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I have always found that systems that needed to be optimized to be profitable never work very well on unseen data. Systems which work well on unseen data seem to need very little optimizing. Adding another degree of freedom in response to a failing system would seem suspect based on this experence, but I could be wrong! For an example of over optimzation, witness the performance of Firebird in the MQL trading competition, started out well but crapped out after a couple of weeks (but still came third!)
The problem is, I've yet to come across a system that works well on unseen data over the long run (years) without tweaking. I don't believe a system like that exists. All systems are optimized to some degree obviously.
Obvously any TA based system has some degree of optimization, I guess the problem is how much tweaking should you do? I think WNW's post sums it up, the system should demonstrate profit before tweaking.
Hmm, I was hoping that someone had found a reason all my EAs go to zero during backtest Unfortunately not... As Craig stated, the 'close' during say, backtest in Visual Mode, will be what the price is at that instant - ie the current price. Only when the bar completes will the 'close' take it's final value. Also, in the link posted above, the guys EA is not using 'Bars' correctly so I don't think there is an issue.
Tick by Tick data anyone? These files contain one year of tick by tick M1 EURUSD. Thank God for solid connections, eh? ...a Gift for everyone who contributes to this wonderful forum. It took me a long time to score this little gem, so Enjoy!
Instructions:
Before coping the files to their appropriate places you should close MT4, otherwise the data may become corrupt.
EURUSD1_0.fxt needs to be placed in “C:\Program Files\MetaTrader\tester\history” folder.
EURUSD1.hst needs to be placed in “C:\Program Files\MetaTrader\history\InterbankFX-Demo” folder.
In MT4 we have two groups of symbols. We have a group of symbols for STD accounts, and then we have another group for minis (where an m is appended to the STD symbols). The rates we publish for STD account and minis are exactly the same. But MT4 has different symbols for them, and we have chosen to stick to using the STD symbols for back testing purposes. If you have not already opened a STD demo account in MT4 you will need to before the data you downloaded is usable in MT4. If you plan to use a STD demo account and a mini demo account, make sure you are logged into the STD demo before you try to use this tick data on back tests, otherwise you will not get the result you expect.
When you have MT4 and the Tester window up, you should have something that looks like the picture I have attached. You should have the name of the Expert Advisor you want to do a back test on in the Expert Advisor field. To use the data I gave you, you need to have 4 fields with specific settings.
1) Symbol is set to EURUSD (not EURUSDm)
2) Model is set to Every tick (based on all available least timeframes with fractal interpolation of every tick)
3) Period set to M1
4) Recalculate needs to be un-checked.
The other settings you can set to what you want. Use date is used to back test only a certain time range. If Optimization is set, the back tester will do multiple passes, tests, depending on what you have setup in the Expert properties dialog. When you have what you want you click Start and it will start the test(s).
Thank you for the real tick data.
You gave us an example of m1 data for backtest only over m1 data.
How could I proceed to backtest on h1 data? Is there a way I could convert this ".fxt" m1 data to a ".fxt" h1 data so I can have 99% with h1?
Seems that we can use tick data to get accurate backtests for scripts now. Anybody know of a place that is allowing downloads and uploads of tick data?
Seems that we can use tick data to get accurate backtests for scripts now. Anybody know of a place that is allowing downloads and uploads of tick data?
I know of a place I just found yesterday. But here are the limitations:
-10 sec bars are the smallest increment (not tick but close enough)
-goes back only about 2004 on most pairs
-You can only download a max of 10,000 bars per download. You can download all the data you want but it will have to be broken down per 10,000 increments.
The good:
-Its free.
-and its free.
OK: you'll have to download it via csv format (Excel, ect..) To use it in metatrader youll have to take out the headers and save it under csv not xls. Then you can export it in Metatrader using the History Window.
Here's an issue that has been plaguing all of us. Corrupt data. Well if you scan through historical charts you'll notice gaps of missing data or hi and lows that are off. BUT when you pull up the actual data the missing pieces arent actually missing. Its just screwed up so it doesnt show up on the chart. The main issue I have noticed is the high and low values seem switch, making the high actually a low. Therefore the computer just skips the bar. Giving you a gap.
Another issue are holidays. I noticed on Xmas and New Years bars actually showed up when in reality NOTHING happens during those days. Why? Anyways here are some solutions to clean it up:
For the faulty hi and low I was thinking of cleaning it up on 10 sec data. Just remove the hi and low values and replace it with open and close values. Do this with ALL the bars unless anyone can develop an program that can find these errors and correct it automatically. Anyways with tick data replacing the hi and lo shouldnt mess up the data too much if its going to be used for M1 or higher. Even with tick by tick trading the hi and lo isnt varied too much from the open and close.
For the holiday ticks I propose replacing it with one price: the closing price of the closing bell. Therefore we have a more realistic market. I wonder if we backtest skipping these major holidays would we get more accurate results.
By the way the above issues I have found in all data from Metatrader to Alpari to the link below. There are ways to clean it up but it will take some work.
Also, Oanda gives you free tick by tick if you have a $1000.00 account balance or you are in academics. But it only goes to 2 years. Youll have to pay if you want to go more than two years. The tick data they use comes from their own data so its pretty reliable.
Holyguy I hope this helps and lets collaborate on this project..
I know of a place I just found yesterday. But here are the limitations:
-10 sec bars are the smallest increment (not tick but close enough)
-goes back only about 2004 on most pairs
-You can only download a max of 10,000 bars per download. You can download all the data you want but it will have to be broken down per 10,000 increments.
The good:
-Its free.
-and its free.
OK: you'll have to download it via csv format (Excel, ect..) To use it in metatrader youll have to take out the headers and save it under csv not xls. Then you can export it in Metatrader using the History Window.
Here's an issue that has been plaguing all of us. Corrupt data. Well if you scan through historical charts you'll notice gaps of missing data or hi and lows that are off. BUT when you pull up the actual data the missing pieces arent actually missing. Its just screwed up so it doesnt show up on the chart. The main issue I have noticed is the high and low values seem switch, making the high actually a low. Therefore the computer just skips the bar. Giving you a gap.
Another issue are holidays. I noticed on Xmas and New Years bars actually showed up when in reality NOTHING happens during those days. Why? Anyways here are some solutions to clean it up:
For the faulty hi and low I was thinking of cleaning it up on 10 sec data. Just remove the hi and low values and replace it with open and close values. Do this with ALL the bars unless anyone can develop an program that can find these errors and correct it automatically. Anyways with tick data replacing the hi and lo shouldnt mess up the data too much if its going to be used for M1 or higher. Even with tick by tick trading the hi and lo isnt varied too much from the open and close.
For the holiday ticks I propose replacing it with one price: the closing price of the closing bell. Therefore we have a more realistic market. I wonder if we backtest skipping these major holidays would we get more accurate results.
By the way the above issues I have found in all data from Metatrader to Alpari to the link below. There are ways to clean it up but it will take some work.
Also, Oanda gives you free tick by tick if you have a $1000.00 account balance or you are in academics. But it only goes to 2 years. Youll have to pay if you want to go more than two years. The tick data they use comes from their own data so its pretty reliable.
Holyguy I hope this helps and lets collaborate on this project..
This is an indicator helped me to study diffTime which is how long to take next qoute to arrive. diffTime which I believe is vary among data providers.
input title stands for the file name of your data set, buffer is for the size of each file.
Unfortunately not... As Craig stated, the 'close' during say, backtest in Visual Mode, will be what the price is at that instant - ie the current price. Only when the bar completes will the 'close' take it's final value. Also, in the link posted above, the guys EA is not using 'Bars' correctly so I don't think there is an issue.
Linear Mode
