Multiple pairs in a single backtest

Is there any way to trade against multiple pairs within a given backtest? I'm admittedly uninformed on this, but I've noticed that when I run a backtest in MT4 that I always have to run it against a specific pair.

I'm asking because it can be very difficult to determine a realistic expectation for drawdown unless you can test multiple pairs concurrently. For example, take the following set of theoretical trades:

Buy USDJPY, closed @ +100
Buy GBPUSD, closed @ -50
Sell USDJPY, closed @ +150
Sell GBPUSD, closed @ -50
Buy USDJPY, closed @ -50
Buy GBPUSD, closed @ +50
Sell USDJPY, closed @ +100
Sell GBPUSD, closed @ -50
Buy USDJPY, closed @ +200
Buy GBPUSD, closed @ -100

In this example, GBPUSD suffered a drawdown (-200) but the system performed very well (+300) when balanced against the trades that were taken on USDJPY (+500). If I were just looking at GBPUSD, I might think that the system is ineffective. Similarly, the equation could be reversed during other periods of time, with USDJPY's losses being offset by wins on GBPUSD. This type of inter-pair relationship is a real pain to discern if I have to perform all backtests against single pairs and then attempt to manually intersperse the trades on a chronological timeline.

My comparison would be when doing backtests against stock market data. Most stock market backtesting programs are not designed to be run against a single stock. Rather, you tell the program what criteria to use when picking trades from the entire market, and then you view the aggregate result of all those trades against many different stocks.

What you're looking to do is called portfolio testing, and it's something MetaTrader doesn't support.

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Is there a way to "portfolio trade" using one EA?
The problem is there is a counter in the program that determines if a trade can go or not (counter =0 or 1). Once it is 1, no other pair can be traded. So I need a separate counter for each pair.
But I am new in this and don't know how to do it here....
Thanks

yes, you can buy/sell multiple pairs within a single EA, but be aware that the EA only responds to ticks that come in on the chart to which it's attached. An iterating script is my tool of choice for something like this.

Wow, you trade against the market?
Good luck to you!

I'm just kidding. But no, there is not a single way - trading multiple currencies on backtest is impossible in MT4 of the last version. It was made so your EA could not look into the future and could not read the data there. If you are not sure that any multiple-currency backtest is wrong, try trading JRSX EA - it trades 3 majors looking at the close of the bar on your timeframe on other pairs. It knows how H1 or H4 will close! On the backtest. It fails on forward-test.

If you plan to trade different currencies, run a separate backtest for each one. If your EA does not survive with 1 pair, it won't survive with 20 pairs.

I've read it in so many posts in so many different threads that I've begun to accept it as truth: It's not possible to backtest a basket at a time.

If this is true, why is this true? Does the historical data disappear for all pairs except the one you'd like to test?

Thanks.

Historical data for other pairs can be accessed, but I don't know how MT handles simulated intrabar ticks (my guess is that it doesn't, fairly easy to test). Also... you can submit orders for pairs other than the primary, but they'll be ignored.

Why is it this way? You'd have to ask the guys over at MetaQuotes.

Thanks Tesla, just what I wanted to hear. We're talking about the limitations of a specific testing platform.

I had a hard time swallowing the idea that institutional hedge fund managers are scratching their heads when it comes to simultaneous testing of one pair against another.

You want to analyze drawdown? Dump your closed trades into a text file with FileOpen()....

Then open them as a CSV in Excel..... line them up side by side (using monthly totals)

Very taxing, but possible. Thoughts Tesla?

In order to backtest a pair, history data is used for that pair. Ticks are generated by the program based on all lower timeframes possible (or ticks if you have tick history). Now imagine the program to backtest few currencies simultaneously - it will require much more resources.
Thats one. Two - in the latest build there is no way to receive data for any time period from any other symbol from the symbol being tested - O=H=L=C=V=0 for any moment (it returns only zeros).
This was done mainly for a simple reason - to make people stop creating grails that look into the future and "analyze" the movement of a currency in a pair based on those moves. For example I have an EA that backtests perfectly well. But when you use it on demo, it keeps losing money. The problem was in its analysis - it looked at the open and close of the current bar - it knew current bar's close! If backtested on D1 chart, it knew how the day would end and opened a position based on the close of the day.

Such "grails" won't work now. I hope so far is understandable.
Yes, you have to dump all the info into excel and calculate approximate returns of the portfolio. The main danger is in the possibility of the EAs on different currencies make drawdown at the same period so you can do it simple way. Just check from where and to where you had loss on one pair. If you have loss on the other pair - you'll lose more in general.