MetaTrader 5 Help

Strategy Testing

The Strategy Tester allows you to test and optimize trading strategies (Expert Advisors) before using them for live trading. During testing, an Expert Advisor with initial parameters is once run on history data. During optimization, a trading strategy is run several times with different sets of parameters which allows selecting the most appropriate combination thereof.

The Strategy Tester is a multi-currency tool, which allows you to test and optimize strategies trading multiple financial instruments. The tester automatically processes information of all symbols that are used in the trading strategy, so you do not need to manually specify the list of symbols for testing/optimization.

The Strategy Tester is multi-threaded, thus allowing to use all available computer resources. Testing and optimization are carried out using special computing agents that are installed as services on the user's computer. Agents work independently and allow parallel processing of optimization passes.

An unlimited number of remote agents can be connected to the Strategy Tester. In addition, the Strategy Tester can access the MQL5 Cloud Network. It brings together thousands of agents around the world, and this computational power is available to any user of the trading platform.

In addition to Expert Advisor testing and optimization, you can use the Strategy Tester to test the operation of custom indicators in the visual mode. This feature allows to easily test the operation of demo versions of indicators downloaded from the Market.

How to Test

Testing of an Expert Advisor is its single run with fixed parameters using historical price data. It allows you to test how the strategy works before you use it on a real market.

Watch the video: How to test Expert Advisors and Indicators before purchase

Watch the video: How to test Expert Advisors and Indicators before purchase

Watch the video to learn how to test a trading robot before you purchase it from the Market. Every product on the Market is provided with a free demo version, which can be tested in the Strategy Tester. Watch the video for details.

How to Select a Trading Robot for Testing

Click "Test Test" in the context menu of an Expert Advisor in the Navigator window.

How to select a trading robot for testing

After that the Expert Advisor is selected in the Strategy Tester.

Enable Required Symbols in Market Watch for Multi-Currency Expert Advisors

The Strategy Tester allows backtesting strategies that trade multiple symbols. Such trading robots are conventionally called multicurrency Expert Advisors.

The tester automatically downloads the history of required symbols from the trading platform (not from the trade server!) during the first call of the symbol data. Only the missing price history data are additionally downloaded from the trading server.

Before you start testing a multi-currency Expert Advisor, enable the symbols required for testing in the Market Watch. Open its context menu, click "Symbols Symbols" and enable the required instruments.

Enable required symbols in Market Watch for multi-currency Expert Advisors

Choosing Testing Parameters

Before you start testing, select the financial instrument to test the trading robot operation on, the period and the mode.

Choosing testing parameters

Symbol and period

Select the main chart for testing and optimization. Symbol selection is required to provide the triggering of OnTick() events contained in Expert Advisors. Also, the selected symbol and period affect special functions in the Expert Advisor code that use current chart parameters (for example, Symbol() and Period()). In other words, the chart to which the Expert Advisor is attached should be selected here.

Date

Select the testing and optimization period. You can select one of predefined periods or set a custom time interval. To set a custom period, enter the start and end dates in the appropriate fields to the right.

The specific feature of the tester is that it additionally downloads some data preceding the specified period (to form no less than 100 bars). This is required for a more accurate testing and optimization. For example, if you test on a one-week timeframe, two additional years are downloaded.

If there is not enough history data for forming additional 100 bars (it is especially significant for the monthly and weekly timeframes), for example, when specifying a start of testing close to the start of existing history data, then the start date of testing will be automatically shifted. An appropriate message is added to the Strategy Tester journal.

Forward

This option allows you to check the results of testing in order to avoid fitting to certain time intervals. During forward testing, the period set in the Date field is divided into two parts in accordance with the selected forward period (a half, one third, one fourth or a custom period when you specify the forward testing start date).

The first part is the period of back testing. It is the period of Expert Advisor operation adaptation. The second part is forward testing, during which the selected parameters are checked.

Execution

Select trading execution mode to be emulated in the Strategy Tester. Two execution modes are available: Normal and Random Delay.

In the normal mode, all orders are executed at requested prices without requotes etc.

The Random Delay mode allows testing an Expert Advisor in conditions maximally close to real ones. Price can change from the moment of request sending before it is executed. Depending on the deviation set in the order it can be executed at the current price (if it is within the deviation) or a requote can be returned.

Testing in this mode allows you to correctly program handling of such situations.

Simulation of a delay is performed for all requests sent from the platform (order placing, modification of stop levels, etc.)

Delayed execution is performed as follows: a number from 0 to 9 is selected randomly - this is the number of seconds for a delay; If a selected number is equal to 9, another number from the same range is selected randomly and added to the first one.

Thus, the possibility of a delay for 0-8 seconds is 90%, possibility of a 9-18 second delay is 10%.

Tick generation mode

Select one of the tick generation modes:

  • Every tick is the most accurate but also the slowest mode. It emulates all ticks.
  • Every tick based on real ticks is as close to real conditions as possible. It uses real ticks of financial instruments accumulated by a broker. Emulation is not performed. Tick data has larger size. Downloading it may take quite a long time during the first test.
  • 1 minute OHLC — in this mode only 4 prices (Open, High, Low and Close) of each minute bar are emulated.
  • Open prices only — in this mode OHLC prices are also modeled, however only the open price is used for testing/optimization.
  • Math calculations — in this mode the tester does not download history data and information on symbols, as well as does not generate ticks. Only functions OnInit(), OnTester() and OnDeinit() are called. Thus a tester can be used for various mathematical calculations where the selection of parameters is required.

For more information about tick generation, please read the appropriate section.

Initial deposit and leverage

Specify the amount of the initial deposit used for testing and optimization. The currency depends on the deposit currency of the currently connected account. Next select the leverage for testing and optimization.

  • Note that symbol specification does not mean that the tester will use only these history data. The tester automatically downloads information on all the symbols used in the Expert Advisor.
  • Before the start of testing/optimization, all the available price data of the symbol of the main chart are automatically downloaded from the server. It may take quite a long time if the internet connection is slow.
  • Downloading of all data is performed once, only the missing information is downloaded during the next starts.
  • Only the symbols that are currently selected in the Market Watch are available for testing/optimization.
  • The price data of all necessary symbols are automatically downloaded from the server during testing and optimization.
  • Testing starts and ends at 00hr.00m.00s. of the specified dates. Thus the start date of testing/optimization is included in the testing period, while the end date is not included. Testing ends on the last tick of the previous date. Also you cannot specify the end date, which is greater than the current one. In such case, the testing anyway will be performed to the current date (not including it).

Selection of Input Parameters

Input parameters allow you to control the behavior of the Expert Advisor, adapting it to different market conditions and a specific financial instrument. For example, you can explore the Expert Advisor performance with different Stop Loss and Take Profit values, different periods of the moving average used for market analysis and decision-making, etc.

Specify a value for each input parameter.

Selection of input parameters to test

Starting the Test

To start testing, click "Start" on the "Settings" tab. The testing progress is displayed to the left.

Where to View Testing Results

Results of an Expert Advisor testing are displayed on tabs "Result" and "Graph".

Test results

Testing Report

Detailed testing results are displayed on the "Result" tab. The tab contains general testing results, including profit and the number of trades, as well as many statistical values to help assess the performance of the trading robot.

Additional charts visualize the distribution of the number and success of trading operations by hours, days and months, as well as describe the risk parameter of the trading strategy.

See the Testing report section for details.

Testing Graph

On the "Graph" tab, you can visually determine how successfully the Expert Advisor performed on the selected instrument in the selected time interval.

The balance curve (blue line) and the equity curve (green) are shown in the main area of the tab. Dates are shown on the horizontal scale, balance/equity values are shown on the vertical scale.

Balance values are shown on the chart each time they are changed (when a position is closed), equity values are additionally shown with a certain periodicity between balance changes.

The bottom part of the tab features a histogram of the load on deposit, which is calculated as the ratio of margin and equity (margin/equity).

Testing Progress in the Journal

The testing progress is reflected on the "Journal". In addition, messages of the Expert Advisor are added to the Journal. In the visual testing mode, the testing progress can be viewed straight on the chart.

Testing Progress on a Chart

As soon as testing is over, you can open the chart on which the Expert Advisor was tested (selected symbol and period). Click "Open Chart Open Chart" in the context menu of the "Result" tab. All the deals performed by the Expert Advisor during testing are shown on the chart. If a template named tester.tpl is available in folder /profiles/templates of the trading platform, it will be applied to the opened chart. If the template is not available, the default one is used (default.tpl).

If the tested Expert Advisor uses indicators, which run on the testing symbol and period, they are also displayed on the chart. However, if forced unloading of an indicator (the IndicatorRelease function)is implemented in the source code of the Expert Advisor, it is not displayed on the chart.

Testing a Trading Robot on a Forward Non-Optimized Period

Forward testing is the repeated run of the Expert Advisor on a different time period. This feature allows you to avoid parameters fitting in certain areas of historical data.

To start the forward testing, in the Forward field of the Settings tab select the part of the total period for it:

  • No — forward testing is not used;
  • 1/2 — half of the specified period is used for the forward test;
  • 1/3 — one third of the specified period is used for the forward test;
  • 1/4 — a quarter of the specified period is used for the forward test;
  • Custom — specify the forward test start day manually.

Forward period

  • Always the second (latest) part of the total period is taken for the forward testing.
  • The start date of the forward period is marked by a vertical line on the chart.

When the forward testing is enabled, the selected part is separated from the period specified in the "Date" field. The first part is the period of back testing, and the second one is the period of forward testing.

Results of the forward test are displayed on the separate tab "Forward". The start date of the forward period is marked by a vertical line on the chart.

Forward testing results

For details about testing results please read section "Where to view the optimization results".

Visual Testing

In the Strategy Tester of the trading platform, you can test Expert Advisors and indicators in the visual mode. This mode allows to visualize exactly how the Expert Advisor performs trade operations during backtesting. Each trade is displayed on the chart of a financial symbol.

To enable the visual test, select "Visualization" in the settings:

Enable visual testing

  • Visual testing is unavailable when optimization is enabled.
  • Visual testing can only be performed on local agents. If a remote agent is selected for testing, choose a local one using the "Select Select" command in its context menu.

Set up testing options and configuration parameters, then click "Start".

Visual testing runs in a new window, which simulates a separate trading platform: it contains charts, Market Watch and the Toolbox window where you can view trading operations and the Journal.

Testing in the visual mode

Testing process control

To pause, speed up or slow down the testing, use the toolbar. You can also jump to a specific date of the test.

You can conveniently control the testing process via hot keys, combinations are listed next to the menu commands.

Monitoring Expert Advisor testing on a chart

The main purpose of this type of testing is the visual analysis of the Expert Advisor performance. A chart is generated in real time based on emulated historic price data. Trading robot operations are displayed on this chart.

Trading operations are displayed as icons Buy (a Buy deal) and Sell (a Sell deal). A dotted line is displayed between market entries and exits.

  • You can change the appearance of a chart, show indicators or graphical objects on it using templates. For a template to be applied, its name must match the name of the tested Expert Advisor, for example ExpertMACD.tpl. The template should be placed in folder /profiles/templates of the trading platform.
  • A list of symbols available in the chart mode is limited to the main testing symbol, as well as the symbols whose data are used by the Expert Advisor.
  • The chart timeframe cannot be changed. The period selected in the settings is used for the main testing chart. Periods requested by the Expert Advisor are used for other symbols.
  • To switch between symbols, use the "View — Charts" menu.

Viewing price data in Market Watch

The Market Watch window shows prices generated during testing. It is similar to the Market Watch of the trading platform, but has some specific features. To show/hide this window, use the Market Watch command in the View menu or press Ctrl+M.

Market Watch during visual testing

The Symbols tab features the current price information of financial instruments. The list of displayed symbols is limited to the main testing symbol, as well as the symbols whose data are used by the Expert Advisor.

The Ticks tab contains a chart of prices generated during testing. The number of displayed ticks is limited to 64,000.

Viewing details of bars and indicator values in the Data Window

The data window displays information about the prices (OHLC), date and time of a bar, spread, volume and indicators. Here you can quickly find information about a particular bar and applied indicators at a selected point of the chart. The window can be enabled or disabled by clicking "Data Window" in the View menu or pressing Ctrl+D.

Data window during visual testing

The upper part of the window contains the name of a financial instrument and the chart period. Information about the current cursor position on the chart is shown below. Information about indicators open in separate subwindows is shown in separate blocks.

Viewing details of trades in the Toolbox

For a detailed study of the trades performed by the Expert Advisor, use the Toolbox window. It has several tabs with the following information:

  • Current open positions and pending orders
  • The history of orders and deals
  • The history of Expert Advisor's trade requests, including requests to modify pending orders, stop-level of positions, etc.

Information about trade operation parameters is available in sections Trade and History.

Viewing details of trades in the Toolbox

Additional details about testing are available in the Journal. It contains information about testing and actions of the Expert Advisor performed during the test.

As long as the visualizer is open, the logs of testing agents are not sent to the Strategy Tester of the trading platform. Nevertheless, they can be viewed via the trading platform using the "Local Journals of local agents" command in the context menu.

Testing indicators in the visual mode

The visual testing mode allows you to monitor the behavior of indicators on historic data. This feature allows you to easily test an indicator before purchasing it from the Market. Download the free demo version and run the indicator in the Strategy Tester.

Select the type of the program "Indicators", then select the indicator and click "Start". The visualization mode is enabled automatically. The rest of the parameters are set in the same way, as during testing of trading robots.

Testing indicators in the visual mode

The behavior of the indicator is shown on a chart, which is plotted based on a sequences of ticks simulated in the tester.