Alan's Forex Blog

Alan's Forex Blog

How MT4 Backtesting Modeling Quality Is Calculated

Posted: 09 Aug 2010 04:31 PM PDT

Hi everyone. Today’s post is sort of an educational informational tidbit for all you MT4 junkies out there. One of the somewhat obscure questions I see on various forum is by what formula is the modeling quality calculated by the MT4 backtester. I’ve got the answer, and here it is:

ModellingQuality = ((0.25*(StartGen-StartBar) + 0.5*(StartGenM1-StartGen) + 0.9*(HistoryTotal-StartGenM1)) / (HistoryTotal-StartBar))*100%;

where:

  • HistoryTotal – the total amount of bars in history;
  • StartBar – the number of bar with which the testing was started. Modeling starts at at least 101st bar or the bar corresponding with the initial date of test limits;
  • StartGen – the number of bar with which the modeling on the nearest timeframe started;
  • StartGenM1 – the number of bar with which the modeling on minutes started;

at that:

  • The distance between the beginning of modeling of databases for the nearest timeframe and the beginning of modeling on the nearest timeframe data has a weighting factor of 0.25;
  • The distance between the beginning of modeling on the nearest timeframe data and the beginning of modeling on minutes has a weighting factor of 0.5;
  • The distance between the beginning of modeling on minutes and the end of history data has a weighting factor of 0.9;

The following colors are used in the color diagram:

  • Lime – modeling on minutes
  • Deeper green colors show modeling on large timeframes
  • Pink color – pure fractal modeling of the databases of smaller timeframe
  • Gray color – modeling limitation by date

From the formula you can see, that 90% is the maximum modelling quality possible. However if you give the backtester BETTER (higher quality) data such as raw tick data you can increase the modeling quality to 99%. Essentially the MT4 backtester interpolates price data from M1 chart data. If you give it TICK DATA it naturally has MORE data to work with and hence the accuracy of your backtest will increase.

I’ve got a post that teaches you step-by-step how to get 99% modeling quality. You can check out that post over here:

http://alansforexblog.com/2010/06/14/metatrader-backtesting-how-to-get-99-modeling-quality/

This method however does have some limitations. One that comes first to mind is that due to a file size limitation with MT4’s backtester you can run a backtest only is 1 to 2 year chunks. See the comments section of the above link for details.

Ok, I’m out.

Cheers,

Alan

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