Faster backtest with x second interval/timeframe
Posted: Fri Jun 03, 2016 10:20 pm
hi guys
thanks for your website, very interesting
my name is paolo, and i'm an expert mt4 backtester (one of the first users of Birt method) and mt4 Expert Advisor developer
as i read in several EA reviews, and after several years of experience, i realized that good results with mt4 tick data backtest are not always easy to repeat again in real mt4 accounts
many mt4 brokers suffers of slippage, requotes, disconnection and so on... as most of you will know for sure
but these words are fortunately valid only for pip scalping or pip-hunting logics
i write this because, after a lot of job, i'm realizing good and steady results with grid trading systems with medium/large grid size. i refer to blessing EA and/or similar products
the problem of that systems is the large amount of parameters to optimize
i'm actually using a 40 computers server room... it's not a joke
well, i really think that such systems could be optimized with really fast backtest NOT using tick data (that are very very very slow)
actually i'm backtesting using open price only precision on m1 (using great HST files generated with tickstory full version)
unfortunately, m1 is too large time interval respect tick quality...
i think we all need an intermediate step
i'd like to backtest on mt4 using open price only method on SECONDS TIMEFRAMES, like S1,S5, S15, S30
i'm not a software programmer like you guys, but i think it should not be so complicated to modify your tickstory tool in order to create some additional HST timeframe based on seconds like S1,S5,S15,S30. the FTX will be automatically generated instead from mt4 engine
just imagine how much faster coulde be S5 (5 seconds) backtest on open price only compared with a tickdata backtest... and results will probably be really similar, if EA is not based only on pip hunting/scalping
actually, backtesting my personalized grid EA on 2 years tick data takes about 30 seconds (on interl core i7, with ssd disk)
the same EA, backtested on m1 openprice only takes only 1.5 seconds
with same identical results!!!!
but my EA has a lot of parameters to optimize...
unfortunately, the M1 timeframe is the real limit. 60 seconds interval is too much...
in practice, i'm suggesting to all traders interested in speed up their backtest optimization, to use open price method instead of tick data, but using 5 seconds precision (actually not available) - or 10/15/30 seconds
could tickstory developer team consider adding seconds timeframe HST files during "export to mt4" step?
i think that people only had to rename file after export... overwriting for example the m1 hst file... correct?
thanks for your help
i'm the same user previously named lukemp3 on this forum, but with new registration email
thanks for your website, very interesting
my name is paolo, and i'm an expert mt4 backtester (one of the first users of Birt method) and mt4 Expert Advisor developer
as i read in several EA reviews, and after several years of experience, i realized that good results with mt4 tick data backtest are not always easy to repeat again in real mt4 accounts
many mt4 brokers suffers of slippage, requotes, disconnection and so on... as most of you will know for sure
but these words are fortunately valid only for pip scalping or pip-hunting logics
i write this because, after a lot of job, i'm realizing good and steady results with grid trading systems with medium/large grid size. i refer to blessing EA and/or similar products
the problem of that systems is the large amount of parameters to optimize
i'm actually using a 40 computers server room... it's not a joke
well, i really think that such systems could be optimized with really fast backtest NOT using tick data (that are very very very slow)
actually i'm backtesting using open price only precision on m1 (using great HST files generated with tickstory full version)
unfortunately, m1 is too large time interval respect tick quality...
i think we all need an intermediate step
i'd like to backtest on mt4 using open price only method on SECONDS TIMEFRAMES, like S1,S5, S15, S30
i'm not a software programmer like you guys, but i think it should not be so complicated to modify your tickstory tool in order to create some additional HST timeframe based on seconds like S1,S5,S15,S30. the FTX will be automatically generated instead from mt4 engine
just imagine how much faster coulde be S5 (5 seconds) backtest on open price only compared with a tickdata backtest... and results will probably be really similar, if EA is not based only on pip hunting/scalping
actually, backtesting my personalized grid EA on 2 years tick data takes about 30 seconds (on interl core i7, with ssd disk)
the same EA, backtested on m1 openprice only takes only 1.5 seconds
with same identical results!!!!
but my EA has a lot of parameters to optimize...
unfortunately, the M1 timeframe is the real limit. 60 seconds interval is too much...
in practice, i'm suggesting to all traders interested in speed up their backtest optimization, to use open price method instead of tick data, but using 5 seconds precision (actually not available) - or 10/15/30 seconds
could tickstory developer team consider adding seconds timeframe HST files during "export to mt4" step?
i think that people only had to rename file after export... overwriting for example the m1 hst file... correct?
thanks for your help
i'm the same user previously named lukemp3 on this forum, but with new registration email