GBP/USD Portfolio #1

Hello forum members,

I have created my first (seems robust) GBPUSD portfolio.

Most of strategies are on H1 , but few are on M30.

Mostly, robustness test gives result of 2/3 to 1/2 net profit as shown on raport and around 1-3% bigger drawdown than shown.

Every strategy tested on Real Tick method on Alpari,Aplari UK, Alpari US , Dukascopy, FXDD and Forex.com data.

Whats strange,
Alpari (all) + Dukas are doing great results on Real Tick + Robustness.
FXDD + Forex.com makes losses on Real Tick Method, but when I run robustness test, then result of RT seems to be almost like RT on Alpari, Dukas.

Anyway, here’s a raport.

Strategies are tested on MM with details of:
Start deposit: $1000
Risk 2%
Lot if no MM: 0.01

Pls leave any comment about it. I don’t know much about Sharpe ratio and any other “clever” stats yet.

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edit:

Demo account @ Alpari UK with forward test

http://www.myfxbook.com/members/adrian8891/portfolio-gbpusd/1123911

^ Account closed due to Alpari Insolvency.

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– they may work on data that you generated them on, but they will not work with your broker – your broker could have different timezone, he could include Sunday or doesn’t include this, all these things affect how the strategy will behave in real trading.

 

I know, thats why I generate strategy that works 24/7 , to not look after timezone and trade day.

 

 

Even if your strategy does not look at day or time, you will get completely different results on a broker with different GMT offset to the dat in SQ. This is due to having Sunday bar or not having Sunday bar affecting almost every indicator value (highest in range, moving average, ATR etc).

As Mark says I put the same data into a copy of MT4 and SQ and run the same backtest. If the MT4 backtest results aren’t almost the same at the SQ results, you have differences and the SQ results don’t mean anything.

Also look at slippage. Some brokers have terrible slippage and should not be used.  Spread widening. Some brokers widen their spread constantly (especially during many news events) and the stops are hit that won’t show in backtesting.

There are so many reasons why real trading is nothing like the calm waters of backtesting…..

As far as I know, every broker starts at same hour on real servers. GMT offset is generally good topic, but we still doesnt know does dukascopy are gmt0 or gmt+1 and what with DST time…

Each brokers candles can have different offsets. Some a GMT, others GMT+2 or GMT+3. Look at the broker data, some have a brief Sunday candle, others on Monday to Friday with full candles. You must ensure the data used for backtesting matches the candles your broker uses.  It affects every calculation value pretty much including obviously candle patterns.

Hope this helps, I fell into this trap early on and it took me a while to grasp how important this is.

But, if I use full time trading , and use low timeframe – M15 or M30 

Then surley it is not neccessary to look after GMT. Same market open at GMT+1 and GMT+5 , just diffirent “Server time”. I think it doesn’t matter. Maybe I’m wrong , then please guide me a bit 🙂

It probably makes no difference if you trade on timeframes < daily, as long as you don't use candle patterns and don't have any rules that rely on time of day. 

Yes, I tried to exclue every rule that is connected with daily and with candles.