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Using Third-Party Tick Histories in Expert Advisor Backtests

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Summary

This document describes an MQL5 script and library workflow for importing third-party tick archives into MetaTrader 5 custom symbols. The script can refresh a local archive, synchronize data for one selected symbol or all available symbols, and create corresponding custom symbols for use in the Strategy Tester. The archive is stored locally in compressed CSV files, can be updated with missing data, and can also be used offline after it has been obtained.

The proposed way to assess a tick source is to run the same Expert Advisor on a built-in symbol and on a custom symbol made from the third-party history, using real-tick testing, then compare outcomes. The document provides an example log, but no comparative results or quality criterion for judging tick sources. Differences in historical data can affect test conclusions, and the library is described as unoptimized and educational; adapting it to arbitrary providers and formats requires modification.

Key ideas

  • The script converts third-party tick archives into custom symbols for MetaTrader 5 testing.
  • It can synchronize local data for a selected symbol or for all symbols in the archive.
  • After downloading, the local archive can be used offline and edited manually.
  • The document suggests comparing Expert Advisor runs on built-in and custom symbols using real-tick mode.
  • It gives no formal criterion for data quality and says the library is not optimized.

Tags

BacktestingExecutionMachine learningStatistics

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.