Best Forex Backtesting Software for 2020 - Admiral Markets

Is forex tick data streamed from one broker enough to gauge an approximation of the "real volume"?

Forex is decentralized so it's very hard to gauge the real volume of the pairs. I can't imagine streaming tick data from multiple major forex brokers to aggregate their data just to determine the volume. It'd be too much work for an individual trader like me, and too much work for my computer, too.
So I was instead thinking of using the tick data streamed from the one broker that I'm using to derive approximate volume, which I hope will be close enough to the actual volume.
I thought of a few ways to use the tick data streamed from my broker's MT4:
A. calculate the sum of the number of ticks from a given time window (ex: number of ticks from the last 30 seconds)
B. calculate the sum of the "Volume" values of the ticks from a given time window (in this case, the "Volume" means MQL4's built-in variable Volume, not the actual volume)
And then do some further calculations, such as generating moving averages on A or B.
One possible problem that will probably degrade the quality of the above calculations would be that MT4's EA can drop newer ticks if the previous onTick() event is still running when the newer ticks arrive.
I am not using any live data yet. Currently, I'm only using historical tick data downloaded from truefx.com and histdata.com to do my back tests; both websites' tick data seem to be good enough for me.
Has anyone used tick volume from a single data source to derive approximate volume with acceptable level of accuracy successfully? How reliable is my method of gauging forex volume?
submitted by twistedmush to algotrading [link] [comments]

Is forex tick data streamed from one broker enough to gauge an approximation of the "real volume"?

Forex is decentralized so it's very hard to gauge the real volume of the pairs. I can't imagine streaming tick data from multiple major forex brokers to aggregate their data just to determine the volume. It'd be too much work for an individual trader like me, and too much work for my computer, too.
So I was instead thinking of using the tick data streamed from the one broker that I'm using to derive approximate volume, which I hope will be close enough to the actual volume.
I thought of a few ways to use the tick data streamed from my broker's MT4:
A. calculate the sum of the number of ticks from a given time window (ex: number of ticks from the last 30 seconds)
B. calculate the sum of the "Volume" values of the ticks from a given time window (in this case, the "Volume" means the MQL4's built-in variable Volume, not the actual volume)
And then do some further calculations, such as generating moving averages on A or B.
One possible problem that will probably degrade the quality of the above calculations would be that MT4's EA can drop newer ticks if the previous onTick() event is still running when the newer ticks arrive.
I am not using any live data yet. Currently, I'm only using historical tick data downloaded from truefx.com and histdata.com to do my back tests; both websites' tick data seem to be good enough for me.
Has anyone used tick volume from a single data source to derive approximate volume with acceptable level of accuracy successfully? How reliable is my method of gauging forex volume?
submitted by twistedmush to Forex [link] [comments]

Is forex tick data streamed from one broker enough to gauge an approximation of the "real volume"?

Forex is decentralized so it's very hard to gauge the real volume of the pairs. I can't imagine streaming tick data from multiple major forex brokers to aggregate their data just to determine the volume. It'd be too much work for an individual trader like me, and too much work for my computer, too.
So I was instead thinking of using the tick data streamed from the one broker that I'm using to derive approximate volume, which I hope will be close enough to the actual volume.
I thought of a few ways to use the tick data streamed from my broker's MT4:
A. calculate the sum of the number of ticks from a given time window (ex: number of ticks from the last 30 seconds)
B. calculate the sum of the "Volume" values of the ticks from a given time window (in this case, the "Volume" means MQL4's built-in variable Volume, not the actual volume)
And then do some further calculations, such as generating moving averages on A or B.
One possible problem that will probably degrade the quality of the above calculations would be that MT4's EA can drop newer ticks if the previous onTick() event is still running when the newer ticks arrive.
I am not using any live data yet. Currently, I'm only using historical tick data downloaded from truefx.com and histdata.com to do my back tests; both websites' tick data seem to be good enough for me.
Has anyone used tick volume from a single data source to derive approximate volume with acceptable level of accuracy successfully? How reliable is my method of gauging forex volume?
submitted by twistedmush to quant [link] [comments]

Is forex tick data streamed from one broker enough to gauge an approximation of the "real volume"?

Forex is decentralized so it's very hard to gauge the real volume of the pairs. I can't imagine streaming tick data from multiple major forex brokers to aggregate their data just to determine the volume. It'd be too much work for an individual trader like me, and too much work for my computer, too.
So I was instead thinking of using the tick data streamed from the one broker that I'm using to derive approximate volume, which I hope will be close enough to the actual volume.
I thought of a few ways to use the tick data streamed from my broker's MT4:
A. calculate the sum of the number of ticks from a given time window (ex: number of ticks from the last 30 seconds)
B. calculate the sum of the "Volume" values of the ticks from a given time window (in this case, the "Volume" means MQL4's built-in variable Volume, not the actual volume)
And then do some further calculations, such as generating moving averages on A or B.
One possible problem that will probably degrade the quality of the above calculations would be that MT4's EA can drop newer ticks if the previous onTick() event is still running when the newer ticks arrive.
I am not using any live data yet. Currently, I'm only using historical tick data downloaded from truefx.com and histdata.com to do my back tests; both websites' tick data seem to be good enough for me.
Has anyone used tick volume from a single data source to derive approximate volume with acceptable level of accuracy successfully? How reliable is my method of gauging forex volume?
submitted by twistedmush to Daytrading [link] [comments]

Question on testing process when building a new algo/strategy

Just a quick question for those that have gone through this before - I think I have finished coding a basic starting point for my algo, and I now want to start forward testing. How do you all formally run through the testing process?
For a bit of background, I am from a non-coding background, currently work in investment. I only picked up coding recently and starting building something in MQL4 for forex trading (I chose forex mostly due to the hassle around clearance and PAD from my employer on other asset types such as equity, CFDs or options).
My thinking so far is;
  1. Run the algo on a number of pairs (say 5 or so) over a period of time and review the output to ensure that the trade entries, exits and signals that it's generating tie back to my original idea/thesis.
  2. Forward test on a demo account for period of time (say 1-3 months), again reviewing the outcome of trades and ensuring it still ties back to my original idea/thesis and that there are no anomalies.
  3. Commit a very small amount of money (say $100) to test it out. This is possible in forex with retail brokers using Metatrader and the small lot/trade sizes. Continue to monitoreview trading outputs and ensure they tie back to original idea/thesis.
  4. From here, if and only if it is profitable, consider investing more money into the account and spending more time looking for ways to optimise the algo.
Does this sound ridiculous, or am I on the right path? Just wanted to get an idea from those who are more experienced and been through this before.
Thanks in advanced to anyone that is able to provide some valueable insight.
submitted by ivanyoz to algotrading [link] [comments]

Don't Forget To Do This When You Backtest On MT4!!! Find best settings for your Forex MT4 Expert Advisor. NO backtesting or optimisation skills required How to Forex backtest EA or indicator in Your Mt4 Forex platfrom or Tarminal (Tutorial ) How to use 1 Forex MT4 Expert Advisor trade many currencies, timeframes, settings at the same time MT4 Multi-Chart Backtesting...(en) - YouTube Metatrader 4 - 99% Back-testing in 5 Simple Steps - YouTube JAGfx Back Testing Basics on MT4 Strategy Tester

5 Steps To Becoming A Successful Forex Trader; MQL4 Source Codes; Contact Us; Sign me up! How to Backtest a Strategy in Forex (Backtesting Guide) Team ForexBoat September 15, 2020; No comments; Sometimes you may have what you think is a winning trading strategy only for it to fail after a couple of trades. The fact is that not every strategy works. To figure out how effective your strategy is ... TimeCurrent - Date and Time - MQL4 Reference 23569. William Roeder 2017.09.10 18:51 #4 . Can't be done, except using DLL/Windows call. During testing in the Strategy Tester, TimeGMT() is always equal to TimeCurrent() simulated server time. TimeGMT - Date and Time - MQL4 Reference . During testing in the Strategy Tester, TimeLocal() is always equal to TimeCurrent() simulated server time ... You'll notice that the time will never change in the back tester. It'll stay the same on each candle. Now, when you put it on a chart (not backtesting), it'll show the last known server time (tick time, mostly). That's the problem. I need it to show the current backtesting time. else {time_OK=false;} The backtest period going from 28 february 2015 to 28 february 2016. However, the ea operates only in march 2015(where it starts) and in february 2016. Backtesting is very simple, open the strategy tester in MetaTrader4, select the Expert Advisor to test from the drop down menu, select the currency and time frame, select the dates of start and end, set the parameters for the expert advisor and from the Expert Properties and the START. MetaTrader will run the Expert Advisor on the historical data and present the results. Another popular forex strategy backtesting option on MT4 is 'Forex Tester'. Unlike Strategy Tester, Forex Tester is not free, and can be used both for manual and automated trading activities. This automated backtesting software provides traders with pre-formed strategies. It has 10 manual programs and 5 expert advisors, along with 16 years of historical price data, and a risk calculation and ... In this little Expert Advisor we are going to find out if the market is closed or if it is open, like right now. The Expert Advisor contains some external variables where you can define when the market opening and closing time is for your country. In my case here in Germany the trading hours start at 9:00 am and they end at 5:30 pm – in German notation that is 17:30 so, when we see 9:00 this ...

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Don't Forget To Do This When You Backtest On MT4!!!

How to use 1 Forex MT4 Expert Advisor trade many currencies, timeframes, settings at the same time Thanks for watching this Expert4x video Information links below) :- Please LIKE it and or leave a ... Find best settings for your Forex MT4 Expert Advisor. NO backtesting or optimisation skills required NO backtesting or optimisation skills required Expert4x In this Bucharest Forex trading vlog, I show you a very important step to go through after you've made your trading strategy backtest on MT4. This is mainly for the strategy tester of MetaTrader 4 ... Multi-Timeframe backtest demo. You only need Period_Converter_OptMOD.mq4. Demonstrates how to back-test your Expert Advisers (EAs) with Metatrader and get 99% modelling quality in 5 simple steps. The back-test is executed with qualit... I am currently using the Soft4FX Forex Simulator which is the one you see in the video. Disclaimer: Forex trading is not appropriate for everyone. There is a substantial risk of loss associated ... This tutorial you can be used across all Broker and all time frames.you can Test all EA and any Indicator. I hope you enjoy this tutorial and please like subscribe and comment if you have any ...

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