MetaTrader Backtesting: Best Practices for Algorithmic Traders
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MetaTrader backtesting can be tricky business for algorithmic traders. Follow these best practices to engineer robust, reliable trading strategies.
This tutorial introduces best practices for backtesting trading strategies using MetaTrader’s Strategy Tester or any other tool / programming language such as Python, Java, R, C++ etc.
Read the associated blog post here:
This tutorial covers:
1) Data Handling
– Segmenting Historical Data
– Selecting Length of Historical Data
– Backtesting Timeframes Lower Than H1 (hourly)
– MetaTrader 4 Historical Data – Effects of Interpolation
– Re-validating MetaTrader 4 History Center Data
2) Parameter Selection
– Using Robust Parameter Ranges
– Estimating Impact of Variable Spread & Slippage
– Maintaining Stable Underlying Strategy VaR
3) Variable Factors
– Correlation of Strategy Returns to Market Volatility
– Testing for Market Correlation
– Optimizing Position Sizes for Capacity
– Trading High Impact News
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Topics: #metatrader #algorithmictrading #backtesting