Introduction to MetaTrader 5 Strategy Tester

MetaTrader 5 provides a built-in strategy tester which enables the validation of trading robot performance. This tool allows you to evaluate the Expert Advisor effectiveness and select the best input parameters before deploying it on a live trading account.

The entire operation of the strategy tester is based on the historical quotes of currencies and stocks. The tester automatically downloads tick history from the brokerage company's trading server and takes into account contract specifications. Therefore, the developer doesn't need to do anything manually. This allows for easy and highly accurate reproduction of all trading environment conditions, down to millisecond intervals between ticks on different symbols. The robot analyzes the accumulated quotes and executes virtual trades according to the algorithm embedded in it. This allows the evaluation of how well the strategy would have performed in the past.

Moreover, the MetaTrader 5 strategy tester is multi-currency. All robots tested in it can receive information about all financial instruments available on the registered account in the terminal and can trade on them. Thus, the tool allows testing even complex Expert Advisors capable of analyzing multiple currencies or stocks and their correlation.

The main advantage of such testing is the evaluation of a trading robot under conditions very close to real without its actual operation in the market. Moreover, it takes much less time since historical ticks are generated by the tester much faster than the real market. This is an undeniable advantage of the strategy tester, but far from its only capability.

The MetaTrader 5 Strategy Tester offers several testing modes. They allow selecting the optimal balance between speed and quality according to the user's needs. The 'Every tick' mode is intended for the most accurate testing; in this case, the simulated conditions will be closest to the real ones. The '1 minute OHLC' mode allows testing a strategy faster with a sufficient level of accuracy. If a very quick and rough estimate is needed, choose the 'Open prices only' mode, in which testing is conducted using only bar opening prices. The highest quality is offered by the 'Every tick based on real ticks' mode, but it also requires the maximum time investment.

The capabilities of the tester are not limited to just testing. It can also be used to solve mass optimization tasks. In the mathematical calculations mode, trading history is not used, and market conditions are not modeled, while only the mathematical calculations embedded in the Expert Advisor are executed.

Stress testing is an opportunity to further approximate the conditions of testing a trading robot to real ones. The mode of arbitrary execution delays simulates network delays in transmitting and processing trading requests, as well as simulates execution delays by dealers during real trading.

One of the main features of the strategy tester is the presentation of Expert Advisor testing results. It's not just dry figures, such as the profit generated by the trading robot during testing. The presentation also includes a wealth of statistical performance metrics:

• Profit and loss percentage ratio
• Number of winning and losing trades
• Risk factor
• Expected payoff

And this is far from a complete list. Additionally, the results of strategy testing are also provided in graphical form, making the analysis of the trading strategy even more convenient and clear.

The existing visual testing mode allows real-time tracking of the robot's trading on historical price data. All Expert Advisor trades are displayed on the chart, making them easy to analyze. The testing process can be slowed down or paused to observe how trading is conducted at specific time intervals.

Visualization mode is not only an opportunity to see how the robot trades. In addition, it allows checking the performance of custom technical indicators. For example, before purchasing through the Market, you can assess its behavior on historical data.

An important function of the strategy tester is the optimization of the trading robot, which allows you to find the best input parameters for a specific Expert Advisor. Various optimization modes allow finding optimal parameters to make the trading robot as profitable and robust as possible, with minimal risk, and so on.

During optimization, one trading robot is tested with different input parameters. After testing is completed, the results of the runs can be compared, and the settings that best meet the requirements placed on the robot can be selected.

The number of input parameter combinations during optimization can reach tens or hundreds of thousands. As a result, optimization can become a very time-consuming process, which can still be significantly reduced using genetic algorithms. This feature disables the sequential enumeration of all input parameter combinations and selects only those that best meet the optimization criteria. In subsequent stages, the optimal combinations are crossbred until the results stop improving. This reduces the number of combinations and the overall optimization time many times over.

In addition, the strategy tester works in a multi-thread mode and allows the utilization of all CPU cores. This will run an Expert Advisor on each core with its own set of parameters. Furthermore, for a large pool of tasks, the strategy tester provides the ability to connect to cloud computing through the use of the MQL5 Cloud Network. This is a network of cloud computing resources that combines thousands of computers worldwide. The strategy tester can use its practically limitless computational power. With the MQL5 Cloud Network, optimization that would take months in regular mode can be completed in just a few hours.

The strategy tester provides powerful tools for visual analysis of optimization results in both 2D and 3D modes. For example, in a two-dimensional representation, you can analyze the dependencies of the final result on two parameters simultaneously, while in 3D, you can see the entire picture of finding the best result during optimization.

In addition to the built-in capabilities, you can use your own visualization methods. There is no need to prepare, export, or process data in an external application. Simply display the optimization results on the screen in real time during its execution.

The built-in forward testing feature helps eliminate "over-optimization" or parameter fitting. With this option enabled, the history of currency and stock quotes is divided into two parts. Optimization occurs in the first segment of the history, and the second segment is used only to confirm the results. If the trading robot efficiency is equally high in both segments, it means that the trading system has the best parameters and parameter fitting is practically eliminated.

The strategy tester is an indispensable tool for Expert Advisor developers. Without it, it is practically impossible to write an efficient trading robot. It saves time and assists in creating a truly profitable tool for use in financial markets.