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Backtesting during weekends

  • #1
  • First Post: Nov 28, 2009 5:59am Nov 28, 2009 5:59am
I am currently doing a lot of finetuning and testing of my new EA and strategy.
However, yesterday when my broker closed for the weekend, their EurUsd spread widened significantly, 4-5 times the normal spread.
I couldn't understand why my ea suddenly took so many losses untill I discovered that the spread was that high during the whole backtesting period, Jan - Oct 2009.
It appears the tester uses the current spread and not the historical ask/bid quotes... It this normal?
  • #2
  • Nov 28, 2009 8:14am Nov 28, 2009 8:14am
Quoting enterfx
I am currently doing a lot of finetuning and testing of my new EA and strategy.
However, yesterday when my broker closed for the weekend, their EurUsd spread widened significantly, 4-5 times the normal spread.
I couldn't understand why my ea suddenly took so many losses untill I discovered that the spread was that high during the whole backtesting period, Jan - Oct 2009.
It appears the tester uses the current spread and not the historical ask/bid quotes... It this normal?
I have the similar problem, I recently changed my broker to (I'm not sure that I can say the name, so I'm sorry if not) Alpari, UK, where I now have spread (when mkt closed) 6.8 pips (Eurodollar)( normal spread is 1.6-2.0). I tested the strategy, which work perfectly on backtest done with my old broker (fix spread). But, I think that bid/ask spread doesn't matter for this -where MarketInfo(MODE_SPREAD) returns an ZERO value (0) - but I don't know where else maybe a problem - anyone has a similar experience and know the solution??

Sorry for my bad English
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  • #3
  • Nov 28, 2009 8:42am Nov 28, 2009 8:42am
Quoting enterfx
I am currently doing a lot of finetuning and testing of my new EA and strategy.
However, yesterday when my broker closed for the weekend, their EurUsd spread widened significantly, 4-5 times the normal spread.
I couldn't understand why my ea suddenly took so many losses untill I discovered that the spread was that high during the whole backtesting period, Jan - Oct 2009.
It appears the tester uses the current spread and not the historical ask/bid quotes... It this normal?
Spread is modeled in backtests.
  • #4
  • Nov 28, 2009 9:07am Nov 28, 2009 9:07am
Quoting Horrigan
Alpari, UK, where I now have spread (when mkt closed) 6.8 pips (Eurodollar)( normal spread is 1.6-2.0).
I am with Alpari and also DukasCopy. It's not unusual that spreads widen just before market close. I saw this happen with several brokers yesterday including Dukas.

Quote
Spread is modeled in backtests.

Thanks for your reply. Is there a way to get around this, i.e program a fixed spread into the EA when market is closed.
  • #5
  • Nov 28, 2009 12:01pm Nov 28, 2009 12:01pm
I have the same problem.

It doesn't really deserve the name "modeling". Backtester uses the last known spread from the server as fixed spread for all backtests.

I assume it will be stored somewhere in the history folder, unfortunately there are only binary files there and the only one for which i know the file format are the .hst files, but these contain only the Bid prices.

If i don't find any documentation for this then i will try the following: Next time the market opens and spreads are "normal" again i will make a copy of the entire folder (maybe a copy of the history folder is enough) and somehow make sure it can't log in anymore.
  • #6
  • Nov 28, 2009 3:23pm Nov 28, 2009 3:23pm
Here's what I did. I have second MT4 platform installed in another folder that I haven't logged into since mid last week. I made sure I was offline before I opened it and was able to backtest with 1.6 pip spread.

It's possible to install several platforms from the same broker. Just chose a different folder while installing and remember to close it down while the spreads are normal.
  • #7
  • Nov 29, 2009 6:00am Nov 29, 2009 6:00am
Ok, problem explained Thanks... I will try to backtest my EA when the mkt opens and gets the "normal" spreads

But, another (maybe stupid) idea. We can, for the backtest, do this:

As we need open a long pos, we use ordersend() with Bid, SL with bid-SL and TP with Bid+PT
To open a short pos, we can define an extern var Spread, this initialize fixed number (i.e. 16(5-decimal) or 2(for 4-decimal)) and use following:
OrderSend(ticket, OP_SELL, Bid+Spread, 0, Bid+Spread+SL, Bid+Spread-PT,0,0.......)
So use the Bid price with fix spread. For backtest it does work, doesn't it??
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  • #8
  • Edited 9:29am Nov 29, 2009 6:16am | Edited 9:29am
Quoting Horrigan
To open a short pos, we can define an extern var Spread, this initialize fixed number (i.e. 16(5-decimal) or 2(for 4-decimal)) and use following:
OrderSend(ticket, OP_SELL, Bid+Spread, 0, Bid+Spread+SL, Bid+Spread-PT,0,0.......)
So use the Bid price with fix spread. For backtest it does work, doesn't it??
No. Like in the real market It simply won't fill your order. You can not insist on buying or selling at Price X when in reality the market price is Y. In backtesting the backtester is the market and it will dictate the prices and fill your orders.
  • #9
  • Jan 30, 2010 10:21am Jan 30, 2010 10:21am
I am currently working around this problem in the following way:

1.) When the market was open and spreads were normal i made a copy of the file symbols.sel which is located in the history folder. This is where Metatrader stores the spread of each pair. I don't know the file structure of this file to generate my own one, so I simply made a backup of the original one during an active session when spreads were normal.

2.) At the weekend I disconnect Metatrader entirely from the Internet. The easiest way to do so is to enter a non-existing proxy server (127.0.0.1 for example) into the settings. After closing Metatrader and replacing the symbols.sel with the old backup copy I made in step 1, Metatrader will now be totally unable to connect to anything, the connection meter in the lower right corner will stay red and backtesting will use the spreads contained in the old symbols.sel file.

3.) When market is open again I just remove the proxy settings and restart MT4. There is no need to worry about the original symbols.sel overwritten in step 2, MT4 will immediately update it with current spreads as soon as it connects to the broker again.
  • #10
  • Jan 30, 2010 8:42pm Jan 30, 2010 8:42pm
Quoting enterfx
Here's what I did. I have second MT4 platform installed in another folder that I haven't logged into since mid last week. I made sure I was offline before I opened it and was able to backtest with 1.6 pip spread.

It's possible to install several platforms from the same broker. Just chose a different folder while installing and remember to close it down while the spreads are normal.
Sounds like a good idea. I have experienced the same problem when backtesting, although while the market was still open. And I kept scratching my head, saying, "What the heck is the matter? It was working 5 minutes ago?" And, when I tested it a few minutes later, it worked fine.
  • #11
  • Last Post: Mar 16, 2019 12:20pm Mar 16, 2019 12:20pm
BACKTESTING EA at weekends
Unable to do this, as when the EA is loaded it comes up with initialising......................

but when the market is live then i am able to back test.
any way out how i can backtest at weekends
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