Backtesting

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Ray Robot II and I have just been called a variety of names over on a LinkedIn thread started by Marcos López de Prado and entitled "Pseudo-Mathematics and Financial Charlatanism". As best as I can work out Guy Fleury has suffered a total sense of humour failure, and his view can be summarised as:

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AlgoTrader today announced a new open source algorithmic trading platform. AlgoTrader is an automated trading system that can trade any type of security on any market available through Interactive Brokers and/or the FIX protocol (real soon now!). All aspects of trading such as obtaining market data, analyzing prices, taking trade decisions, placing orders & tracking executions can be automated. The new platform uses the Esper complex event processing engine, and is based on Java SE 6.0, Spring, and a Model Driven Architecture.

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If you're from the United States you may well never have heard of Buru Trader. However if you're a customer of Interbank FX Australia like me, you probably will have done. It's a bundle of two MetaTrader 4 expert advisors called "buru New York" and "buru Tokyo", which IBFX Australia have been promoting over the last few months.  On March 15th IBFX were inviting their customers to find out about:

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US broker FXCM announced a new educational website for forex traders today. FXCM Digital Expo is separate from their existing DailyFX portal, and makes available over 40 videos recorded at FXCM’s Forex Trading Expo in Las Vegas.  Apart from simply viewing the videos on the new web site you can also download them free of charge using iTunes. The slides used during the original presentations can be downloaded too.

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Ray The Random Robot

Ray The Random Robot

Only a few short days ago we took the momentous decision to enter several automated trading competitions simultaneously. We've been burning numerous barrels of midnight oil here at Trading Towers ever since, and for the second time in as many weeks late last night we managed to successfully shoehorn some of the dumbest trading technology ever invented into our old friend Ray the Random Robot™. Then we managed to get him entered into another automated trading contest at the very last moment.

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I was browsing around the Boston Technologies website yesterday for a very different reason, when I made an interesting discovery – the Boston Technologies History Center. As we reported recently, the historical data you can download into the MetaTrader 4 History Center seems to have developed some big gaps recently. If you're new to MT4 backtesting, or if you haven't been religiously logging in to your account regularly to keep your data up to date, this might well cause your backtest results to be rather misleading. This problem has affected the backtesting of some members of our Community, and they now have another solution to their difficulties apart from waiting for me to export some of my own data from MetaTrader!

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FXCM started public beta testing of their new Strategy Trader trading platform back in March.  They are positioning their new platform as a superior alternative to MetaTrader 4 and the forthcoming MetaTrader 5. They describe it as:

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One of the drawbacks of MetaTrader 4 has always been that whilst you can write a multi-currency expert advisor for the platform, the MT4 strategy tester only allows you to backtest one currency at a time.  Now that the bugs in the MetaTrader 5 strategy tester are gradually being removed, we're just starting to use it for some serious testing.

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To celebrate the fact that forex broker Dukascopy have at last officially become a Swiss bank we have rewritten our first example robot to work on their JForex platform.  Take a look at the JForex source code on our community forum.

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Now that MetaTrader 5 is finally able to perform backtests we've rewritten another of our example MT4 expert advisors to run on MetaTrader 5. Since the members of our forum seem to be particularly keen on moving average crossover systems at the moment, we've ported our robot example 3 over to MQL5 and tested it out using the MT5 strategy tester. If you want to try this for yourself please feel free to download our MQL5 source code.

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