To have the ability to import your own data in MT5 is it important for you ? - page 9

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Here the results of my little test on EURUSD, to collect all ticks and verify why a tick is received by OnTick(). Data collected on D1 during 24 hours. I monitor MqlTick data.


 DataBroker 1
Broker 2
 Count ticks
46 106
34 379
 Changes in Ask price
 40 097
 27 220
 Changes in Bid price
 39 732
 26 462
 Changes in Time
 33 141
 29 041
 #1 -  Number of change = 1  2 780
 1 704
 #2 19 770
 16 982
 #3 23 550
 15 685
 #0 no change perceived in bid,ask, time
 6 8
 Changes in Ask and/or Bid
 46 081
 34 367
 Tick Volume for the day
 46 645
 34 513
 Generated ticks on Strategy Tester
 46 489
 34 298


  • As you can see, only 25 ticks (0.05%) aren't perceived as a change in bid/ask, probably due to missing tick, I haven't be able to detect the change.
  • Most of the time there are changes in Ask and Bid, about 86.50%.
  • The EA do nothing but count tick and compare some values, still there are missed ticks (if we trust Tick Volume) : 539 ticks (1.16%).

Conclusions :

  1. in MT5 a Tick as a change in Bid and/or Ask price, nothing else.
  2. In forward test/live, there are always missing ticks that never come to your EA.

Edit : Broker 2 added, data of 10/4/2013. Results are similar.

 
angevoyageur:

Here the results of my little test on EURUSD, to collect all ticks and verify why a tick is received by OnTick(). Data collected on D1 during 24 hours. I monitor MqlTick data.


 DataBroker 1
Broker 2
 Count ticks
46 106
34 379
 Changes in Ask price
 40 097
 27 220
 Changes in Bid price
 39 732
 26 462
 Changes in Time
 33 141
 29 041
 #1 -  Number of change = 1  2 780
 1 704
 #2 19 770
 16 982
 #3 23 550
 15 685
 #0 no change perceived in bid,ask, time
 6 8
 Changes in Ask and/or Bid
 46 081
 34 367
 Tick Volume for the day
 46 645
 34 513
 Generated ticks on Strategy Tester
 46 489
 34 298


  • As you can see, only 25 ticks (0.05%) aren't perceived as a change in bid/ask, probably due to missing tick, I haven't be able to detect the change.
  • Most of the time there are changes in Ask and Bid, about 86.50%.
  • The EA do nothing but count tick and compare some values, still there are missed ticks (if we trust Tick Volume) : 539 ticks (1.16%).

Conclusions :

  1. in MT5 a Tick as a change in Bid and/or Ask price, nothing else.
  2. In forward test/live, there are always missing ticks that never come to your EA.

Edit : Broker 2 added, data of 10/4/2013. Results are similar.

This topic was started last year and seems that no action was taken.

I'm puzzled that a simple thing like changing the spread is not possible in MT5. As a developer I think that this is a very important feature.

The strategies that I develop should work on different brokers with different spreads, so how can I test the EA's with higher spreads ?

 
newtradingfx:

This topic was started last year and seems that no action was taken.

I'm puzzled that a simple thing like changing the spread is not possible in MT5. As a developer I think that this is a very important feature.

The strategies that I develop should work on different brokers with different spreads, so how can I test the EA's with higher spreads ?

Open a demo account on each broker.
 

I am in the process of choosing my long term platform and while I do not like MT4 because its an obsolete platform. I think that the inability of MT5 to use different data is critical.

The main reason because you can not import longer data series. Back-testing Mt5 for 5 years is impossible in several pair simply because there are not enough data. Due to this fact I am now evaluating other platform in order to get rid of this limitation

I really think that this is one of the big issue in MT5


Ciao

 
We need manipulate the spread.
 
It is essential to back test with 99% modelling accuracy next to forward testing in a demo environment. Strategy tester is a lot faster in testing so that's a win-win factor. Tick data suite for MQL 5 ain't available unfortunately...
 
Rudolf De Heer:
It is essential to back test with 99% modelling accuracy next to forward testing in a demo environment. Strategy tester is a lot faster in testing so that's a win-win factor. Tick data suite for MQL 5 ain't available unfortunately...
MT5 can test on real ticks since build 1325.
 
Alain Verleyen:
MT5 can test on real ticks since build 1325.

how?

 
shloss:

how?


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.

  • ...
  • 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.
  • ...
 

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. 




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