New MT4 Test; Strategy Tester Report (MT4) - MQL4 and MetaTrader 4

Ian Venner 2014.02.10 23:48 #31

Created this simple EA to test on 509 and 604, both on MQ demo account 444 same server, backtest over the same dates.

EA makes alternate buy sell buy sell trades
fixed SL/TP. Lot sizing based on account balance. Source codes below.
509 compiled on 509 and tested on 509
600 compiled on 604 and tested on 604

Strategy Tester Report

Test EA 509

MetaQuotes-New MT4 Test (Build 509)

Symbol		EURUSD (Euro vs US Dollar)
Period		1 Hour (H1) 2013.10.14 06:00 - 2013.12.30 23:00 (2013.01.01 - 2013.12.31)
Model		Every tick (the most precise method based on all available least timeframes)
Bars in test	1384	Ticks modelled	1448514	Modelling quality	46.42%
Mismatched charts errors	0

Initial deposit	10000.00
Total net profit	-1199.25	Gross profit	20200.90	Gross loss	-21400.15
Profit factor	0.94	Expected payoff	-8.75
Absolute drawdown	2515.20	Maximal drawdown	3725.52 (33.23%)	Relative drawdown	33.23% (3725.52)

Total trades	137	Short positions (won %)	68 (41.18%)	Long positions (won %)	69 (44.93%)
		Profit trades (% of total)	59 (43.07%)	Loss trades (% of total)	78 (56.93%)
Largest		profit trade	394.33	loss trade	-337.74
Average		profit trade	342.39	loss trade	-274.36
Maximum		consecutive wins (profit in money)	4 (1494.97)	consecutive losses (loss in money)	12 (-3337.77)
Maximal		consecutive profit (count of wins)	1494.97 (4)	consecutive loss (count of losses)	-3337.77 (12)
Average		consecutive wins	2	consecutive losses	2
Average		consecutive wins	2	consecutive losses	2

Trading Report - For Testing Report - Algorithmic Journal of Testing -

Ian Venner 2014.02.10 23:48 #32

Strategy Tester Report

Test EA 600+

MetaQuotes-New MT4 Test (Build 604)

Symbol		EURUSD (Euro vs US Dollar)
Period		1 Hour (H1) 2013.10.14 06:00 - 2013.12.30 23:00 (2013.01.01 - 2013.12.31)
Model		Every tick (the most precise method based on all available least timeframes)
Bars in test	1384	Ticks modelled	1459801	Modelling quality	46.42%
Mismatched charts errors	0

Initial deposit	10000.00			Spread	Current (6)
Total net profit	-1985.08	Gross profit	19147.44	Gross loss	-21132.52
Profit factor	0.91	Expected payoff	-14.81
Absolute drawdown	2677.75	Maximal drawdown	4021.28 (35.45%)	Relative drawdown	35.45% (4021.28)

Total trades	134	Short positions (won %)	67 (40.30%)	Long positions (won %)	67 (44.78%)
		Profit trades (% of total)	57 (42.54%)	Loss trades (% of total)	77 (57.46%)
Largest		profit trade	394.33	loss trade	-337.74
Average		profit trade	335.92	loss trade	-274.45
Maximum		consecutive wins (profit in money)	4 (1494.97)	consecutive losses (loss in money)	12 (-3336.50)
Maximal		consecutive profit (count of wins)	1494.97 (4)	consecutive loss (count of losses)	-3336.50 (12)
Average		consecutive wins	2	consecutive losses	2

Trading Report - For Testing Report - Algorithmic Journal of Testing -

Ian Venner 2014.02.10 23:52 #33

//========================================================================
//|                                                      Test EA 509.mq4 |
//|                                                  Copyright 2014, SDC |
//|                                        https://www.mql5.com/en/users/sdc |
//========================================================================
#property copyright "Copyright 2014, SDC"
#property link      "https://www.mql5.com/en/users/sdc"

//========================================================================
  int start()
//========================================================================
 {
//----
  static int ticket;
//----
  if(OrderSelect(ticket,SELECT_BY_TICKET))
  {if(OrderCloseTime()<=0) //-------------------- last order is still open
   {return(0);
   }else //------------------------------------------ last order is closed
   {if(OrderType()==0) ticket = maketrade(1);
    if(OrderType()==1) ticket = maketrade(0);
  }}else //-------------------------------------- cant find previous order
  {ticket = maketrade(0);
  }
//----
  return(0);
 }
//========================================================================
  int maketrade(int op)
//========================================================================
 {
  int errcnt=0;
  int mn = 777;
  int ticket=0;
  double lot=lots();
  double price=0;
  double sl=30;
  double tp=40;
//----
  if(lot<=0)return(0);
  if(Digits == 5 || Digits ==3)
  {sl*=10;
   tp*=10;
  }
  if(op == 0)
  {price = Ask;
   tp = Bid + tp*Point;
   sl = Bid - sl*Point;
  }
  if(op == 1)
  {price = Bid;
   tp = Ask - tp*Point;
   sl = Ask + sl*Point; 
  }
  while(ticket < 1)
  {ticket=OrderSend(Symbol(),op,lot,price,0,sl,tp,"",mn,0,Gold);
   if(ticket>0)return(ticket);
   else errcnt++;
   if(errcnt>2)return(0); //-------------------------------- 3 tries abort
   if(errors(GetLastError())==1) continue; //------------------- try again
   else return(-1);
  }
//----
  return(0);
 }
//========================================================================
  double lots()                                  //---- generic lot sizing
//========================================================================
 {
  string pair    = Symbol();
  double free    = AccountFreeMargin();
  double maxlot  = MarketInfo(pair,MODE_MAXLOT);
  double minlot  = MarketInfo(pair,MODE_MINLOT);
  double onelot  = MarketInfo(pair,MODE_MARGINREQUIRED);
  double lot     = AccountBalance()/10000;
  double newlot  = 0;
  double step    = MarketInfo(pair,MODE_LOTSTEP);
//----
  if(lot*onelot < free) newlot=MathFloor(lot/step)*step;
  else newlot=MathFloor(free/onelot/step)*step;
  if(newlot > maxlot) newlot = maxlot;
  if(newlot < minlot) newlot = minlot;
  if(newlot*onelot < free) return(newlot);
//----   
  return(0);
 }
//========================================================================
  int errors(int error)                     //---- generic errror handling 
//========================================================================
 {
  Print("Test EA 509 Error: ",error);
  if(error==0) return(0);
  switch(error)
  {
//recoverable error
   case  129:  RefreshRates();               return(1); //---- wrong price    
   case  135:  RefreshRates();               return(1); //-- price changed
   case  136:  while(RefreshRates()==false)
               Sleep(1);                     return(1); //------ no quotes
   case  138:  RefreshRates();               return(1); //-------- requote     
   case  146:  Sleep(500);
               RefreshRates();               return(1); //---- system busy
//logical error
   case  130:                                return(2); //-- invalid stops
   case 4108:                                return(2); //- invalid ticket
//critical error
   case   2:                                 return(3); //--- common error
   case   5:                                 return(3); //---- version old
   case  64:                                 return(3); //---- acc blocked
   case 133:                                 return(3); //----- prohibited
   default :                                 return(3); //---- other error
  }
//----
  return(0);
 }
//========================================================================

Ian Venner 2014.02.10 23:56 #34

//========================================================================
//|                                                     Test EA 600+.mq4 |
//|                                                  Copyright 2014, SDC |
//|                                        https://www.mql5.com/en/users/sdc |
//========================================================================
#property copyright "Copyright 2014, SDC"
#property link      "https://www.mql5.com/en/users/sdc"
#property version   "1.00"
#property strict
//========================================================================
  void OnTick()
//========================================================================
 {
//----
  static int ticket;
//----
  if(OrderSelect(ticket,SELECT_BY_TICKET))
  {if(OrderCloseTime()<=0) //-------------------- last order is still open
   {return;
   }else //------------------------------------------ last order is closed
   {if(OrderType()==0) ticket = maketrade(1);
    if(OrderType()==1) ticket = maketrade(0);
  }}else //-------------------------------------- cant find previous order
  {ticket = maketrade(0);
  }
//----
  return;
 }
//========================================================================
  int maketrade(int op)
//========================================================================
 {
  int errcnt=0;
  int mn = 777;
  int ticket=0;
  double lot=lots();
  double price=0;
  double sl=30;
  double tp=40;
//----
  if(lot<=0)return(0);
  if(Digits == 5 || Digits ==3)
  {sl*=10;
   tp*=10;
  }
  if(op == 0)
  {price = Ask;
   tp = Bid + tp*Point;
   sl = Bid - sl*Point;
  }
  if(op == 1)
  {price = Bid;
   tp = Ask - tp*Point;
   sl = Ask + sl*Point; 
  }
  while(ticket < 1)
  {ticket=OrderSend(Symbol(),op,lot,price,0,sl,tp,"",mn,0,Gold);
   if(ticket>0)return(ticket);
   else errcnt++;
   if(errcnt>2)return(0); //-------------------------------- 3 tries abort
   if(errors(GetLastError())==1) continue; //------------------- try again
   else return(-1);
  }
//----
  return(0);
 }
//========================================================================
  double lots()                                  //---- generic lot sizing
//========================================================================
 {
  string pair    = Symbol();
  double free    = AccountFreeMargin();
  double maxlot  = MarketInfo(pair,MODE_MAXLOT);
  double minlot  = MarketInfo(pair,MODE_MINLOT);
  double onelot  = MarketInfo(pair,MODE_MARGINREQUIRED);
  double lot     = AccountBalance()/10000;
  double newlot  = 0;
  double step    = MarketInfo(pair,MODE_LOTSTEP);
//----
  if(lot*onelot < free) newlot=MathFloor(lot/step)*step;
  else newlot=MathFloor(free/onelot/step)*step;
  if(newlot > maxlot) newlot = maxlot;
  if(newlot < minlot) newlot = minlot;
  if(newlot*onelot < free) return(newlot);
//----   
  return(0);
 }
//========================================================================
  int errors(int error)                     //---- generic errror handling 
//========================================================================
 {
  Print("Test EA 600+ Error: ",error);
  if(error==0) return(0);
  switch(error)
  {
//recoverable error
   case  129:  RefreshRates();               return(1); //---- wrong price    
   case  135:  RefreshRates();               return(1); //-- price changed
   case  136:  while(RefreshRates()==false)
               Sleep(1);                     return(1); //------ no quotes
   case  138:  RefreshRates();               return(1); //-------- requote     
   case  146:  Sleep(500);
               RefreshRates();               return(1); //---- system busy
//logical error
   case  130:                                return(2); //-- invalid stops
   case 4108:                                return(2); //- invalid ticket
//critical error
   case   2:                                 return(3); //--- common error
   case   5:                                 return(3); //---- version old
   case  64:                                 return(3); //---- acc blocked
   case 133:                                 return(3); //----- prohibited
   default :                                 return(3); //---- other error
  }
//----
  return(0);
 }
//========================================================================

Ian Venner 2014.02.11 00:06 #35

509 Graph:

604 Graph:

Ian Venner 2014.02.11 05:35 #36

They appear to run identical tests except for the last quarter I think that is because I was running a beta test version on the same server (albiet a differnt demo account) Probably live feed data which may have gaps in it is interfering with the test. I am going to delete the chart history and let both terminals download the same chart history then redo the test.

Edit: I might have known that would be a trial in itself. Nice that MQ has 1 minute chart data going back to 1974 but I didnt want all of it !! Its like you can have none at all or so much that you need half of silcon valley in your PC !! my terminal is now running 700mb RAM *rollseyes*

Managing Pending Orders - Managing Pending Orders - Viewing project history -

[Deleted] 2014.02.11 10:17 #37

SDC:

They appear to run identical tests except for the last quarter I think that is because I was running a beta test version on the same server (albiet a differnt demo account) Probably live feed data which may have gaps in it is interfering with the test. I am going to delete the chart history and let both terminals download the same chart history then redo the test.

Edit: I might have known that would be a trial in itself. Nice that MQ has 1 minute chart data going back to 1974 but I didnt want all of it !! Its like you can have none at all or so much that you need half of silcon valley in your PC !! my terminal is now running 700mb RAM *rollseyes*

hello, can you try M15 and M1 tests for this. did you converted code from old mq4 to new one? can you please try with an old complex mq4 EA, with conversion to new mq4.

including other data types, like datetime etc. including internal and custom indicators.. i could not see any indicators used in this code..

604's possible problem is, some number precisions lost, for indicators and other numbers.

i need to develop a number test method to compare exact values of variables, for two environments...

Stochastic Oscillator - Oscillators MetaEditor environment folders Code profiling - Developing

ydrol 2014.02.11 10:28 #38

Probably not the root cause of your issue, but in 60x do you need to include a ResetLastError() somewhere? (1st command inside while loop?)

Ian Venner 2014.02.11 13:16 #39

cbalta:

hello, can you try M15 and M1 tests for this. did you converted code from old mq4 to new one? can you please try with an old complex mq4 EA, with conversion to new mq4.

including other data types, like datetime etc. including internal and custom indicators.. i could not see any indicators used in this code..

604's possible problem is, some number precisions lost, for indicators and other numbers.

i need to develop a number test method to compare exact values of variables, for two environments...

I used the same source code I posted, I compiled the 509 test code on the 509 Metaeditor, I compiled the 600 source code on the 604 metaeditor, the only differences between the two are the new one uses void OnTick() the old one uses start()

I did not use any indicators because I wanted this to be a basic test with as few unknowns as possible we can modify the EA's to use indicators and other trade criteria if you want to widen the test parameters.

Projects and MQL5 Storage MetaEditor - Professional editor Working with C++ DLL

Ian Venner 2014.02.11 13:19 #40

ydrol:

Probably not the root cause of your issue, but in 60x do you need to include a ResetLastError() somewhere? (1st command inside while loop?)

I'm not sure do I need to ? I'll look it up, the EA's ran the tests without errors so I didnt get to see how the GetLastError() performed in the new terminal. My heavy RAM usage (maxed out at over 1 GB) was due to decades of 1 minute chart data that was downloaded from metaquotes demo server when I hit the download button in history center, I had to delete some of it.

Working with the Virtual How to Purchase an View and Configure Charts

Tester in new build 604 doesn't work correct - page 4