What is the best way to make PakTest?
All (not yet) about Strategy Tester, Optimization and Cloud
Forum on trading, automated trading systems and testing trading strategies
All (not yet) about Strategy Tester, Optimization and Cloud
Alain Verleyen, 2013.08.20 19:47
A must ! Before using it or asking any question : please read the Online Help (Also accessible by F1 on your MT5 platform)
For Traders
- General overview of the possibilities.
- Overview of results : Visualize a Strategy in the MetaTrader 5 Tester
- If you are thinking to buy a product on the Market : How to Test a Tading Robot before buying.
- If you don't see all strategy tester fields, they are probably hidden.
- How to use settings resulting from EA Optimization in your EA (without manually changing it).
- New Testing trading strategies on real ticks and the explanation is on this post.
For Programmers
- Detailed description of it works : Testing trading strategies (documentation).
- As noted by erdah, SendNotification, SendMail, SendFTP don't work in Strategy Tester (of course).
- IndicatorParameters() doesn't work in StrategyTester.
- OnChartEvent() in Strategy Tester.
- CopyTicks() function doesn't work on Strategy Tester.
- General description of how to use it : The Fundamentals of Testing in MetaTrader 5
- How ticks are generated : The Algorithm of Ticks’ Generation
- Discussion about Strategy Tester mode (1 minute OHLC vs every tick)
- How to test a strategy for all timeframe and compare results ?
- Description of the algorithm used for fast optimization : Genetic Algorithm - It's easy.
- Creating Custom Criteria of Optimization of Expert Advisors
Running optimization from command line : https://www.mql5.com/en/forum/13468
- Don't expect too much from optimization and try to prevent curve over fit.
Announce of the launch : MQL5 Cloud Network launched.
As Users
- How it works, an overview : Speed Up Calculations with the MQL5 Cloud Network
- Tester agents/Remote agents/MQL5 Cloud Network agents/MetaTester 5 Agents Manager are no longer available for use in the 32-bit terminals: they can work only in the 64-bit systems: read more here
- Prohibition for using testing agents working on virtual OS in MQL5.Cloud - read more here
- Optimization by example : MQL5 Cloud Network : Are you Still Calculating ?
Some useful topic about usage of the Cloud :
- Error message : endless loop detected in OnInit function
- How much it will cost !
As Providers (agents)
- Frequently Asked Question about the Cloud Newtwork (FAQ) and How to Participate.
- When you start to provide agents on the Cloud, you have to be patient and use the search engine.
- An example of what you can expect as agents provider or 1 year of Cloud's agents providing
Work in progress, stay tuned !
Forum on trading, automated trading systems and testing trading strategies
All (not yet) about Strategy Tester, Optimization and Cloud
Sergey Golubev, 2017.07.22 07:31
The article: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.
Comparing the results allows us to assess the quality in various modes, as well as helps us to use the tester more efficiently in order to receive results faster. "1 minute OHLC" mode allows receiving quick estimated test results, "Every tick" mode is closer to reality, while testing on real ticks is most accurate but time-consuming. Keep in mind that errors in a trading robot's logic may affect the number of trading operations making the strategy test results more susceptible to a selected test mode.
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.
--------------
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.
Forum on trading, automated trading systems and testing trading strategies
All (not yet) about Strategy Tester, Optimization and Cloud
Sergey Golubev, 2017.07.22 07:35
More article:
Genetic algorithms - it's easy!
Genetic algorithm (GA) refers to the heuristic algorithm (EA), which gives an acceptable solution to the problem in the majority of practically significant cases, but the correctness of the decisions has not been proven mathematically, and is used most often for problems, the analytical solution of which is very difficult or even impossible.
A classic example of a problem of this class (class NP) is a "traveling salesman problem" (is one of the most famous combinatorial optimization problems). The main challenge is finding the most advantageous route, which passes through the given cities at least one time, and then returns to the initial city). But nothing prevents to use them for tasks, which yield to formalization.
EA are widely used for solving problems of high computational complexity, instead of going through all of the options, which takes up a significant amount of time. They are used in the fields of artificial intelligence, such as pattern recognition, in antivirus software, engineering, computer games, and other areas.
It should be mentioned that MetaQuotes Software Corp. uses GA in their software products of MetaTrader4 / 5. We all know about the strategy tester and about how much time and effort can be saved by using a built-in strategy optimizer, in which, just like with the direct enumeration, it is possible to optimize with the use of GA. In addition, the MetaTrader 5 tester allows us to use the user optimization criteria. Perhaps the reader will be interested in reading the articles about theGAand the advantages, provided by EA, in contrast todirect enumeration.
Forum on trading, automated trading systems and testing trading strategies
All (not yet) about Strategy Tester, Optimization and Cloud
Sergey Golubev, 2017.09.19 08:45
Some discussion threads which may help to newbies:
MetaTester Agents won't start to work
Little question of a newbieForum on trading, automated trading systems and testing trading strategies
All (not yet) about Strategy Tester, Optimization and Cloud
Sergey Golubev, 2017.09.20 06:49
And this is something which may be important for example:
============
MetaTrader 5 Help → MQL5 Cloud Network → How to Participate - Restrictions of Participation on MQL5 Cloud Network
There are several limitations of participation on MQL5 Cloud Network:
- An agent should have at least 768 MB of available physical memory to perform calculations.
- To connect your agents to the MQL5 Cloud Network, the computer where the agents are installed must have at least 2048MB of RAM.
- The agent's productivity index (PR) should not be less than 50.
- Agents installed on a virtual machine cannot participate in MQL5 Cloud Network.
- Agents having PR below 100 are not used in genetic optimization in order not to slow down the calculation process. The reason is that the calculation is performed by generations (256 passes). While one generation is not calculated, calculation of the next one cannot start. Even if a single pass out of 256 ones is calculated by a low PR agent, the total calculation speed is reduced.
- An agent will not be able to receive new tasks from the MQL5 Cloud Network if the free disk space on the computer where the agent is installed falls below 500MB.
- Agents do not receive tasks from the cloud network in case the PC they are installed at is powered by a battery (it refers to laptops).
good thread to disclose some limitations -
Metatrader5 Strategy Tester Limitations on the Cloud Network: how to fix?
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