Real drawdown on backtesting and MT4 detailed report

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Hi all,

I have huge differences between REAL drawdown and MT4 reported drawdown, see below:

- reported drawdown is 1099 Euros, real drawdown is 2611 Euros..


Files:
MT4report.png  1019 kb
 
1. Backtests are never exact same as live tests. And this is way worse for MT4 backtests. You should move to MT5 as soon as possible.
2. How do you even know your graphical representation of balance and equity are correct?
 

As already said, MT4 do not report equity drawdown but only balance drawdown in report after backtest. Also that is not accurate.

Moving to MT5 is a must, but be aware that also there the value you will get for "Equity drawdown" is not very accurate, you will need to custom calculate it inside your code, simply checking the momentary DD and increasing a variable that you can call MaxDD. At the end of backtest (into the OnTester function) you can return your real calculated DD value and you will see that there are some discrapancies of the value printed by MT5, sometimes little difference, sometimes bigger.

What is sure is that you need to move away from MT4 if you are planning to backtests EAs in more accurate way.

 

There are the following drawdown types:

  • Absolute drawdown
  • Maximum/Maximal drawdown
  • Relative drawdown
  • more ...

And those drawdown types are not same in most of the cases (they must not be same).
More details: post

How to Start with Metatrader 5 - The MetaTrader 5 for the Forex Market and Global Exchanges; The release of the latest version of the platform has been released
How to Start with Metatrader 5 - The MetaTrader 5 for the Forex Market and Global Exchanges; The release of the latest version of the platform has been released
  • 2016.11.02
  • Sergey Golubev
  • www.mql5.com
The metatrader 5 mobile platforms feature everything you need for successful trading on the forex market and global exchanges: full-fledged technical analysis, powerful trading system with all types of orders and the depth of market
 
Fabio Cavalloni #:
What is sure is that you need to move away from MT4 if you are planning to backtests EAs in more accurate way.
Yes, that's right.
 
Fabio Cavalloni #:

As already said, MT4 do not report equity drawdown but only balance drawdown in report after backtest. Also that is not accurate.

Moving to MT5 is a must, but be aware that also there the value you will get for "Equity drawdown" is not very accurate, you will need to custom calculate it inside your code, simply checking the momentary DD and increasing a variable that you can call MaxDD. At the end of backtest (into the OnTester function) you can return your real calculated DD value and you will see that there are some discrapancies of the value printed by MT5, sometimes little difference, sometimes bigger.

What is sure is that you need to move away from MT4 if you are planning to backtests EAs in more accurate way.

Thank you, I currently compute DD increasing a global variable.

I will try con convert my EA's to MT5, but a lot of time is needed :(

 
Yashar Seyyedin #:
1. Backtests are never exact same as live tests. And this is way worse for MT4 backtests. You should move to MT5 as soon as possible.
2. How do you even know your graphical representation of balance and equity are correct?

1) picture show real trades (no backtest)

2) drawdown is computed on real time using a bubble on global variable, increased every bar if needed(on H1 timeframe) ; is one aproximation but show DD close to real in my opinion..

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