MT5 Strategy Tester (all market watch symbols)

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Hi,

I've got an EA that runs on 8 symbols concurrently and I've downloaded tick data for all of them and loaded them into MT5. I've used MT4's strategy tester quite a lot but when I run strategy tester on MT5 to optimise my EA's parameters, I get results after the optimisation is done, but there is no visibility on what parameters were changed to achieve those results - this leaves me confused as to how to tell what the best settings are. Is there somewhere I can see the parameters/setfile that generated those results? This is important because I want to optimise profit factor and drawdown on the EA which would be trading on all symbols concurrently in reality, so it's important that the optimisation happen on all pairs to get an accurate idea of what the total drawdown would be, rather than on a per-pair basis. Is there a video or a guide someone can link me to where this is explained? I'm pretty fluent with MT4 but I find a couple of things to be a little unclear on MT5. Thanks for your help.

 
Jack White: I've got an EA that runs on 8 symbols concurrently and I've downloaded tick data for all of them and loaded them into MT5. I've used MT4's strategy tester quite a lot but when I run strategy tester on MT5 to optimise my EA's parameters, I get results after the optimisation is done, but there is no visibility on what parameters were changed to achieve those results - this leaves me confused as to how to tell what the best settings are. Is there somewhere I can see the parameters/setfile that generated those results? This is important because I want to optimise profit factor and drawdown on the EA which would be trading on all symbols concurrently in reality, so it's important that the optimisation happen on all pairs to get an accurate idea of what the total drawdown would be, rather than on a per-pair basis. Is there a video or a guide someone can link me to where this is explained? I'm pretty fluent with MT4 but I find a couple of things to be a little unclear on MT5. Thanks for your help.

What do you mean you cannot see the parameters used for the optimisation?

They are in the "Optimization Results" tab alongside the resulting metrics.



 
Fernando Carreiro #:

What do you mean you cannot see the parameters used for the optimisation?

There are in the "Optimization Results" tab alongside the resulting metrics.



I can see this when if I'm optimising on one pair at a time. If I select "all market watch symbols" as the optimisation method on the Settings tab, then parameters on the Inputs tab are not modifiable (nothing can be checked or unchecked) and consequently the Optimisation Results tab does not have columns for any parameter values as you show in your screenshot. I'm doing a run now and will post what I see once complete.
 
Jack White #: I can see this when if I'm optimising on one pair at a time. If I select "all market watch symbols" as the optimisation method on the Settings tab, then parameters on the Inputs tab are not modifiable (nothing can be checked or unchecked) and consequently the Optimisation Results tab does not have columns for any parameter values as you show in your screenshot. I'm doing a run now and will post what I see once complete.

That is because when you select "all market watch symbols" you are not optimising parameters, but in fact running a single test against each symbol, with the same parameters for all of them.

In other words, you are optimising to see which symbol offers the best results for the exact same parameters for all of them.

To truely optimise for multiple symbols, you have to code your EA to be multi-symbol and make the symbol selection be part of the parameters.

 
Fernando Carreiro #:

That is because when you select "all market watch symbols" you are not optimising parameters, but in fact running a single test against each symbol, with the same parameters for all of them.

In other words, you are optimising to see which symbol offers the best results for the exact same parameters for all of them.

To truely optimise for multiple symbols, you have to code your EA to be multi-symbol and make the symbol selection be part of the parameters.

Right, this is what I thought.


Also, the EA is coded to be multi-symbol, and symbol selection is part of the parameters, however, the symbol selection field is a string rather than a dropdown - so there is no pre-defined list of symbols that MT5 can iterate through for each optimisation run, as they would need to be manually typed in each time. I suppose this means that there is no way to actually test aggregate performance for multiple pairs simultaneously? For instance, the max drawdown for each pair would be the drawdown associated only with that specific pair, and therefore the drawdown associated with any other pairs that would be traded simultaneously in real-time is not accounted for in the max drawdown figure.

 
Jack White #: Right, this is what I thought.Also, the EA is coded to be multi-symbol, and symbol selection is part of the parameters, however, the symbol selection field is a string rather than a dropdown - so there is no pre-defined list of symbols that MT5 can iterate through for each optimisation run, as they would need to be manually typed in each time. I suppose this means that there is no way to actually test aggregate performance for multiple pairs simultaneously? For instance, the max drawdown for each pair would be the drawdown associated only with that specific pair, and therefore the drawdown associated with any other pairs that would be traded simultaneously in real-time is not accounted for in the max drawdown figure.
Then change the code so that the parameter is enumeration instead of a string, or alternatively, make it an index into the symbols available on the Market Watch.
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