The tick data section of eareview.net is a detailed guide that will lead you through the whole process of tick data backtesting, starting from where to acquire free historical Forex tick data, how to download it and how to use it in backtesting Metatrader 4 expert advisors to obtain a 99% modeling quality. If you’re not sure what backtesting is, it’s probably a good idea to purchase the Metatrader Backtesting and Optimization Course, which is geared toward people that are new to Forex and Metatrader 4 backtesting.
This page is divided into several sections:
In general, backtesting using the data from the MT4 history center might be good enough for EAs that are not scalping or pip hunting. However, if you’re dealing with such an EA or any kind of EA that closes trades within 1-15 pips, even the smallest feed differences might have a very large impact.
The issue is caused by the Metatrader terminal not having access to the real tick data, but only to minute bar data in the best case, which forces it to give your strategy backtest “false” ticks generated through a process of interpolation using the data for the smallest timeframe available. This is most likely not important to an expert advisor that uses stoploss and takeprofit targets of over 100 pips, but in the case of robots that attempt to scalp a few pips here and there, your backtest could be completely misleading.
So, it is very important to try testing using data having a quality that is as high as possible which is why I put together some resources, all of which I use in my backtesting when needed.
Tick data guides
- How to download free tick data – details the download process using several free tick data sources: Dukascopy, Oanda, Pepperstone, Integral, MB Trading and Gain Capital.
- Downloading Dukascopy tick data with JForex – a guide that provides an in-depth description of the download procedure using the Dukascopy JForex client.
- Downloading and parsing Dukascopy tick data with Birt’s PHP scripts – a how-to which goes into a lot of detail on the subject using the PHP scripts I wrote for downloading and processing tick data from Dukascopy.
- How to prepare your tick data for Metatrader 4 – guide to converting the tick data to a format compatible with Metatrader 4 (from CSV to FXT).
- How to backtest using tick data with Metatrader 4 – a review of the options available for using tick data with the Metatrader 4 platform.
- How to backtest using tick data – the Tick Data Suite guide – a guide that describes the usage of the Tick Data Suite, the preferred tick data activation method that has a lot of features that its alternative lacks. It is much easier to use and fully supported. See the Tick Data Suite feature matrix for a detailed comparison.
- How to backtest using tick data – the free Birt’s patch script guide – a how-to that delves into the usage and limitations of the free method that enables tick data backtesting.
- FAQ & Troubleshooting
Not directly related to tick data but with built-in support for it, the Walk Forward Analyzer is an excellent tool that lets you optimize your Metatrader 4 expert advisors in steps, in a technique called Walk Forward Analysis which is also described in the Metatrader Backtesting and Optimization Course. Simply put, you optimize your EA for say 3 months, then you test it for the next 1 month to see if the best parameters resulting from the optimization work fine on out-of-sample data, then you optimize it further on the next 3 months and so forth. This tool lets you automate the whole process and does all the runs for you, providing an exhaustive set of configuration parameters and a neat optimization report at the end. Priced at $29.95, it’s a veritable steal; the Walk Forward Analyzer is definitely a must-have for anyone doing serious EA development. But don’t take my word for it, visit the website and download the 14 day trial version. To top it all, Andrew – the programmer – is also very prompt with tech support as well as feature requests that make sense.
Since there are frequent updates to the tick data tools, I decided to keep a Tick data changelog that lists all the changes that the scripts have gone through.
Also, for those interested, the old tick data page is still available but a lot of the information there is now obsolete.