How much does the tick path change your EA test?
Shakir Mehmed:
If you've run a short-target EA both ways, where did the fills differ for you?
In my estimation, the differing net profits have more to do with the kind of trading EA being tested than the Tester. I routinely test on custom charts, and on real ticks and OHLC. My trading EA(s) always trade (in/out) on bar close, so any differences are negligible. I should note that I manually input my CME futures commissions into the Tester, and those commissions are the lion's share of costs incurred. Of course, that may not be the case for everyone.
If you've run a short-target EA both ways, where did the fills differ for you?
When I saw that the tick path was changing drastically in one EA when changing risk size (percentage) and nothing else, then I knew something was wrong. My EA even held trades, so why such a difference? it's because different risk percentages changes everything, so then nothing should be hardcoded with point values. An EA should ideally work with percentages on everything so that it's working like one big algorithm where no conditions are hardcoded with arbitrary point values. Now when I change the risk percentage, I see the exact same tick path in different backtests, and that means things are coded properly.
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I do most of my development runs on M1 OHLC because it's fast. Before I release anything I rerun the finished EA on real ticks. On EAs that wait for a setup and give the trade room, the two modes usually land close together. On anything with a tight target they can be far apart.
In 1 minute OHLC mode the Open, High, Low and Close prices are taken from real history. Only the arrival times of those four ticks inside the minute are generated, and a single spread is fixed for that bar. So the price levels are real, but the intra-minute path, the sequencing of the ticks and the spread are simulated. A short target can be reached by a generated tick in an order the real sequence would never produce. Real-tick mode lets the spread vary within the minute, so the two runs can diverge in which trade fills first. Switch to real ticks and the edge shrinks or flips. Live spread, slippage and latency add their own effect, and the tester can emulate network delay so you can measure that part too.
My own runs show both outcomes (MT5 Strategy Tester simulation, real ticks). The Pantheon EA finished at 17,544.08 USD on M1 OHLC and 16,235.41 USD on real ticks, so the edge dropped. The Crown EA came in lower on real ticks, 29,058.44 USD against 29,768.04 USD. These are my own Strategy Tester simulations, not live results, and the real-tick runs reported 57% history quality against 100% on M1 OHLC.
What I do now is check the tick coverage of the history first, via the History Quality figure in the report. Then I put the deal lists from both modes side by side and look for the first trade where they split. That tells me more than the summary numbers do.
If you've run a short-target EA both ways, where did the fills differ for you? I'd like to know which settings you used too, so someone else could repeat it.
If you want to try this yourself, take a free EA from the MQL5 Market, run its demo on M1 OHLC and again on real ticks, then compare the first diverging trade.