Backtesting does not match Live trading results with Expert Advisor Metatrader 5

General discussion about the Tickstory Lite software package.
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kevincolby650
Posts: 2
Joined: Mon Jul 13, 2020 8:19 pm

Backtesting does not match Live trading results with Expert Advisor Metatrader 5

Post by kevincolby650 »

Hello Everyone,
I have a Expert Advisor for Meta Trader 5 that i am using on a live demo account with Amp Futures LTD. I am trading the Dow index. I wanted to back test some settings and I noticed that parts of the back testing where flawed and glitched with the default symbol from the broker. A friend told me about TickStory and was happy to hear I could get accurate data for back testing. Unfortunately, Back testing is not in sync when compared to live trades. I am looking for help to see if i did anything wrong, or if a setting needs to be changed.

Here are are the steps I took,
1. Right click on the symbol, export to MT5, Bars, Set date range, download.
2. Right click on the symbol, export to MT5, Ticks, Set date range, download.
3. In MT5, create new symbol, clicked "copy from" and selected the current Dow symbol, changed symbol name.
4. Clicked the bars tab, import, selected the bars download file and import.
5. Clicked the Ticks tab, import, selected the ticks download file and import.
6. Close and test.
7. I am testing 1 minute chart based of of real ticks.

In step 3. I click copy from to get the same profile for that symbol.

Any help would be greatly appreciated. Thanks!

tickstory
Posts: 4884
Joined: Sun Jan 06, 2013 12:27 am

Re: Backtesting does not match Live trading results with Expert Advisor Metatrader 5

Post by tickstory »

Hi Kevin,

Welcome aboard ;) The steps you describe to export to MT5 are pretty much correct. If you haven't already, please check out our video and tutorial on the steps to back-test with MT5 (turn on Closed Captions for a text narration).

When you say you are not in "sync" with the same trades between test and live, do note you won't get exactly the same results. There are many variations between test and live that will cause some difference in results. More information on that topic is here.

Hope this helps.

kevincolby650
Posts: 2
Joined: Mon Jul 13, 2020 8:19 pm

Re: Backtesting does not match Live trading results with Expert Advisor Metatrader 5

Post by kevincolby650 »

Thanks for the reply!

What i meant my "Sync", is for example I run a back-test on the same day I ran my EA live, then compare the 2 ending results, Sometimes the back-test will show 10 trades, and my live account will have done 8. Also, the other way around, back-test will show 6 trades, and the live will show 10. I understand it wont be exact, but is there anyway I can tighten up the results to be more accurate?

Thanks for the help!

tickstory
Posts: 4884
Joined: Sun Jan 06, 2013 12:27 am

Re: Backtesting does not match Live trading results with Expert Advisor Metatrader 5

Post by tickstory »

Hi Kevin,

If you're hoping to closely match your trades, you will need to go through each difference and understand why it happened. Was it because you didn't get filled? Was it because you didn't get filled at the price you wanted (slippage)? Was it because a trade wasn't even triggered?

A number of scenarios can obviously play-out in the live market, so the first step is to understand which are causing your differences. As an example of the first scenario for not getting filled, this one is a hard one to test for. What you could do is ensure your price is deeper into the market depth when trading live to ensure a fill. In the case of a trade not being triggered at all, you will need to examine your entry specifications and see why the conditions were not met in live vs back-test and adjust accordingly (for example, a moving average might have been slightly different, so you would need to ensure the two environments' data match).

Without knowing your specific strategy, the goal should really be to know that the back-tests of your strategy shows it is robust enough to survive through these small variations in results.

Hope this helps.

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