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MT4 Strategy Tester initial deposit discrepancies

  • Post #1
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  • First Post: Apr 29, 2011 10:46pm Apr 29, 2011 10:46pm
Hello all

I have been back-testing a strategy on MT4 strategy tester and I noticed something odd. When I change initial deposit currencies and run the tester I get different results. All the other parameters are the same, all I change is the initial deposit currency.

Examples:
10000 USD - total net profit: 10269.19
10000 GBP - total net profit: 5313.12
10000 EUR - total net profit: 6383.20
10000 CHF - total net profit: 8447.02

The testing takes place in the same time frame. The total number of trades I get is the same, the win percentage is the same, number of ticks modeled is the same...

It looks like it has something to do with pip value for each currency. Can somebody explain why it does that?

Cheers
Paul
I doubt if the problem is related to Strategy Tester and is something specific to the EA itself.

The mostly likely explanation is that the EA has some kind of risk management calculation that is based on the account size. How well do you understand the workings of the EA? How is the Lot size determined? How is the initial SL set?
The EA has a money management option. I don't use stop loss. The maximum risk is calculated based on account equity. I think here's the part responsible for money management and order size:

Quote
double LotsOptimized(double _risk) {

//return the initial lot based on the equity account
double account=0;
account=AccountEquity();

double OrderLotSize=account*(_risk/100)/1000.0;
double MM_MinLotSize = MarketInfo(Symbol(),MODE_MINLOT);
double MM_MaxLotSize = MarketInfo(Symbol(),MODE_MAXLOT);
double MM_LotStep = MarketInfo(Symbol(),MODE_LOTSTEP);

int MM_Decimals=0;

if(MM_LotStep == 0.01) {MM_Decimals = 2;}
if(MM_LotStep == 0.1) {MM_Decimals = 1;}

OrderLotSize=NormalizeDouble(OrderLotSize,MM_Decimals);

if (OrderLotSize < MM_MinLotSize) {OrderLotSize = MM_MinLotSize;}
if (OrderLotSize > MM_MaxLotSize) {OrderLotSize = MM_MaxLotSize;}

if(UseMM==false) OrderLotSize=Lots;

return(OrderLotSize);

}
Cheers
Paul
I think your original idea was correct - the value of the pips is different for the different deposit currencies.

You said that the same trades were taken and thus the same number of pips were won each trade. As near as I can tell the same lot size would be used per trade, but that is something you should confirm.
It's related to the pip value (PV)

Say you are trading the GBPUSD. And you buy one standard lot of the pair @ 1.5000. Then your PV in USD is 0.0001/1.5000*1*100 000*1.5000 = 10 USD. Given that EURGBP = 1/1.125, then your PV in EUR is 0.0001/1.5000*1*100 000*1.125 = 7.5 EUR. In this situation, EURUSD = 1.5000/1.1250 = 1.333333. So the PVs are equal when they are converted: 10 USD = 7.5 EUR. The difference is in the relativity to the initial deposit and its currency denotation.

Case #1 (USD deposit): You deposit 10000 USD. You gain 10 pips in the trade described above. Your final account is 10100 USD. That's a 1 % gain.

Case #2 (EUR deposit): You deposit 10000 EUR. You gain 10 pips in the trade described above. Your final account is 10075 EUR. That's a 0,75 % gain.

75 EUR = 100 USD. So the gains are equal in montary terms, but not in relative terms.
  • Post #6
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  • Last Post: Apr 30, 2011 2:48pm Apr 30, 2011 2:48pm
Thanks CodeMeister and Knukk.

Quote
Case #1 (USD deposit): You deposit 10000 USD. You gain 10 pips in the trade described above. Your final account is 10100 USD. That's a 1 % gain.

Case #2 (EUR deposit): You deposit 10000 EUR. You gain 10 pips in the trade described above. Your final account is 10075 EUR. That's a 0,75 % gain.

75 EUR = 100 USD. So the gains are equal in montary terms, but not in relative terms.

This is an important and useful piece of information.
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