How I get 99.9% modelling quality on MT4

[spino1981]

Great post and explanation, I will definitely use some of these suggestions

Thanks Bobbillbrowne

[ropunzel]

@bobbillbrowne

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.

Software

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

MT4 Platform

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.

Tickstory Lite

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.

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.

File conversion

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.

Back Testing

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.

Forward Testing

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.

Live Testing.

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.

Tickstory Lite version 1.8.5 is proving problematic. I cannot launch MT4 build 1010 through it although it should be supported; therefore I cannot Back-test with 99% model quality.

The Tick story forum posts suggest that this is a recurring problem for multiple users, I am trying to register and submit my own query there but still waiting for the activation email to log into the forum

So far not so good.

[_bob]

Tickstory Lite version 1.8.5 is proving problematic. I cannot launch MT4 build 1010 through it although it should be supported; therefore I cannot Back-test with 99% model quality.

The Tick story forum posts suggest that this is a recurring problem for multiple users, I am trying to register and submit my own query there but still waiting for the activation email to log into the forum

So far not so good.

G’day bro.

This is still the very method I use to collect, convert and test with. All runs perfect for myself although I’m still running 1.8.4. If it ain’t broke don’t fix it. I will go into this a bit more later.

Can I ask a couple of questions bro? Do you run a separate platform for testing? I don’t understand why but system in-stability can occur if you also have a live data feed coming into the testing platform. Guess that’s something to do with how MT4 stores data. Second, do you run Brit’s Tickdata suite as well?

As a patch, it is far superior to back test with over tickstory. You can open multiple windows, no restrictions on data size, variable spread, slippage feature and a no update feature for the platform. There is a small monthly fee but personally I think it is so worth it to have complete confidence in you back testing process.

Now, to the if it ain’t broke don’t fix it statement. Keep copies of previous builds metaeditor.exe and terminal.exe files. These problems you are experiencing do happen on a regular basis every-time MT4 upgrades. The simplest and best solution I have found is to just reinstall the previous last build version of these files you where comfortable testing with prior. Up to build 1010 I was testing on build 910.

Hope some of that helps, happy backtesting

Bob

[_bob]

Also, please remember the 99.9% figure is just that, a figure. It is nothing more that text in the header of a .fxt file. However it is representative of the effort one has put in to secure quality data for the purpose of back testing.

[ropunzel]

Also, please remember the 99.9% figure is just that, a figure. It is nothing more that text in the header of a .fxt file. However it is representative of the effort one has put in to secure quality data for the purpose of back testing.

Thanks for this and the main post. I’m sure it will work out finally. Can you post the Terminal.exe file for MT4 Build 910 here.

[benns85]

hi bobbillbrowne…
i already follow your tutorial but i have some issue.
i’m already using the tick story lite and purchase it license too, but when i’m exporting to MT4 there was an error message :

it was an error message and the status is complete but when i opened the folder where the file exported the file size is only 1kb

any solution for this one? thanks

[_bob]

any solution for this one? thanks

Sorry bro, but the answers is going to be yes and no. Yes I do have a solution but it will be a relatively small cost.

First the no. On the information you have shown, it’s impossible to know what went wrong. My two ports of call would be first their user manual Tickstory Help and Knowledge Base [Manual & Knowledge Base] then the forum Tickstory • Index page .

Now for the yes solution but cost money. Delete tickstory off your computer and buy Tickdata Suite v2.2. https://eareview.net/ . As of October last year, to anyone serious about using MT4 as a backtesting program this is only plugin you need. All that ginning around in the first few post are now void. And their support is first class. I had a major problem with the last update. I perform computer maintenance on a Sunday. I updated the plugin and when to restart MT4 and nothing. Contacted support and had a reply by 8:15am GMT. 3 hrs later problem solved. Not bad on a 8 hr time difference and on a Sunday. Turns out cCleaner is not that great a piece of software. It tends to delete some necessary files plugins like Tickdata Suite need. Consequently the .exe files were deleted and could not be re-installed.

But I’m not here to market or promote anyone. I believe it is up to the individual to do their own research. So I wish you the best and hope you find some solutions with the information I have provided.

Bob

[thebigdig]

Is this thread still alive?

I see that the links in the very first post are no longer working. Are they still relevant to read? If so is it possible to read them anymore?

Thanks for your time. Very much appreciated

Fred