the DOM provides compared to tick data. I’ve only used tick data until now.
I may be misunderstanding your issue, but the tick data also provides the ask and bid quotes too, as it progresses.
However, the "proof is in the pudim"—why not just code a simple EA (or use and existing EA) , with a very simple strategy and run it o demo account and run a back-test for the same period and compare them.
Sometimes, the best way to learn, is to simply DO instead of asking.
Also, here is a question for you, that may help explain to us your line of thinking—why did you decide to make the change from Ninjatrader to MetaTrader?
Was it because of the back-testing or was it for another reason?
If the back-testing on NT was sufficiently accurate and reliable, then there should be no trouble in that aspect with MetaTrader. If however, you are switching because your back-testing with NT was not sufficiently the same as your live trading, then it is most likely a problem with the strategy or code-logic, and not with the back-testing.