Backtesting

[icortesc]

Exist a external backtesting free program?

[Sergey Golubev]

Why do you need external backtesting?

MT4 and MT5 are having very good backtesting/optimizing feature, for example:

Forum on trading, automated trading systems and testing trading strategies

All (not yet) about Strategy Tester, Optimization and Cloud

Alain Verleyen, 2013.08.20 19:47

A must ! Before using it or asking any question : please read the Online Help  (Also accessible by F1 on your MT5 platform)

Strategy Tester

For Traders

• General overview of the possibilities.
  

• Overview of results : Visualize a Strategy in the MetaTrader 5 Tester

• If you are thinking to buy a product on the Market : How to Test a Tading Robot before buying.

• If you don't see all strategy tester fields, they are probably hidden.

• How to use settings resulting from EA Optimization in your EA (without manually changing it). 

---

For Programmers

• Detailed description of it works : Testing trading strategies (documentation).

• As noted by erdah, SendNotification, SendMail, SendFTP don't work in Strategy Tester (of course).
• IndicatorParameters() doesn't work in StrategyTester.
  
• OnChartEvent() in Strategy Tester.
• New CopyTicks() function doesn't work on Strategy Tester.
  

• General description of how to use it : The Fundamentals of Testing in MetaTrader 5

• How ticks are generated : The Algorithm of Ticks’ Generation

• Discussion about Strategy Tester mode (1 minute OHLC vs every tick)

• How to test a strategy for all timeframe and compare results ?

• Using the TesterWithdrawal() Function for Modeling the Withdrawals of Profit

• How to use file with Strategy tester.

Optimization

• Description of the algorithm used for fast optimization : Genetic Algorithm - It's easy.

• Creating Custom Criteria of Optimization of Expert Advisors

• Running optimization from command line : https://www.mql5.com/en/forum/13468

• Don't expect too much from optimization and try to prevent curve over fit.
  

Cloud

Announce of the launch : MQL5 Cloud Network launched.

As Users

• How it works, an overview : Speed Up Calculations with the MQL5 Cloud Network

• Optimization by example : MQL5 Cloud Network : Are you Still Calculating ?

Some useful topic about usage of the Cloud :

• Error message : endless loop detected in OnInit function

As Providers (agents)

• Frequently Asked Question about the Cloud Newtwork (FAQ).

• When you start to provide agents on the Cloud, you have to be patient and use the search engine.

• An example of what you can expect as agents provider or 1 year of Cloud's agents providing
  

Work in progress, stay tuned !

[Sergey Golubev]

Forum on trading, automated trading systems and testing trading strategies

Strategy tester for manual backtesting

Forex Trader, 2007.02.17 22:42

Please read
"MQL4: Testing Visualization: Manual Trading"
"MQL4: Testing Visualization: Functionality Enhancement"
"MQL4: Testing Visualization: Trade History"

[Sergey Golubev]

icortesc:
Exist a external backtesting free program?

I am having some experience with backtesting and optimizing ... I am doing it for many years for MT4 and for few years for MT5 and I want to say that optimizing/backtesting features are very good ones for MT4, and the best ones for MT5. Some coders are modifying their EAs to MT5 just to find good setting with cloud (optimization). No need any external software for that. Check those summaries - you will find some EAs created/uploaded for this forum, optimization for the best settings, backtesting and trading on demo - and you will understand all the process related to it step by step for example:

Forum on trading, automated trading systems and testing trading strategies

How to Start with Metatrader 5

Sergey Golubev, 2013.09.20 08:21

Summaries :

====

1. How to Start with MT5, a summary !
   
   
2. All (not yet) about Strategy Tester, Optimization and Cloud
   
   
3. ASCTREND SYSTEM summary (incl 2 good EAs)
   
   
4. BRAINTRADING SYSTEM HowTo
   
   
5. PriceChannel Parabolic system (incl 2 versions of the EA)
   
   
6. Market Condition Evaluation (2 EAs were created)
   
   
7. Ichimoku
   
   
8. Financial and trading videos - Table of Contents
   
   
9. All about Calendar tab and Macro Economic Events
   
   
10. All about MQL5 Wizard : create robots without programming

[icortesc]

Sergey Golubev:
Why do you need external backtesting?

MT4 and MT5 are having very good backtesting/optimizing feature, for example:

thanks

[icortesc]

Sergey Golubev:
Why do you need external backtesting?

MT4 and MT5 are having very good backtesting/optimizing feature, for example:

optimization in my case is very slow in mt4, I think looking for a program that optimizes my expert advisor better and more fast

[icortesc]

icortesc:

optimization in my case is very slow in mt4, I think looking for a program that optimizes my expert advisor better and more fast

i am a agronomist, not a programer

[Sergey Golubev]

Forum on trading, automated trading systems and testing trading strategies

Backtesting

icortesc, 2016.04.26 20:52

i am a agronomist, not a programer

I am not a programmer too (I am microbiologist). But you can look at optimization of complex EA which I did here:

The setting as for EAs: optimization and backtesting 

• optimization results for this EA for EURUSD H4
  
• backtesting results for EURUSD H4 with the settings #1
  
• backtesting results for EURUSD H4 with the settings #2
  
• optimization results for EURUSD M15 
  
• backtesting results for EURUSD M15 with the settings #1
  
• optimization results for GBPUSD M15
  
• backtesting results for GBPUSD M15 with the settings #1

3 or 4 hours to optimize and select good setting (many variations of good setting). This is Metatrader 5 Strategy tester with cloud:

made optimization of this EA using Cloud. First of all I made fast generic optimization (using Cloud). It xosts me less than 0.1 credit but I stopped on 191 pass. Because it already took  3 hours 16 minutes for 191 passes with totall passes 19200. It is from my log file:

2013.01.15 18:03:02 Statistics optimization passed in 3 hours 16 minutes 13 seconds
2013.01.15 18:03:02 Tester genetic optimization finished on pass 191 (of 19200)
Credits 0.01

After that - I backtested with selected setting (EA to download with the settings - check the links on the post):

[Sergey Golubev]

It was PriceChannel Parabolic system with 2 EAs uploaded to the thread (optimized for good settings for several timeframes and for two pairs).

---------

AscTrend system

1. First version of AsctrendND EA.

• How to install. 

• optimization results for M15 timeframe for EURUSD, GBPUSD, USDCHF and USDJPY;
   
• backtesting results and settings for EURUSD M15 timeframe;
   
• optimization results for this EA for EURUSD H4 using Balance + max Sharpe ration; 
  
  
• backtesting results with the settings 'Balance + Sharpe ratio', EURUSD H4;
   
• optimization results of this EA with EURUSD M15 timeframe;
  
  
• backtesting and the settings for EURUSD M15 with max Sharpe ratio;
   
• this is the other settings which may be some preliminary settings for martingale version;
   
• the other optimization results for GBPUSD M15

2. Next version of AsctrendND EA (verion 1.02) with TrendStrength filter added. 

• optimization results for EURUSD M15 (for 1 year), every tick, slow complete ..., for Balance max; 
  
  
• results for backtesting and the settings for EURUSD M15 timeframe, for one year with 2 indicators as the filters: NRTR Color Line and TrendStrength; 
  
  
• optimization results for GBPUSD M15 for 1 year - the results and set file are attached; 
  
  
• backtesting results and the settings for GBPUSD M15; 
  
  
• optimization results for one year for EURUSD H1 timeframe with Balance + max Sharpe ratio; 
  
  
• backtesting results with the settings for this EURUSD H1 with Balance + max Sharpe;
  

[Sergey Golubev]

What I wanted to say that optimization to select good settings (and backtesting) is very easy to do (and it is quck process especially with cloud). No need to be any programmer to do it.