Strategy Tester Performance Benchmarking
Info
The Strategy Tester Performance Benchmarking is a Library for MetaTrader 5 that metatrader 5 offers a valuable function for profiling expert advisors on historical data, but it comes with certain limitations. One issue is the slow speed in visual mode, and the results are presented in relative units, making it challenging to compare performance in absolute terms.
Usage
This tool is typically used for enhancing chart analysis and decision making.
Platform
This Library works exclusively on MetaTrader 5 (both build 600+ and newer versions).
Setup
Place the downloaded file in MQL5/Libraries folder via File ? Open Data Folder in MetaTrader 5.
How to Install and Use Strategy Tester Performance Benchmarking
1. Storage: Place library files in the MQL/Libraries directory to ensure they are accessible to your projects.
2. Implementation: Include the library in your code using the #import directive, ensuring you match the exact function names and parameters.
3. Compilation: Ensure the library is present in the directory before you compile your main EA or script, as the compiler links them during this phase.
4. Management: Keep libraries organized in sub-folders if you manage many custom functions to maintain a clean project structure.
Frequently Asked Questions
Q: What is a library file used for? A: Libraries store reusable code modules, allowing you to centralize common logic used by multiple EAs or indicators.
Q: Is a library executable? A: No, libraries are non-executable files containing functions; they must be imported into an EA, indicator, or script to function.
Q: Can I update a library while the platform is running? A: You should compile your EA or script after updating a library to ensure the latest code changes are integrated.
What this tool does
MetaTrader 5 offers a valuable function for profiling Expert Advisors on historical data, but it comes with certain limitations.
Typical Use Case
This Library excels in automated trading and technical analysis on MetaTrader 5.
Compatible Platform & Setup
This Library works on MetaTrader 5. Place the file in the MQL5/Libraries folder and restart the terminal.
Description & Settings
Related: strategy - behavioral design pattern - another powerful library for MetaTrader 5 traders.
MetaTrader 5 offers a valuable function for profiling Expert Advisors on historical data, but it comes with certain limitations.Also recommended: making and saving graphic charts from the mt5 strategy tester - similar library with strong performance on MetaTrader 5.
One issue is the slow speed in visual mode, and the results are presented in relative units, making it challenging to compare performance in absolute terms.
Additionally, during a single run without visualization, the EA is executed on a local agent, and a significant portion of the testing time is spent synchronizing the terminal with this agent. Consequently, the time data from the logs may not accurately represent the net EA/tester performance and can vary across different runs.
The net operation time of the Strategy Tester is calculated from the first tick event (ontick) until the last tick in the tested interval. After this interval, the tester calls ontester, followed by ondeinit.
The library introduces a solution by allowing the addition of a single line of code to the EA, which provides log data on the tester's net performance. This data is more accurate and consistent compared to the standard testing output.
Furthermore, when switching from a single run to optimization mode, the library executes the EA multiple times and generates tester performance statistics. This approach helps isolate the pure performance of the tester, as demonstrated by the minimum, maximum, and average calculation times.
The library also supports ontick profiling by adding another line of code, enabling the measurement of time spent solely on ontick execution, excluding simulation and performance factors.
An example EA (MQL4/5) is provided with the library to illustrate its practical application.
You may also like: reporting memory leaks in strategy tester - excellent alternative for library users on MetaTrader 5.
Source Code
#include <testerbenchmark.mqh>
input int interval = 60;
input int amountlastdeals = 5;
input double lots = 1;
double correctlot( const double lot )
{
static const double stepvol = symbolinfodouble(_symbol, symbol_volume_step);
static const double maxvol = symbolinfodouble(_symbol, symbol_volume_max);
static const double minvol = symbolinfodouble(_symbol, symbol_volume_min);
const double vol = stepvol * (int)(lot / stepvol + 0.5);.......
⚠ Limitations & Risk Warning
- This tool is provided for educational and testing purposes only.
- Past performance does not guarantee future results.
- Trading involves substantial risk of loss. Use on a demo account first.
- Results may vary depending on market conditions, broker, and settings.
- We recommend thorough backtesting and forward testing before using with real funds.