MultiTimeFrame Indicator BackTesting mql4

0
votes

before posting any code I would like to understand if it is possible to backtest a Custom Indicator, for a MetaTrader4 Terminal, based on a multi time frame strategy.

I have looked on mql5 forum, but I could not find any clear indications or approach to the issue.

1
indicatortradingalgorithmic-tradingmql4metatrader4

1 Answers

1
votes

...before posting any answer I would like to understand, what do you consider a multi-time frame strategy in custom indicator context.

How to make the step forward?

Select your own way - The Approach

In any case,
one can use function calls aimed to retrieve values, collected from a perspective of a different time-frame, with a use of proper indication of
{ PERIOD_M1 | .. | PERIOD_H1 | PERIOD_H4 | .. }
in the function call protocol,

or

one can create and maintain one's own virtual super-framing / sub-framing independently of the current graph's "own" time-frame.

double v30SEC_O[], v30SEC_H[], v30SEC_L[], v30SEC_C[],
       vM1_O[   ], vM1_H[   ], vM1_L[   ], vM1_C[   ],
       vM3_O[   ], vM3_H[   ], vM3_L[   ], vM3_C[   ],
       vH7_O[   ], vH7_H[   ], vH7_L[   ], vH7_C[   ];    // vTF as needed

bool   v30SEC_newBarEVENT = False,
       vM1_newBarEVENT    = False,
       vM3_newBarEVENT    = False,
       vH7_newBarEVENT    = False;

void   aNewBarEventMONITOR(){ ...
       static int  v30SEC_Bars  = EMPTY,
                   vM1_Bars     = EMPTY,
                   vM3_Bars     = EMPTY,
                   vH7_Bars     = EMPTY;

    // check aNewBarEVENT:

    // update state-vars:

}

Does it work in spite of many posts on failed MTF [StrategyTester] results?

In each of cases posted above, one may use the other one to check and proof the correctness of the outputs.

Yes, unit-tests are a good safety belts habit in this domain.

The recent "new"-MQL4.56789+ shifts and frequent interim compiler ( syntax ) live-updates ( you get a new Help to notice them ) make unit-testing a must-do part of the pre-release testing + production code maintenance.