- 6월 7, 2013
- 게시자: 외환 위키 팀
- 범주: 전문 고문
Tick Data Suite - Birt's EA review
Backtesting Forex strategies is certainly one of the most efficient ways of gauging their profitability potential. I would go as far as saying it’s THE best way unless you’re in possession of very extensive forward testing results. 하지만, with Metatrader 4 – the most popular Forex platform nowadays – backtesting is inherently flawed. 메타트레이더 4 does not store the actual ticks coming from the broker’s server; the best data at its disposal is data from the M1 timeframe – it only has the open, high, 낮은, close and number of ticks for each minute. 그래서, if it only has these for values, you might be wondering how does it produce the ticks that happened within each minute and the answer is easy: it generates fake ticks through interpolation based on the tick count for each minute. If you didn’t understand what’s the problem yet, I’ll point it out for you: the ticks generated this way are not the real ticks, they are essentially fake ticks! 뿐만 아니라, but Metatrader 4 is only able to backtest your robot using the fixed spread, whereas all good brokers nowadays use variable spread! It simply uses the current spread of your broker so, 예를 들어, if you’re testing an Asian scalper robot during the day, the results will be completely misleading.
지금, if you have a strategy that deals with hundreds of pips for each trade and only closes at a stop loss or take profit, the fact that the ticks in your backtest are not the actual ticks does not really matter that much. 하지만, if you have a scalping strategy that takes profit at 10-20 pips or if you have a strategy that follows the market closely with a trailing stop, backtesting with ticks that...
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