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Problem with backtesting using QuantDataManager

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Roman Mueller

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7 months ago #277026

Hello.

I am new to this and using QuantDataManager for the first time.

I would like to backtest a strategy using Tick Data downloaded by QuantDataManager for the German Dax Index.

I therefor installed a fresh new copy of the MT4 Platform and connected to a Demo Account created for Dukascopy.

This got me with MT4 creating all the symbols/instruments files.

Now there are two problems I see.

Using the QuantDataManager the symbol name for one of the files it creates is for example  “DEUIDXEUR30.hst” while MT4 after first time having connected to the demo account it created files like “DEU.IDX30.hst” instead.

So there is a mismatch in the name.

Now when switching to the MT4 Strategy Tester I do not even see the “DEU.IDX” as a symbol that I could select for starting a test.

Now how do I get my the MT4 installation to detect the symbol needed while using the right type of data for running the backtest. So the data exported from QuantDataManager for the Dax and not the data MT4 retrieved automatically after first connecting to the broker’s demo server?

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Roman Mueller

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7 months ago #277054

I have now tried using GBP/USD instead because here the symbol name at least seems to match up with the broker’s one of the demo server.

But running a sample EA from the strategy tester now results in no orders are opened.

From the Journal Tab it just says.

2022.04.05 15:04:28.744 TestGenerator: file “C:\Users\Administrator\AppData\Roaming\MetaQuotes\Terminal\5FD1EFE7C0E8FF211F687AD172837AEB\tester\history\GBPUSD1_0.fxt” is read-only
2022.04.05 15:04:28.744 Expert Moving Average GBPUSD,M1: loaded successfully

 

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tomas262

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7 months ago #277067

Hello,

the message that says “FXT is read-only” is not an error. It is correctly stating that file exported from data manager will not be overwritten by MetaTrader which is what we want.

I cannot see any other errors why an order is not open. You can send the strategy tested to our support email, we can check

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Roman Mueller

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7 months ago #277081

Thanks for your kind reply.

I just tried the two expert advisors that are included im MT4 by default.

Based on the MetaQuotes demo data I had before the export, both experts opened orders for GBP/USD using the same settings.

So I wonder why it’s not doing so for the tick data exported. I exported all time frames as well. Enabling the visual backtesting mode in the strategy tester I can see price updating on my M1 chart on a tick by tick base, so the data is probably there.

Maybe the problem is within the experts. Are there any free expert advisors that should definitely trigger orders which I could try to test things out?

thanks.

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Roman Mueller

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7 months ago #277082

I forgot to add that it’s still not clear to me why DAX is named differently even it’s for the same broker.

So I guess I will have to re-name “DEUIDXEUR” (the symbol name QuantDataManager gives me for Dukascopy) to “DAX.IDX” (the symbol name the actual demo server of Dukascopy provides) before exporting the data so that the MT4 strategy tester will recognizes it.

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Roman Mueller

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7 months ago #277083

I now re-named it to DAX.IDX before exporting the FXT/HST to MT4 but the strategy tester still giving an error message that it can’t open it.

2022.04.05 22:11:18.226 TestGenerator: file “C:\Users\Administrator\AppData\Roaming\MetaQuotes\Terminal\5FD1EFE7C0E8FF211F687AD172837AEB\tester\history\DEU.IDX1_0.fxt” cannot open [5]
2022.04.05 22:11:18.226 TestGenerator: file “C:\Users\Administrator\AppData\Roaming\MetaQuotes\Terminal\5FD1EFE7C0E8FF211F687AD172837AEB\tester\history\DEU.IDX1_0.fxt” is read-only
2022.04.05 22:11:18.210 Expert Moving Average DEU.IDX,M1: loaded successfully

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tomas262

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7 months ago #277184

Hello Roman,

we see the issue now that affects some data such as indexes and DAX cfd as well. There is a specific attribute that is required to be a part of the exported data while it is not correctly exported in the current version. With the latest testing we see this could be fixed easily and update will be provided. We will keep updating

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Roman Mueller

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7 months ago #277217

Thanks for informing me. Please let me know once you have updated the data.

Kind regards.

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Roman Mueller

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7 months ago #277221

A backtest on GBP/USD where the data was exported from Dukascopy it always says

Modelling quality: n/a

What does that mean. Shouldn’t it show something like 99.9%?

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tomas262

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7 months ago #277223

Hi,

despite modelling quality being n/a there are no errors, and the whole modeling bar is green.
So it means the backtesting worked on real tick data with no errors, it is a problem of MetaTrader that it cannot compute the correct modelling quality for some reason.

It is usually an issue in the particular MetaTrader installation, another installation of MetaTrader running on the same FXT data will return 99% modeling quality.

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Roman Mueller

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7 months ago #277225

Hey Tomas.

Thank you for all your kind help so far.

Yes, the test it self seems to be working as far as I can see. At least for Forex. I haven’t yet tested it again for the DAX.

I am playing around with a simple range breakout EA that should open trades based on a specific range defined in time from startTime to endTime.

In my specific case I am interested in trading a breakout of the UK market session open which always takes place at 8:00 AM local UK time. It’s GMT+0 during winter and GMT+1 in summer.

Now the GBP/USD tick data I’ve exported from the QuantDataManager is in UTC.

Right now UTC 07:00 AM represents 08:00 AM UK time and my expert advisors settings to take trades are defined from startTime=07:00, endTime=07:59.

It therefore opens a trade as soon as the price crosses this range at the earliest at 08:00 UTC.

I guess I will have to run a seperate backtest for summer and winter time? Or do you know if 07:00 AM as defined in my settings would automatically represent the right time where there is daylight saving times in effect or not?

I’m sorry if this goes a bit off topic. Thanks in advance again.

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M C

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3 months ago #279003

Hello Roman, we see the issue now that affects some data such as indexes and DAX cfd as well. There is a specific attribute that is required to be a part of the exported data while it is not correctly exported in the current version. With the latest testing we see this could be fixed easily and update will be provided. We will keep updating

Hello Tomas, any movement on this?

If not, is there something we can do as a workaround until you fix it (such as adding the missing attribute)?

I’m having the same problem opening US30.

Interestingly (or not!), I tried disabling the ‘Read only’ attribute. MT4 opened the file but the candles were just being dumped on to the chart without price movement.

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M C

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3 months ago #279004

OK, I included the MT4.properties file, as mentioned in your official page, and it worked!

Happy to leave this post here if it helps others. In the meantime it may be of service to others if this scenario is included in the official page, also.

 

Thank you for this product.

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tomas262

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3 months ago #279023

Hi,

thanks for the update, the problem with certain instruments has been resolved into the new update 121 that is now available for download

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jose

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2 months ago #279349

The backtesting of the EAs generated with strategyquant does not work for me

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