Back-testing in MetaTrader 4
You have probably learned that back-testing is a very important part of every EA’s development life-cycle. It is a stage where you will get the first insight into your robot’s performance and you will learn what can be expected on live-trading. If you are using MetaTrader 4, a leading Forex trading platform, you can back-test in its build-in Strategy Tester tool. To do it correctly you need to download historical data. You can do so from the official platform’s repository.
The quality of historical data is crucial for the relevance of the back-testing process. To consider the process as relevant, the modeling quality has to at least 90 percent. However, the better the number is the back-testing will be more reliable, more similar to the result that you can expect on live trading. MT4 uses randomly generated prices from bar data. Using interpolation, it takes the bar price data with the tick count to generate the prices for each bar. It ensures that the price starts at the open price, touches bar high and low and ends at the close price. So, if the position has a stop loss and a take profit within the bar a tester will randomly hit one of these two levels.
About Tick Data Suite
On the other hand, the Tick Data Suite uses actual price ticks and in that manner, it ensures modeling quality at 99 percent. It is almost a perfect model, a back-testing process will use prices that were actually traded. Tick Data Suite can be found at www.eareview.net and it can be purchased on a subscription basis. The package includes a tick data service, a license key, support, and updates. The price of a monthly subscription is $97 while a yearly subscription costs $183. Lifetime subscription costs $499. A free trial is available for a period of 14 days. It is a plugin for a MetaTrader 4 Strategy Tester that allows usage of tick data. It is compatible with all MT4 builds above version 940.
The installation process is simple and straightforward. After you have installed the product using the Tick data Manager application you can select the tick data you want to download from the server. Downloaded data can be used for back-testing in all your MetaTrader 4 instances. You can download tick data records of multiple brokers including Dukascopy, Alpari, Forex.com, IBFX, Pepperstone, FXCM, FXDD, etc. Deepening on the source the data is going back to 2005. It includes all the majors, minors and crosses and even some exotic pairs and CFDs. The data includes also broker spread and swap variations.
After you have installed the suite and downloaded data you can start the back-testing with tick data precision. To so so, run your MT4 instance and open Strategy Tester tool where you will find Use tick data checkbox. Mark it and select the expert, the trading instrument (make sure it is the one you have downloaded previously) and the period. If you want you may use the visual mode if you want to see visually how the expert is preforming. Generally, back-testing using tick data will be slower but much more reliable. The suite also allows Renko bar back-testing and it is achievable only in few clicks.
Tick Data Suite advantage
To understand the importance of the back-testing data quality I did a simple test. For the same expert advisor using the same entry parameters, the same period and the same trading instrument, I ran the test with tick suite data and with historical data downloaded from the official MetaTrader 4 repository. I was surprised when I found out that the difference was significant. My testing period was one year (whole 2018) and the difference was around 15 percent. I did not expect that it will be that high since the standard platform data modeling quality was 90 percent. It just tells you how crucial is to have the right data to consider the back-testing process as relevant.
So, Tick Data Suite is MetaTrader 4 plugin that ensures tick data precision for the back-testing process in Strategy Tester. The data is available for download for all majors, minors, crosses, exotics, and CFDs dating back to 2005. It is available for different brokers and it also includes variations in spreads and swaps. It ensures the modeling quality of the process to be at 99 percent, almost as real trading. The tool is important to consider the MT4 back-testing process as the relevant one.