Quote:
Originally Posted by PipCop  HyperDimension, if you are backtesting with the default settings, then you have FIFO = true. That means all trades will close at exactly the same time. This is to allow customers to use RM on NFA compliant brokerages. |
Ok that's what is causing it. I wonder how the results would be with FIFO = false.
Here's an excerpt from the Strategy Tester results that show 30 positions built up over a 4 month period and then finally close at once in a flash:
Code:
615 2008.04.15 11:12 sell 308 0.10 1.17740 0.00000 0.00000 0.00 35571.50
616 2008.04.16 08:36 sell 309 0.10 1.18142 0.00000 0.00000 0.00 35571.50
617 2008.04.16 12:19 sell 310 0.10 1.18540 0.00000 0.00000 0.00 35571.50
618 2008.04.16 17:36 sell 311 0.10 1.18942 0.00000 0.00000 0.00 35571.50
619 2008.04.24 00:15 sell 312 0.10 1.19340 0.00000 0.00000 0.00 35571.50
620 2008.04.25 10:02 sell 313 0.10 1.19744 0.00000 0.00000 0.00 35571.50
621 2008.04.29 11:05 sell 314 0.10 1.20140 0.00000 0.00000 0.00 35571.50
622 2008.04.29 18:17 sell 315 0.10 1.20541 0.00000 0.00000 0.00 35571.50
623 2008.05.08 01:45 sell 316 0.10 1.20953 0.00000 0.00000 0.00 35571.50
624 2008.05.08 02:28 sell 317 0.10 1.21341 0.00000 0.00000 0.00 35571.50
625 2008.05.08 04:42 sell 318 0.10 1.21745 0.00000 0.00000 0.00 35571.50
626 2008.05.08 15:13 sell 319 0.10 1.22143 0.00000 0.00000 0.00 35571.50
627 2008.05.09 15:10 sell 320 0.10 1.22542 0.00000 0.00000 0.00 35571.50
628 2008.05.13 02:12 sell 321 0.10 1.22942 0.00000 0.00000 0.00 35571.50
629 2008.05.14 02:27 sell 322 0.10 1.23340 0.00000 0.00000 0.00 35571.50
630 2008.05.15 10:58 sell 323 0.10 1.23740 0.00000 0.00000 0.00 35571.50
631 2008.06.05 00:11 sell 324 0.10 1.24140 0.00000 0.00000 0.00 35571.50
632 2008.06.05 04:04 sell 325 0.10 1.24545 0.00000 0.00000 0.00 35571.50
633 2008.06.05 15:41 sell 326 0.10 1.24940 0.00000 0.00000 0.00 35571.50
634 2008.06.06 04:19 sell 327 0.10 1.25340 0.00000 0.00000 0.00 35571.50
635 2008.06.10 12:43 sell 328 0.10 1.25740 0.00000 0.00000 0.00 35571.50
636 2008.06.10 17:05 sell 329 0.10 1.26140 0.00000 0.00000 0.00 35571.50
637 2008.06.26 01:47 sell 330 0.10 1.26546 0.00000 0.00000 0.00 35571.50
638 2008.07.03 16:20 sell 331 0.10 1.26940 0.00000 0.00000 0.00 35571.50
639 2008.07.14 00:55 sell 332 0.10 1.27340 0.00000 0.00000 0.00 35571.50
640 2008.07.18 20:00 sell 333 0.10 1.27787 0.00000 0.00000 0.00 35571.50
641 2008.07.21 06:32 sell 334 0.10 1.28140 0.00000 0.00000 0.00 35571.50
642 2008.07.23 11:42 sell 335 0.10 1.28540 0.00000 0.00000 0.00 35571.50
643 2008.07.24 00:00 sell 336 0.10 1.28967 0.00000 0.00000 0.00 35571.50
644 2008.07.24 00:00 sell 337 0.10 1.29357 0.00000 0.00000 0.00 35571.50
645 2008.08.15 17:30 close 337 0.10 1.23273 0.00000 0.00000 400.21 35971.72
646 2008.08.15 17:30 close 336 0.10 1.23273 0.00000 0.00000 374.46 36346.18
647 2008.08.15 17:30 close 335 0.10 1.23273 0.00000 0.00000 346.05 36692.23
648 2008.08.15 17:30 close 334 0.10 1.23273 0.00000 0.00000 319.48 37011.71
649 2008.08.15 17:30 close 333 0.10 1.23273 0.00000 0.00000 296.09 37307.79
650 2008.08.15 17:30 close 332 0.10 1.23273 0.00000 0.00000 266.13 37573.92
651 2008.08.15 17:30 close 331 0.10 1.23273 0.00000 0.00000 239.07 37812.99
652 2008.08.15 17:30 close 330 0.10 1.23273 0.00000 0.00000 212.53 38025.52
653 2008.08.15 17:30 close 329 0.10 1.23273 0.00000 0.00000 184.41 38209.94
654 2008.08.15 17:30 close 328 0.10 1.23273 0.00000 0.00000 157.99 38367.93
655 2008.08.15 17:30 close 327 0.10 1.23273 0.00000 0.00000 131.43 38499.36
656 2008.08.15 17:30 close 326 0.10 1.23273 0.00000 0.00000 104.95 38604.30
657 2008.08.15 17:30 close 325 0.10 1.23273 0.00000 0.00000 78.86 38683.16
658 2008.08.15 17:30 close 324 0.10 1.23273 0.00000 0.00000 52.11 38735.26
659 2008.08.15 17:30 close 323 0.10 1.23273 0.00000 0.00000 24.16 38759.42
660 2008.08.15 17:30 close 322 0.10 1.23273 0.00000 0.00000 -2.47 38756.96
661 2008.08.15 17:30 close 321 0.10 1.23273 0.00000 0.00000 -28.83 38728.13
662 2008.08.15 17:30 close 320 0.10 1.23273 0.00000 0.00000 -55.39 38672.73
663 2008.08.15 17:30 close 319 0.10 1.23273 0.00000 0.00000 -81.82 38590.91
664 2008.08.15 17:30 close 318 0.10 1.23273 0.00000 0.00000 -108.10 38482.82
665 2008.08.15 17:30 close 317 0.10 1.23273 0.00000 0.00000 -134.78 38348.04
666 2008.08.15 17:30 close 316 0.10 1.23273 0.00000 0.00000 -160.41 38187.63
667 2008.08.15 17:30 close 315 0.10 1.23273 0.00000 0.00000 -188.42 37999.22
668 2008.08.15 17:30 close 314 0.10 1.23273 0.00000 0.00000 -214.90 37784.32
669 2008.08.15 17:30 close 313 0.10 1.23273 0.00000 0.00000 -241.20 37543.12
670 2008.08.15 17:30 close 312 0.10 1.23273 0.00000 0.00000 -267.95 37275.17
671 2008.08.15 17:30 close 311 0.10 1.23273 0.00000 0.00000 -294.96 36980.21
672 2008.08.15 17:30 close 310 0.10 1.23273 0.00000 0.00000 -321.51 36658.70
673 2008.08.15 17:30 close 309 0.10 1.23273 0.00000 0.00000 -347.80 36310.90
674 2008.08.15 17:30 close 308 0.10 1.23273 0.00000 0.00000 -374.42 35936.47
I think I'd simply use the EA on a non NFA regulated broker.
Quote:
Originally Posted by PipCop IMO, backtests are useless. |
But how then do EA developers develop and optimize their EAs? They need historical data, so in that sense, historical data is essential, and backtesting over that data is an essential part of the development process. Would you buy an EA that was never backtested, not even once? Maybe some people would if it was forward tested for some time. But that forward testing time may be too short, i.e. not enough to produce statistically significant results if they are all you have to go by.
Quote:
Originally Posted by PipCop I have never seen a backtest that comes anywhere close to the results of a forward test. This is due to the fact that the data which MetaTrader uses is not tick-by-tick, but at best minute by minute. So the quality of your data is impacting your results, which is probably why you are seeing a loss on some trades. |
You are preaching to the converted.
I have been thinking about this all the time for the past month or so, and have been searching far and wide for good quality data to test over for scalping strategies in which a few pip differences can make a huge impact on profitability. On other forums I am the one who is the preacher regarding backtesting and historical data. I fully understand that MetaTrader creates fake tick data from 1 minute data that is stored on the computer, and I have literally spent days analyzing and working with it, together with gigabytes of Gain Capital tick data that I've downloaded. The Robominer strategy is nowhere near as sensitive to ticks as scalping strategies though, so I think it's ok to use M1 data and not worry that the ticks being tested over are fake.
One of my significant findings is that the data that is easily downloadable from the MetaTrader History Center is from MetaQuotes (if the warning message box appears) and such data is "indicative data", i.e. data that is from multiple sources and averaged together, as opposed to real data from a trade server. The averaging process would make the data a lot smoother than real data, which can then make EA performance results look much better.
So this is the reason why I used FXDD data from their web site (and not from the MetaTrader History Center download) because I think the data on their web site comes from their trade server.
Those who have searched for good historical data may have come across many references to Alpari data. Alpari UK used to provide their trade server data on their web site (
http://www.alpari.co.uk/en/dc/databank.html), but some months ago they stopped and replaced the page with instructions to download the data through History Center. I have analyzed the new data, and it is just about exactly the same as the data from other brokers' MetaTrader terminals, i.e. it's just MetaQuotes data. I would have still been using the Alpari data from their web site if they were still available. Though the good thing about testing over FXDD data for the Robominer EA is that it is a popular broker to run the EA on.