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.

How to Select a Trading Robot for Testing

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

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" and enable the required instruments.

Choosing Testing Parameters

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

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

The strategy tester allows you to emulate network delays during an Expert Advisor operation in order to bring testing closer to real conditions. A certain time delay is inserted between placing a trade request and its execution in the strategy tester. From the moment of sending a request till its execution, the price can change. This allows you to evaluate how trade processing speed affects the trading results.

In case of the instant execution mode, users can additionally check the EA's response to a requote from the trade server. If the difference between requested and execution prices exceeds the deviation value specified in the order, the EA receives a requote.

Please note that delays work only for trades performed by an EA (placing orders, changing stop levels, etc.). For example, if an EA uses pending orders, delays are only applied to placing an order but not to its execution (in real conditions, execution occurs at the server without a network delay).

No delay

In this mode, all orders are executed at requested prices with no requotes. The mode is used to check an EA in "perfect" conditions.

Random delay

This mode allows testing an EA in conditions that are close to real ones. The delay value is generated 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%.

Fixed delay

You can select one of the predefined delay values or set a custom one. The platform measures the ping to the trade server and allows you to set that value as a delay in the tester so that you are able to test a robot in the conditions that are as close to the real ones as possible.

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 deposit currency of the currently connected account is used by default, but you can specify any other currency. However, please note that cross rates for converting profit and margin to the specified deposit currency must be available on the account, to ensure proper testing. Only symbols with the "Forex" or "Forex No Leverage" calculation type can be used as cross rates.

Next select the leverage for testing and optimization. The leverage influences the amount of funds reserved on the account as the margin on positions and orders.

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.

Parameter sets. You can at any time return to the current settings of your MQL5 program by saving a set of its parameters using a context menu:

• To save the parameters as a set-file on your computer, click "Save". These files can be moved between platforms on different computers or sent to other users.
• To save parameters for future use in the current platform, click "Save Version". These saved presets will be available then in the "Load Version" sub-menu. They can be applied at any time by selecting an appropriate version from the list.

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".

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. 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" 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.

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.

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:

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 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 (a Buy deal) and (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.

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.

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.

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

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.

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