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Discordance. I wish I could identify where's the fail from ?

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Icham Aidibe
10043
Icham Aidibe 2016.04.18 10:37 

Hi,

 I wish I could identify where's the fail from to correct it. Any ideas ?

Files:
eafailproof.jpg 327 kb
Damian Mateusz Dziadosz
5751
Damian Mateusz Dziadosz 2016.04.18 10:43  
By discordance you mean you did not get the same results in backtest and live? If that is the case remember that past results are not a guarantee of same future results.
Icham Aidibe
10043
Icham Aidibe 2016.04.18 11:10  
Damian Mateusz Dziadosz:
By discordance you mean you did not get the same results in backtest and live? If that is the case remember that past results are not a guarantee of same future results.
The history I show goes from 12/04 to 18/04. Same for the strategy tester test. I may understand few difference related to execution time, but such a difference is inexplainable with 100% historical data quality. Any other idea ?
Marco vd Heijden
Moderator
4686
Marco vd Heijden 2016.04.18 11:34  

It's normal.

Your ea is clearly tuned to the tick generating algo.

http://www.metatrader5.com/en/terminal/help/tick_generation

Icham Aidibe
10043
Icham Aidibe 2016.04.18 12:30  
Marco vd Heijden:

It's normal.

Your ea is clearly tuned to the tick generating algo.

http://www.metatrader5.com/en/terminal/help/tick_generation

Indeed.

When testing on real ticks, a spread may change within a minute bar, whereas when generating ticks within a minute, a spread fixed in the appropriate bar is used.

If the Market Depth is displayed for a symbol, the bars are built strictly according to the last executed trade price (Last). Otherwise, the tester first attempts to build the bars by Last prices, and in case of their absence, uses Bid ones. OnTick event is triggered on all ticks regardless of whether the Last price is present or not.

Please note that trading operations are always performed by Bid and Ask prices even if the chart is built by Last prices. For example, if an Expert Advisor working on bar open prices receives a signal at Last price, it performs a trade at another price (Bid or Ask depending on the direction). If "Every tick" mode is used, the bars are built by Bid prices, while trades are performed by Bid and Ask ones. The Ask price is calculated as Bid + fixed spread of a corresponding minute bar.

If a symbol history has a minute bar with no tick data for it, the tester generates ticks in the "Every tick"
 mode. This allows testing the EA on a certain period in case a broker's
 tick data is insufficient. If a symbol history has no minute bar but 
the appropriate tick data for the minute is present, these ticks are 
ignored. The minute data is considered more reliable.


So what should I change ?

- Spread fix ? It is.

- Use last price for signal ? I don't use ticks to get a signal.

- Historical data 100% : so i can consider no ticks are rebuild ?

Marco vd Heijden
Moderator
4686
Marco vd Heijden 2016.04.18 12:37  

If that was the case then the results had to be roughly similar and this is clearly not the case.

My advice would be to design your ea around live markets and not around the tester.

Icham Aidibe
10043
Icham Aidibe 2016.04.18 13:23  
Marco vd Heijden:

If that was the case then the results had to be roughly similar and this is clearly not the case.

My advice would be to design your ea around live markets and not around the tester.

You know like me how long it could be to design it around a live market even in M1. The strategy tester is there for that. Quality historical data are made for that. Would you design a plane in live flight ?
Marco vd Heijden
Moderator
4686
Marco vd Heijden 2016.04.18 14:07  

Who told you that ?

Do you have a source ?

Stanislav Korotky
17884
Stanislav Korotky 2016.04.18 16:54  
Both MT4 and MT5 (latest builds) support testing on real ticks history (if your broker provides this data).
Icham Aidibe
10043
Icham Aidibe 2016.04.18 22:18  
@Stan We won't troll there about what the strategy tester is useful & made for. Marco is chatty, he pretends being able to set up an EA with the right params on the fly, in live trading. 
Marco vd Heijden
Moderator
4686
Marco vd Heijden 2016.04.18 22:37  

Experience comes with practice, not with back testing... that can last forever and is completely rigged, and unnecessary.

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