May 1, 2010
Got few spare hours over weekend and want to do some backtesting of MT4 EAs? Bad idea.. the results are likely to be way off. I had such problem with Alpari MT4 today, most likely other brokers have similar problem.All this goes to spread. Yesterday (it was Friday), I was doing backtesting of new version of Libra all the day. Results were promising, credible and nice. I was doing it for whole evening, almost till midnight, after market close. Since tester optimization runs produced hundreds of passes, I’ve got the optimal one and just wanted to run the backtest on those parameters manually, without optimization turned on. And, I was not able to reproduce such results anymore.. no matter how I tried. Wtf? I asked. Does MT4 optimalization is so skewed? Maybe I have some bug in EA? But how could I insert a bug, which makes system earning 200 pips daily during optimalization, while losing 200 pips during regular backtesting? Moreover the optimization results were very close to my forward test observation, while backtesting were not. But, this problem stopped me out, and since it was almost a midnight and I was pissed off, I decided to give it a break and go to sleep.
Today morning I restarted my research to see what is wrong there – are the results of my whole day of backtesting invalid? What went wrong? So, after a short while I wanted to see the backtest visually. When I ran it and started to watch the chart, almost immediately I’ve noticed that orders are filled way of the chart. What the..? I drawn Ask line and Bid line and got shocked. Typically Alpari have like 2-3 pips spread on GBPCHF. But, my test was running on 15.4 pip spread! My system gets about 4-5 pips per trade on average, and is producing thousands of trades.. no wonder that it started to loose big with such spread. I went to symbol properties – yeah, spread is 154 points. I suspect it is the weekend spread.. so no more backtesting over weekend for me, I have to find another task to focus on We’ll see on Monday. So now I’m slightly relieved and hope back
Happy trading and watch your spread…