Introduction
The Strategy Tester provided in MetaTrader 5 has powerful features for solving a variety of tasks. It can be used to test both complex strategies for trading instrument baskets, and single strategies with simple entry and exit rules. However, such a vast functionality does not always prove useful. Often, we just need to quickly check a simple trading idea or make approximate calculations, the accuracy of which will be compensated by their speed. The standard tester in MetaTrader 5 has an interesting but rarely used feature: it can perform computations in the math calculations mode. This is a limited mode for running the strategy tester, which nevertheless has all the advantages of full-fledged optimization: cloud computing is available, a genetic optimizer can be used and it is possible to collect custom data types.
Custom strategy tester may be necessary not only for those who require absolute speed. Testing in the math calculations mode opens the way for researchers as well. The standard strategy tester allows simulating trade operations as close to reality as possible. This requirement is not always useful in research. For example, sometimes it is necessary to obtain an estimate of the net efficiency of a trading system, without taking slippage, spread and commission into account. The math calculations tester, developed in this article, provides such ability.
Naturally, one cannot square the circle. This article is no exception. Writing a custom strategy tester requires serious and time-consuming work. The goal here is modest: to show that with the right libraries, creating a custom tester is not so difficult as it might seem at first.
If the topic proves interesting to my colleagues, this article will see a continuation that develops the proposed ideas.
The Strategy Tester provided in MetaTrader 5 has powerful features for solving a variety of tasks. It can be used to test both complex strategies for trading instrument baskets, and single strategies with simple entry and exit rules. However, such a vast functionality does not always prove useful. Often, we just need to quickly check a simple trading idea or make approximate calculations, the accuracy of which will be compensated by their speed. The standard tester in MetaTrader 5 has an interesting but rarely used feature: it can perform computations in the math calculations mode. This is a limited mode for running the strategy tester, which nevertheless has all the advantages of full-fledged optimization: cloud computing is available, a genetic optimizer can be used and it is possible to collect custom data types.
Custom strategy tester may be necessary not only for those who require absolute speed. Testing in the math calculations mode opens the way for researchers as well. The standard strategy tester allows simulating trade operations as close to reality as possible. This requirement is not always useful in research. For example, sometimes it is necessary to obtain an estimate of the net efficiency of a trading system, without taking slippage, spread and commission into account. The math calculations tester, developed in this article, provides such ability.
Naturally, one cannot square the circle. This article is no exception. Writing a custom strategy tester requires serious and time-consuming work. The goal here is modest: to show that with the right libraries, creating a custom tester is not so difficult as it might seem at first.
If the topic proves interesting to my colleagues, this article will see a continuation that develops the proposed ideas.
