At http://www.metaquotes.net/forum/1226/ it says about Metatrader MT4:
1M intrabar ticks in strategy tester
Waitak 17.10.05 05:29
"There is a significant weakness in the way that the strategy tester generates intrabar ticks for 1M charts. The effect is that, for some strategies that set a tight stop loss, the tester consistently underestimates the strategy's performance.
Consider the situation where the price is rising quickly - say by 8-10 pips in each of two consecutive bars, and that open == low, and close == high. The quotes in this case would be generally rising in real life. That is, it's very unlikely that the quotes would go from the open to (near) the high, then to (near) the low, then to the close. But in the tester, this happens a lot.
The practical result is that if you have a stop set on a strategy that's less then the size of the bar, and you go long near the top of the bar, the tester almost always shows a loss within the bar. In real life, however, it's very unlikely that the trade would lose within the bar, because the price is not very likely to drop that far below the enter price.
The solution might be to:
- Start at the open
- If the close is greater than the open, generate a tight fractal fill to the low, then to the high, then to the close.
- If the close is greater than the open, generate a tight fractal fill to the high, then the low, then the close"
Would using fractals as suggested improve Strategy Builder?
Cogito Ergo Sum