Now I have your attention, because it’s a pretty big claim. After following this thread http://forums.babypips.com/free-forex-trading-systems/65546-millionaire-ea-417-million-profit-5-years.html I am offering my process for criticing by those who know better and as a starting point for those who don’t. At the end I will provide a link to where you can view an EA I have modified with a lot of thanks to my programmer Brian (he knows you he his, cheers so much bro). To me this shows that whether for the right or wrong reasons I believe my technic works and can be relied upon.
Also please excuse any duplication in this thread that I have made in the above thread.
First I’ll start with a quote from The Original Turtles Trading Rules
"There is no substitute for statistically valid historical research when developing mechanical trading systems. In practice, this means learning how to program a computer to run simulations of trading system performance.
There is a lot of good information on curve-fitting, over-optimization, trading statistics and testing methodologies on the web and in books, but the information is a bit hard to find amongst the hype and bull. Be skeptical, but keep an open mind, and your research will pay off."
To me, EA development is about allowing the trader to do that “statistically valid historical research” to create their mechanical system. But the key words are statistically valid. That means >99% modeling quality. And we all know that’s impossible with MT4 as a stand alone software.
I also want to acknowledge ClarkFX at this stage to. If you haven’t, head here and read this thread http://forums.babypips.com/expert-advisors-automated-trading/52287-tutorial-complete-backtesting-analysis-setup-100-free.html. This is where I started my journey. My knowledge of MT4, strategy tester, back testing, etc is but the snow that falls on the tip of the iceberg that is ClarkFX knowledge. Thank you for your words my friend.
For this process we will need the following software set up:
• A separate dedicated MT4 platform
• StrategyQuant’s Tick Data Downloader
• Tickstory Lite and/or Tickdata Suite
We are going to go to a lot of effort to collect and process our data. And there will be a lot of data. We’re talk 10’s even 100’s of gig worth. And it’s going to take time. We want to protect that investment by using a separate platform. No need for an account or license. Don’t need our data contaminated by incoming server data. Keep your back testing separate to our trade account. Here’s a easy one http://files.metaquotes.net/metaquotes.software.corp/mt4/mt4setup.exe
StrategyQuant’s Tick Data Downloader
This free software will allow us to download our tick data directly from Dukascopy. More information and download link can be found at StrategyQuant’s website here StrategyQuant Tick Data Downloader . Two things, first I recommend creating a seperate file on you C: drive to install this in. It just avoids windows saving/file modification issues. Secondly the latest version is 2.3. I use 2.2 still. If it ain’t broke, don’t fix it.
Tickdata Suite (Optional)
This is the first MT4 patch I used. All the information and download links can be found here. Forex Tick Data | Birt’s EA review . Now, you will learn more there than I can talk about here. But I have two issues with it. One, you have to pay a small reoccurring license fee. Two, it’s still a lot of effort to download and convert this data. But if you do all of this, it has the big advantage of having variable spread feature for back testing. Tickdata Suite is designed as a standalone patch and can be used as such. I use it because it seems to add a high degree of stability to my system. It is optional and if you don’t want to pay the fee, you don’t need to install it. If you do, download and attach to your new MT4 platform first.
This is the program I currently use to convert my data and run my MT4 platform from. All you need to know and the download link can be found here Tickstory - The Historical and Real-time Market Database for Traders . Best of all its free but fell to donate to the lads. Its great work they are doing. Again, install Tickstory Lite into a separate file on your C: drive. Once installed go into its settings and link it to your MT4 platform. Tickstory Lite comes with a full help guide and user forum.
So now we’re ready to collect some data.
Right, raw tick data is available readily from wherever it is you want to get it. It is your choice how you obtain it. I source my data from Dukascopy. Their raw tick data is very high quality. Any issues I have with it is that it is missing data, not much just a little. So little that it appears to have no bearing on my results.
I use StrategyQuant’s Tickdata downloader for this task. It’s as simple as going into the program, choosing the pair, selecting the period to download and hit start. Go into the Configure settings first but and untick the automatic export to CSV function. One, we are only interested in the raw tick data not converted CSV files. Two, it takes time to convert this data.
Tickstory Lite also can be used to import data directly from Dukascopy. However I find it much slower than Tickdata downloader.
Once you have downloaded your data files you then need to transfer them to Tickstory Lite.
Use windows explorer to open up Tickdata Downloader. Inside find the tickdata file, open that and you will see your downloaded pairs. Copy those files. Next locate Tickstory Lite on C:drive. Open and paste directly in you pair files.
We are now ready to convert our files for MT4 to use.
Raw tick data from Dukascopy comes as a .bi5 file. MT4 cannot read these files so they have to be converted to .csv, .fxt and .hst files. Luckily for us, Tickstory Lite is going to make a hard job very simple. Open up Tickstory Lite select the pair you want and click on the export to MT4 button. A pop up screen appears, you input your settings and hit OK. The program will then collect, convert and export the data directly to your MT4 platform ready for use in strategy tester.
The big plus in Tickstory Lite is an inbuilt script you deploy on you trading account and it collects all your brokers specific settings. Spread, lot size, leverage, swap etc. It stores this as a .mt4config file. You then use that information in the settings allowing your data files to be fine tuned specifically to your account and broker.
Now the fun begins. The final stage is to launch MT4 for back testing. First, open Tickstory Lite. Next click on the launch MT4 terminal button. This is important. In order to obtain 99.9% modeling quality, MT4 strategy tester needs to be told where to obtain the files it has to read. By default this is from its history center. When you launch using Tickstory Lite the patch tells it to look for the .fxt and .hst files you have carefully created. And this is where you get your modeling quality from.
So now you simply set up a back test as normal and watch and admire your handy work as each bar is formed tick by tick by tick.
Now if you are lucky enough to develop an EA that works it’s time to forward test in a demo account. This is the stage I am up to with my particular EA. Bots behave very differently during demo testing compared to what might have been.
My Bot has had money management issues, placing multiple pending orders, not placing orders and excessive modify pending order issues. These issue weren’t present during back testing and could only be resolved once forward testing takes place.
I have had this bot running from mid Feb. Can you tell where I got the bugs sorted out.?
Here’s the full detail statement.
BnB Turtle Scalper.zip (9.64 KB)
Also, don’t limit yourself to just one demo account. Test your bot on a foreign broker. I am also testing this bot in a demo account competition being run at octaFX.com. If you follow this link you can see how it is performing. Forexbob’s statistics in round 1 | OctaFX
It’s not performing as well, but then my data has been optimized for my broker so that is to be expected. But it is performing well so that tells me my bot has a sound theory to it.
The great unknown. As I said at the beginning, the purpose of an EA to me, is to allow one to do the historical research required to develop a mechanical trading system. Not for live trading. With that said there is a time and place for everything and we can’t always be at the charts analyzing the markets. They do have their uses.
But by now you show know the system inside out and be ready to trade live and manually. Your EA is now your trade advisor, providing you alerts for opportunities. It’s up to you to fire the trigger.
So there you have it. How I go about getting 99.9% modeling quality out of MT4 strategy tester. A process where I can be confident in the quality of my results.