Every tick VS Every tick based on real ticks AND latency on StrategyTester (backtesting)
Testing trading strategies on real ticks
The article provides the results of testing a simple trading strategy in three modes: "1 minute OHLC" using only Open, High, Low and Close prices of minute bars; detailed modeling in "Every tick" mode, as well as the most accurate "Every tick based on real ticks" mode applying actual historical data.
Forum on trading, automated trading systems and testing trading strategies
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.
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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.
" it will be almost same with trading on MT5 platform with some particular broker"
It means the test may be not applicable to another given the broker's specific tick?
Ok, so, I depend on the broker's accuracy when sending the data ok?
Do you have some recommendations?
I tested with some brokers, but it appears to be so poor; these brokers appears to be Market Maker.
When I checked ActivTrades was STP, so I found it more realiable.
But I saw a ECN Broker I'll test with it.
" it will be almost same with trading on MT5 platform with some particular broker"
It means the test may be not applicable to another given the broker's specific tick?
Ok, so, I depend on the broker's accuracy when sending the data ok?
Do you have some recommendations?
I tested with Oanda or GainCapital, but it appears to be so poor; these brokers appears to be Market Maker.
When I checked ActivTrades was STP, so I found it more realiable.
But I saw FxPro is ECN I'll test with it.
I do not know ... I just collected some information related to your question (incl the article).
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Of course, if you are planning to trade EA with some broker so you will use broker's data/tick. If we do not like their data so we may change the broker with more good data.
And the data/ticks are not unified for the different brokers ... For example, there are some indicators (iTrend for Brainwashing system for example) which are showing the different results with the different brokers.
There are some EAs (for example: for day trading on D1/W1, martingale) which will have very similar results/performance with the dufferent brokers during the trading. But there are many EAs which are having the performance based on the brokers' data (intra-day trading EAs, scalping, counter trend EAs, and some more).
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If some person will tell me the following: "I have profitable EA."
I will ask him: "Which broker for" (is it profitable for which broker?)
If he will reply: "Any broker" so he is using martingale strategy, or he is trading on W1 timeframe with the trades opened once per half a year for example.
In this way we can understand the recommendation of the MetaQuotes for subscribers concerning the signals to use same broker with the signal provider.
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As to recommendation about the broker for the best data/quotes/ticks so I remember some brokers with good data/quotes for MT4 but I have no idea about MT5 for example (discussion about the brokers is very limited/almost prohibited on the forum sorry).
Chasing 'real ticks' is a total waste of time. If your EA is properly constructed to operate on 'open prices only' you lose nothing but a lot of waiting for slow calculations.
When I switched my EAs over to open prices from ticks the optimization speed increased by a factor of ten or so! And the difference in net profit was pennies. About 1%.
Chasing 'real ticks' from a source other than your broker is asking for real trouble. Companies that sell 'real tick data' are selling nonsense. Read your broker's contract. They modify the data for their purposes. If you're not following their data you're trading blind. All that bs about better tick data is nonsense. Your broker's data, the data your trades follow, is different. So data from somewhere else is worthless.
There is no better data than your broker's data. Forex isn't the stock market.
Chasing 'real ticks' is a total waste of time. If your EA is properly constructed to operate on 'open prices only' you lose nothing but a lot of waiting for slow calculations.
When I switched my EAs over to open prices from ticks the optimization speed increased by a factor of ten or so! And the difference in net profit was pennies. About 1%.
Chasing 'real ticks' from a source other than your broker is asking for real trouble. Companies that sell 'real tick data' are selling nonsense. Read your broker's contract. They modify the data for their purposes. If you're not following their data you're trading blind. All that bs about better tick data is nonsense. Your broker's data, the data your trades follow, is different. So data from somewhere else is worthless.
There is no better data than your broker's data. Forex isn't the stock market.
i think every brokers has some robots to scalp some prices ...
so , it is logical that we see this diffidence between shapes of candles .
Meta trader has locked every ways to copy prices in other brokers at one directory .
it was my biggest problem to write robot but i solve it now .
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The "Every tick based on real ticks" is really better than "Every tick" ?
How accurate is the data on both?
Do this depends on the broker?
How much can I trust the latency option of the strategy tester?
I simulate the data with the "Every tick based on real ticks" on ActivTrades and I get very poor results compared with "Every tick".
Where can I find the way both the "Every tick based on real ticks" and "Every tick based on real ticks" are made?