Discussion of article "Testing trading strategies on real ticks"

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New article Testing trading strategies on real ticks has been published:

The article provides the results of testing a simple trading strategy in three modes: "1 minute OHLC", "Every tick" and "Every tick based on real ticks" using actual historical data.

Test reports of various modeling modes are displayed below as animated GIF images allowing you to compare the parameters.

Author: MetaQuotes Software Corp.

 
MetaQuotes Software Corp.:

Published article Testing trading strategies on real ticks:

Author: MetaQuotes Software Corp.

Without disputing the necessity of testing on real data, I would like to note that

This simple strategy does not look attractive - the period of growth is followed by the period of decline, and the charts of each testing look like a chain of randomness. Trading on such a system is impossible, the result will be like flipping a coin.

as it shows that the strategy is not bad. That is, there are sufficiently long periods (market conditions) when the strategy wins and can be used in practice, i.e. the applied expert can be brought to a profitable state. Further, the analyst's task is to identify these external conditions and signs of the beginning/end of such periods.
 
Hello, that's very good! From when does this real historical tick data exist? A few months?
 

It would especially be helpful seeing that MQ may have an indirect partnership with Interactive Brokers, which do not store tick data for many of their symbols.  But instead provide 400ms backfill for several years.    So can mt5 handle sub-minute data for backtesting purposes?

 

On the last image with the screen of the tester, straight line segments are drawn at the highs and lows of candlesticks. The highs are red and the lows are grey. Can we find out what it is? It doesn't look like indicators, if they are ordinary graphical objects, what is their meaning in this case?

 

Tried to test on real ticks.

I did not understand which price is real - Bid or Ask ?

There is no doubt that one of them is real.

But where is the other one?

 
Hello... I was wondering if it's possible to have a REAL TICK in the historical series of the index and the dollar? I've been told that it's only for the current series, but it disappears after expiry, leaving the back tests with real ticks only for the current series and so on... Does anyone know how to download and maintain or not let MT5 disappear with this asset in order to be able to run the back tests in a historical way on the dollar and index even if it's pausing between contract intervals? Thanks.
 

1minuteohlc

It looks like Ohlc is not really an Ohlc price but the price of 4 time points, namely the price of 0 seconds, 20 seconds, 40 seconds and 59 seconds.


Perhaps it is better to call the price 4 points in 1 minute not 1 minute ohlc. because there are many misunderstandings including those who wrote this article ==> "1 minute OHLC" using only Open, High, Low and Close prices of minute bars;

 
Guys don't fall for complete nonsense!
10$ threw in, started up, eventually after 5 minutes went to -49$ The system absolutely does not take into account what balance, they claim to reserve money and so on, as it is not known how long the process will take, okay it is interrupted at once automatically, but they do not return the money after the reservation, they do not even balance is not calculated discrepancies in cents.
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