Backtesting/Optimization - page 5
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MT trades using tick data. Just that the EAs can't be written using tick data but with M1 data as the finest granularity. There is a tick chart tab in the market watch window that you can open and open an M1 chart (zoomed in) and you can see how the closing values vary while the M1 bar is being formed.
Thats right.
But for backtesting finest granularity is 1min as well.
I can imagine, that tick data would not change results for 1min backtesting.
MT trades using tick data. Just that the EAs can't be written using tick data but with M1 data as the finest granularity. There is a tick chart tab in the market watch window that you can open and open an M1 chart (zoomed in) and you can see how the closing values vary while the M1 bar is being formed.
Thats right.
But for backtesting finest granularity is 1min as well.
I can imagine, that tick data would not change results for 1min backtesting.
OK........Download / Upload completed.
Just go to :
BEST to use a FTP program for downloading...
Bye
DV
FX Data available : 2000 to 2006 in Ticks...
The data is from the following site :
http://ratedata.gaincapital.com/
This link has already been given on EliteTrader Forum ( Forex zone ).
This data seems to be TICK data, and contains probably the Bid / Ask values...
EXAMPLE :
22288758,AUD/JPY,2003-04-13 17:16:19.000,72.850000,72.940000,D
22288790,AUD/JPY,2003-04-13 17:27:39.000,72.860000,72.940000,D
22288792,AUD/JPY,2003-04-13 17:30:04.000,72.850000,72.930000,D
22288808,AUD/JPY,2003-04-13 17:31:02.000,72.860000,72.940000,D
22288817,AUD/JPY,2003-04-13 17:32:14.000,72.870000,72.950000,D
22288822,AUD/JPY,2003-04-13 17:32:15.000,72.860000,72.940000,D
ANyway, if it is to be used in TF of 1 min and higher, it won't be so easy to convert it....unless you are already a good programmer ( my 2 cents
)
About 8 / 10 pairs.....varying at time....
About 1.5 GB....
Bye
DV
Backtesting/Optimization
Hi,
How is it possible to increase the modeling quality of the backtests?
What needs to be changed? Tweak my expert? Or is it the optimisation? or inputs for my expert?
Any insight would be apprecitated...
How to get the Best Possible Backtests
Step by Step, How to get better Backtesting Results
1. Go download the MT4 Data for the currency pair you want to backtest found HERE. Make sure you download the M1 data. It should give you data for every minute all the way back into 2004 (about 1.5 years of backdata).
2. After you unzip the data on your Hard Drive, you need to import the data into Metatrader 4.
3. Open Metatrader 4 (Launch the program)
4. You need to go to your History Center in Metatrader 4. Hit F2 on your keyboard. Or Click on the top of Metatrader: Tools and choose History Center
5. Open Forex, Open Currency Pair to import and Open M1
6. Click Import and Browse to the location where you unzipped the Data for the currency pair.
7. Make sure File Type is on Metaquotes files. Click Open and OK. Then Close.
8. Now, in the Navigator window on the left side of your Metatrader 4 program, open up Scripts. It should be right below Custom Indicators.
9. Open the chart offline by going to File- Openoffline - SELECT and open the Pair on M1 Timeframe.
10. You should have the M1 Chart (offline) open of the currency pair. You need to Double click on Period Converter script.
10. Click Input tab and you should see the Value as 3. You need to change the value to 5 (M5), 15 (M15), 30 (M30), 60 (H1), 240 (H4), 1440 (D1).
11. Now, click Tools- Options- Charts tab and change the Max Bars in History and Max Bars in Chart to 999999999999 and click OK.
Basically, you are converting the M1 data that you imported into the different timeframes that you want to test. You can do one at a time to do all of them.
I usually start and choose 5 then click OK. Then I double click again on the Period Converter and change the value to 15 then click OK, then I click again and change the value to 30 then click OK, until I have completed the timeframes.
NOTE: It will give you a warning, "Do you really want to stop 'period_converter' and execute 'period_converter' on the chart M1?
Just click YES and then double click on the period_converter again to continue converting the M1 data to all timeframes.
I have done this with all currency pairs that I can download on all timeframes. It is good to have this as it gives you an idea if something is going to work or not.
I hope this helps.
Thanks for the info.
I did what you told me - My modelling quality is 57.24%
I've been forward testing my expert for the past two weeks, and i have 14% return, using autotrades without confirmations.
I would prefer to get higher modeling quality to reassure me, but im very confident my system is very good.
Im wanting to trade it on a real account very soon.
How can i push my modeling quality higher. Any other tips?
What is the actual definition of 'Modelling Quality'? When i get a result of 57%, does this mean that there is a 57% chance i will get the same results in a forward test?
Where can i get 1M data for EURUSD since 1979? Or even from 10 years ago? Im sure that will improve the quality.
I think for 90% what you need is 1 minute data for the entire time you're testing. So if you're testing from 1.1.2005 until today you need 1 min data for that period plus all the other timeframes (which you get with the converter script).
And then you need to test with the "every tick" methode. Like this i usually get 90 or 89 %.
I think data that goes back so far is only available for money, not for free.
Codersguru described one by one with screenshots how to get the highest modeling quality, mabye there u will find the answer why ur not getting the best quality. The link to the codersguru page is http://metatrader.info
Comparing Forward/Back Tests
Hi Kalenzo,
Thanks for the info, but I cant seem to find it. (Do you have the direct link to it?)
On another note...
Has anybody tried the following before? :
Forward test a system from date X to date Y.
Backtest the same system using modelling quality of 50%, 60%, ...90% for the same dates X to Y.
Then, compare the results of the forward test with all the different modelling qualities to see what the difference is between a forward test and a 90% modelling quality, ... until 50% quality.