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Thread: Difference between 90% testing & 99.9% testing

  1. #1
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    Lightbulb Difference between 90% testing & 99.9% testing

    difference between 90% testing & 99.9% testing


    So why is it possible to only achieve 99% modeling quality/accuracy?

    1:Backtesting on MetaTrader 4 assumes you will never experience slippage, which is certainly not true when trading live, especially with scalping EAs.
    2:In MQL, MetaTrader 4’s programming language, the integral function start() which begins the data processing for every EA, only receives a tick if it has successfully processed the previous tick. Depending on the data and other factors, it’s not uncommon for an EA to skip ticks while backtesting.
    3:Backtesting on MetaTrader 4 only permits the user a fixed spread. Most brokers now use a variable spread which can fluctuate by as much as 200% throughout a trading day.

    Difference between 90% testing & 99.9% testing-11111111111111111111111111111111-jpg
    Last edited by glosbe; 07-20-2016 at 14:18.

  2. #2
    Senior Member fxtester's Avatar
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    - Slippage
    - Busy trade context
    - Variable spreads
    - Lack of liquidity
    - Invisible gaps

    MT5 is proposing variable spreads, comparing to MT4.

    Every broker should register all informations related to the different symbols, every millisecond.

    However, it would represents several terabytes of data per day.

    The technology is not yet ready.

    But we will come to it.

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    which diffrent between tick+milisecond & ask/bid: Tick is the Trade with the miliiS timestamp.

    Here below sample data for Tick + MilliS :

    Symbol,Date,Time,Price,Volume
    CLX1,09/19/2011,00:00:09.806,86.95,1
    CLX1,09/19/2011,00:00:09.868,86.96,1
    CLX1,09/19/2011,00:00:09.882,86.96,1
    CLX1,09/19/2011,00:00:09.882,86.96,1
    CLX1,09/19/2011,00:00:09.882,86.97,1



    Ask-Bir represent the Level 1.

    Here below sample data for Ask-Bid data :

    Symbol-Date,Time,Type,Price,Volume,Bid Price,Bid Size,Ask Price,Ask Size
    ESU0,09/08/2010,00:00:00.658,Quote,,,1088.75,636,,
    ESU0,09/08/2010,00:00:00.936,Quote,,,,,1089,47
    ESU0,09/08/2010,00:00:00.980,Quote,,,1088.75,639,,
    ESU0,09/08/2010,00:00:01.227,Quote,,,,,1089,48
    ESU0,09/08/2010,00:00:01.291,Trade,1089,1,,,,
    ESU0,09/08/2010,00:00:01.291,Quote,,,,,1089,47
    ------------------------------------------------------------------------------------------------------
    so ask/bid data have clear result

    http://www.tickdatamarket.com/tarifs...ype=individuel
    Last edited by glosbe; 07-21-2016 at 16:34.

  4. #4
    Senior Member fxtester's Avatar
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    Interesting.

    I think that even if we had these additionnal informations, Metatrader would let the modelling quality to 99.90% as the other (concerning the order execution) are not available.

    But we could say that we are closer to the 100%.

    I think that we will reach this level in 10 years, not before.

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    Quote Originally Posted by fxtester View Post
    Interesting.

    I think that even if we had these additionnal informations, Metatrader would let the modelling quality to 99.90% as the other (concerning the order execution) are not available.

    But we could say that we are closer to the 100%.

    I think that we will reach this level in 10 years, not before.
    see: kibot.com

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    Senior Member fxtester's Avatar
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    Very impressive!

    I didn't know that we could get tick data over a such period.

    I would love to be able to do backtesting with a good historical data on more than ten years.

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