Testing How Broker Quote Histories Change Multi-Currency EA Results
Summary
The article investigates whether a multi-currency Expert Advisor produces comparable backtest results on quote histories from different brokers. The EA’s entry logic uses tick volume to determine when a signal occurs, while the candle’s open and close determine direction. The author reports sharply different outcomes across the tested servers, including a complete account loss in less than a year on one set of quotes, and observes that trades began at different times.
The proposed diagnostic separates signal generation from price execution. It exports completed deal histories from one test to a file, then uses a replay EA to reproduce those trades on another broker’s quotes. Similar replay results would support the hypothesis that differing tick-volume histories changed entries, though the article presents this as a test plan rather than proof in the excerpt. The discussion notes that brokers can construct similar OHLC candles from different numbers and distributions of ticks. Consequently, matching candle charts alone may not ensure consistent behavior for volume-based strategies; results remain dependent on data source and test setup.
Key ideas
- The example EA’s entry timing depends on tick volume, while price direction determines trade side.
- Different broker histories can produce different trade opening times and backtest outcomes.
- OHLC similarity does not guarantee that brokers have matching tick counts or tick distributions.
- Exporting one run’s deals and replaying them on another history can help isolate data effects.
- The replay method is proposed as a diagnostic, and the excerpt does not establish that it resolves the discrepancy.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.