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Is tick data backtesting possible in MT5?

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Anok Imchen
41
Anok Imchen  
In MT4, the lowest possible timeframe is 1 Min. And the tick are generated randomly by Mt4 while backtesting. Well, i'm new to MT5, i've full tick data  and therefore i'd like to backtest using using my tick data (not randomly generated BID/Ask by Metatrader). Is it possible?
Liping Wang
3712
Liping Wang  

In MT5 you can select tick by tick.

Achmad Hidayat
15497
Achmad Hidayat  
AnokImchen:
In MT4, the lowest possible timeframe is 1 Min. And the tick are generated randomly by Mt4 while backtesting. Well, i'm new to MT5, i've full tick data  and therefore i'd like to backtest using using my tick data (not randomly generated BID/Ask by Metatrader). Is it possible?
For more datails you can read this help : https://www.metatrader5.com/en/terminal/help/testing
phi nuts
2181
phi nuts  
AnokImchen:
In MT4, the lowest possible timeframe is 1 Min. And the tick are generated randomly by Mt4 while backtesting. Well, i'm new to MT5, i've full tick data  and therefore i'd like to backtest using using my tick data (not randomly generated BID/Ask by Metatrader). Is it possible?
If you have tick data, actually, you can back test using tick data in MT4, but not in MT5. :(
Francisco Garcia Garcia
314
Francisco Garcia Garcia  

It would be interesting if you could do real ticks backtest in MT5. Anyone know? I think is not possible.

For MT4 you can do it using http://eareview.net/tick-data/tick-data-backtesting 

How to backtest using tick data with Metatrader 4 | Birt's EA review
  • eareview.net
If you’re trying to follow this guide, you must have gone through acquiring tick data and converting it for Metatrader 4 usage and as a result you should have the HST files in your folder and the FXT in your folder. If you’re not at this stage, please revise the guides linked above. This guide is split in several sections: Enabling tick data...
shloss
261
shloss  
phi nuts:
If you have tick data, actually, you can back test using tick data in MT4, but not in MT5. :(

has the situation changed as of 2017?

Sergey Golubev
Moderator
98249
Sergey Golubev  
shloss:

has the situation changed as of 2017?

Forum on trading, automated trading systems and testing trading strategies

Why is it better MT5 than MT4?? Does it have fewer limitations ???

Jose Francisco Casado Fernandez, 2017.01.21 14:29

Well, due to the conversation of this thread, I have considered it opportune to open a new one to expose the pros and cons of MT4 versus MT5, and why I consider MT5 to be better.

Basically,
MT5 has many more interesting features that help in trading, and MT4 has too many limitations in my opinion.

Let's cite some of them below.

     

  • MT5 is faster than MT4. It is a 64-bit, multi-threaded platform. MT4 is a 32-bit, mono-threaded platform with a 2 Gb (or 4 Gb memory limit if you use it on a 64-bit operating system, in which case a 32-bit system is emulated, which is not optimum). It is important, especially to do backtesting, since if your historical data file exceeds this limit (which happens especially if you use tick data), you have to split this file into several parts and do an individual backtest of each part. If you use tick data usually that memory limit is exceeded with a history of 2 years or so, but can also be exceeded even if you use standard M1 bar data.
  • MT5 is a Multi-Market platform, which means that you can trade in both
    • Centralized Markets (Stock Exchanges, Futures markets, etc.) where you can trade stocks, indices, commodities, futures on all of them, etc,  and 
    • Non-Centralized Markets, like Forex and other OTC markets.

In MT4 you can only trade in OTC markets (mainly Forex). If you trade other assets through MT4, these are CFDs, which are issued by OTC brokers for a kind of domestic market only for their customers, so they act as market makers in these assets (they make you the counterpart).

  • Due to this, in MT5 it is possible to get real volume traded data, and not only tick volume data. In MT4 it's not possible. The tick volume means the number of price changes that have occurred in the course of the bar. Nothing else. You do not know the real volume (contracts, or lots) that has been traded.
  • In MT5 you can download and consult ticks history from your broker. In MT4 you can't, you only can save tick data by yourself (with the help of some tool), but it has many limitations. You must have platform turned on 24 hours a day, and still you'll NEVER keep all the ticks, for many reasons.

Why is this important ??? It's a very easy thing. There are many traders who use tools like Market Profile, Delta Volume, etc., etc.

Well, in MT4 you can never know what exactly was the most traded price or cluster in the selected range. You have to make an approximation / estimation using only M1 bars. For example, if you are in M15 timefame you would have to analyze the 15 M1 bars in that section, see their maximum and minimum prices and the tick volume of each one of them and assign that volume in equal parts (or use the criterion that you want) to each of the prices or clusters between the maximum and minimum prices of that M1 bar. And so, try to calculate APPROXIMATELY, how much could be traded at each price. The real data you never know, you have to estimate it.

That is why in MT4 these types of tools are not very useful. There are many people who use them without knowing all these things, and believe that they offer you the real POC / VWAP / Profile, levels. But it's not like that. In MT4 I do not recommend using these tools.


  • In MT5 you have access to the tape (Times & Sales), so you can create Order Flow, Cumulative Delta, etc. indicators. In MT4 you have not.
  • In MT5 you can backtesting robots with the closest possible conditions to the real market natively  (real tick data, real variable spreads, lag, slippage, etc). In MT4 you can't natively. You only can if you pay for a third-party software. If so, you also have to download history data from a few sources (there are many few, almost everyone uses the same source), transform it to MT4 format and open the platform through this third-party software in order to patch MT4 behavior. You take many hours to complete this process, and you have to repeat it every time you want to incorporate new data.
    We have all seen hundreds of robots that obtained spectacular results in backtesting, but when operating in real account the results were very bad. This is mainly because they were made with conditions that had nothing to do with real market conditions.
  • In MT5 you can backtesting Multi-Symbol strategies natively. In MT4 you can't.
  • In MT5 is not possible to import your own historical data.  In MT4 it's possible.
    Really, how many tick data sources do you have available in MT4 to import ???, Dukascopy and Integral / Pepperstone ???. Just the two of them mostly, right? .
    Almost everyone uses Dukascopy data, and almost nobody has the real tick data of their broker, does it matter so much ??? Who has the real tick data of their broker ??.
    For me it is not very important because in MT5 if you have the data of your broker. Although you can not import those of Dukascopy.

    Is everyone a Dukascopy customer ??? Or does everyone want their own broker's data ?? "

    I think that almost everyone wants their broker's data and not those of Dukascopy. In MT5 you can have the tick data of your broker and you do not have to import those of Dukascopy.

    If you are a client of FxPro, ActivTrades or RoboForex, what do you want the Dukascopy tick data for ???. I'll tell you, that's because in MT4 you did not have tick data, so if you wanted tick data it was only possible if you imported Dukascopy data, but in MT5 there is no need for Dukascopy data, since you can Have the tick data of your broker.

    Therefore, in my opinion, it is not a relevant feature in MT5.

  • In MT5 you can't create offline charts. In MT4 you can. In my opinion this is the most important thing (perhaps the only) that MT5 lacks.


This is just a few limitations from all the ones MT4 has.

To be continue.


Regards.




Sergey Golubev
Moderator
98249
Sergey Golubev  

Forum on trading, automated trading systems and testing trading strategies

PriceChannel Parabolic system

Sergey Golubev, 2017.02.15 06:02


You can read this article (TESTING TRADING STRATEGIES ON REAL TICKS).

-------------------

Just an example -

MT4 and very old builds of MT5: I optimized the EAs from this thread just to find good settings for the pair, I was backtesting them, and I traded on demo for some time just to be sure that EAs are profitable.

With new builds of MT5: I will optimize the EAs from this thread to find the settings, and I will backtesting them with 'every tick based on real ticks' - and it will be same as trading by those EA on real account for many months or years!

Forum on trading, automated trading systems and testing trading strategies

MT4 & MT5 backtest

Sergey Golubev, 2017.02.17 20:53

If you are backtesting EA on MT5 using 'every tick based on real ticks' so it will be almost same with trading on MT5 platform with some particular broker (because it is based on actual historical data).

Example, read this thread: Why is it better MT5 than MT4?? Does it have fewer limitations ??? - this is the quote from the first post of the thread:

  • In MT5 you can backtesting robots with the closest possible conditions to the real market natively  (real tick data, real variable spreads, lag, slippage, etc). In MT4 you can't natively. You only can if you pay for a third-party software. If so, you also have to download history data from a few sources (there are many few, almost everyone uses the same source), transform it to MT4 format and open the platform through this third-party software in order to patch MT4 behavior. You take many hours to complete this process, and you have to repeat it every time you want to incorporate new data. 
    We have all seen hundreds of robots that obtained spectacular results in backtesting, but when operating in real account the results were very bad. This is mainly because they were made with conditions that had nothing to do with real market conditions.

For more information about it - read this summary.

--------------

As i know - some coders/traders are converting their MT4 EAs to MT5 just to backtest them and/or to find the settings with optimization to get the backtesting results that are closest to reality. 




Miroslav Svoboda
102
Miroslav Svoboda  
Sergey Golubev:



1. I can create my own tick data for MT5. (even 14 years)

2. In MT5 I can´t use mt5 cloud for Custom symbols.

3. I can´t put commission value in MT5 tests. (in MT4 I can)

Sergey Golubev
Moderator
98249
Sergey Golubev  
Miroslav Svoboda:

1. I can create my own tick data for MT5. (even 14 years)

2. In MT5 I can´t use mt5 cloud for Custom symbols.

3. I can´t put commission value in MT5 tests. (in MT4 I can)


You can write to the service desk with those proposals because as I know - MQ is improving MT5 in very extesive way so I am sure - they will be glad for proposals/suggestions.

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