Auditing Monthly Real-Tick Coverage Before Backtesting
Summary
The document describes a MetaTrader script that checks tick-history availability month by month before a backtest. It classifies each month as having real ticks, partial tick coverage, bars without ticks, or no stored data. The distinction matters because a tester may generate synthetic intrabar movement from minute bars when real ticks are unavailable, potentially masking gaps, spread changes, and price spikes that affect strategies with tight stops or frequent trading.
The audit can sample selected days or scan every day, with the latter intended to detect holes more thoroughly. Sampling establishes that ticks exist on checked days but cannot prove complete monthly coverage. The document gives an example of a gold history range with bars but no real ticks until a later month, and advises testing only from the first month with unbroken real ticks using the real-tick mode. Coverage is symbol-specific, and initial requests may trigger downloads, so a second run can clarify whether missing ticks were still being fetched. The script itself does not place orders.
Key ideas
- The script classifies each month by real-tick and bar-history availability.
- A backtest can still run on bars alone while the tester generates synthetic ticks.
- Sampling can miss gaps, so a full daily scan is needed to assess completeness more thoroughly.
- Tick history is specific to the instrument and may require time to download.
- Backtests should begin only where the chosen symbol has sufficiently continuous real ticks.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.