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1 Topic by Alex97 (edited by Alex97 2020-07-05 11:51:43)

  • Registered: 2020-06-23
  • Posts: 5

Topic: Data Horizon Tool

Hi,

I have recently purchased FSB Pro license, this week was my first week testing some strategies on a demo account and while the 5 strategies made a small profit, when I tested the same period (29/06/20 – 03/07/20) using FSB Pro I got a considerably different results.

It appears that this topic has been extensively covered on the forum, i.e MT4 tester uses a different algorithm, slippage, data variability etc. I therefore made sure that I used identical data from my broker (Alpari), checked for any errors in the journals and made sure the exported EAs were identical to the specifications on FSB Pro software and working on MT4 by backtesting.

When comparing the EA journal from the demo account to FSB Pro, it would appear that FSB Pro simulations wouldn’t make any trades for a significant time of the week (when trades did occur it looks like there was small discrepancies that could be accounted for by slippage etc which is understandable).

I investigated the indicator charts and noticed the indicator required periods of 120 and 150 on M15 data so I extended the dates using the horizon tool and that seemed to have resolved the issue and FSB Pro simulated more similar trades to the real account (still with some trading discrepancies e.g. sometimes there were trades that didn’t happen on FSB Pro software and vice versa but I don’t think getting bogged down with this is too important as from my understanding there is always going to be more variation while live trading). The bottom line was that the profit was pretty similar after this discovery which was great.

So am I right in thinking that the data horizon tool completely cuts off all other historical data, even for indicator purposes? If so is there a way of using the horizon tool so that it still uses historical data outside of the selected data horizon for indicator purposes so that all trades would be made within a selected trading window.

I guess I’m new here so just wanted to make sure that I am on the right lines in my thinking.

Many thanks in advance

  • Popov
  • Popov
  • Lead Developer
  • Offline
  • From: Bulgaria
  • Registered: 2006-11-30
  • Posts: 7,885

Re: Data Horizon Tool

Yes, you are right. The Data Horizon really cuts the data for the complete strategy calculations and the backtest.

The length of the data series is important for the indicators that use a sort of accumulation or base their values on their previous ones. Such indicators are the ones that are based on Exponential Moving Average and others.

We found out that is much safer to use only indicators based on Simple Moving Average. It guarantees consistent signals on data series with different lengths.

If a strategy uses Exponential Moving Average or other that depends on the data series length, the Expert Advisor tries to find what data length makes the signals consistent. It may woad several thousand bars for calculating the trading signal. However, this is only possible in Trading mode. The MetaTrader's backtester always starts on bar number 100. We may force it to use more bars by setting the backtest's start data.

The MetaTrader start data act in a different way from the DataHorizon in FSB Pro and EA Studio.

Your question is very reasonable. We may test with options to Data Horizon for cutting the data or for delaying the backtest start.

Popov's Website

  • Popov
  • Popov
  • Lead Developer
  • Offline
  • From: Bulgaria
  • Registered: 2006-11-30
  • Posts: 7,885

Re: Data Horizon Tool

I decided to test your idea. However, it appears that it raises additional questions: Do we delay the backtest start only or also the backtest end. What we do when we set a limit to the data bars. How to plot the chart - with the full series or for the selected period only. So we calculate the statistics for the selected period only - for example, Profit per Day.


https://image-holder.forexsb.com/store/data-horizon-behaviour.png


I found out it is much easier to make two custom indicators for FSB Pro: "Backtest start" and "Backtest end" with options: "year", "month", and "day". In that way, we will be able to combine these indicators with the Data Horizon options.

...
I'm currently on an Iaido seminar with a Linux laptop only and cannot tets the idea. I'm sure you can try it. We even don't need MQL code for these indicators because they don't have applications in the trading process.

Popov's Website

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