2014-01-06

Tickdata backtesting

Metatrader 4 was not build for tickdata testing. Nevertheless there are serveral ways to get a backtesting quality of 99% or more. Here you'll find excellent descriptions of several methods. Next to that there are several brokers offering free tickdata. Everyone has it's own advantages and disadvantages. Dukascopy kindly offers free tickdata too. But therea several things you have to consider like the data type offered by Dukascopy. In the following I'll describe my experience with several ways of downloading and importig Dukascopy tickdata into Metatrader 4:
  1. Download dukascopy tickdata with tickstory and start MT4. I managed downloading Eurusd tickdata from 2003-2013 with tickstory an got a backtesting quality of 99,9%. Perfekt! Easy download and no problems in MT4. But soon it became a bit rough. When I tried the same with Gbpusd (and other pairs) it did not work - no download - no backtesting. Some weeks ago there was released version tickstory 1.2 which I'll test soon. Perhaps this will solve these problems.
  2. Download dukascopy tickdata with Strategyquant Tickdata Downloader. After that you have to copy the csv file to MT4 tester folder and apply this process. It's quite easy when you've done it once. Unfortunately the history starts not until 2007 and you get a backtest quality of 99% (perhaps a bit less due to the script which converts the .hst file). Up until now this is my prefered process.
  3. Download dukascopy data with this process. Then apply this process. I will add my comments when I've tested this method.
Anyway you always should pay attention to these comments. If you want to do longer backtests (longer than two years = file size is larger than 2 GB) the easiest way is to use Birt's tickdata suite.

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