Forums>Quant Analyzer (formerly named EA Analyzer)>General Discussion>Reality Check for this strategy with -99% Z-score

Hi,

Please let me know your thoughts on this strategy report. How is the sharpe ratio calculated? Is it daily, weekly, monthly? Is the profit factor acceptable? I read some places where 1.5 is good while I read other places pf>1.25 is good enough.

Is this strategy too good to be true? Can someone help poke holes in this report? Constructive feedbacks are greatly appreciated.

I suspect there’s something wrong with the strategy or the setup, i.e it’s not a realisitic. Have you tried backtesting the strategy in Metatrader?

PS. I’ve seen this sort of thing where the spread is somehow set to zero with no commission, so that tiny tick movements are turned into a large number of profitable trades. Put in the correct spread and ECN commission and the profitibility vanishes….

I suspect there’s something wrong with the strategy or the setup, i.e it’s not a realisitic. Have you tried backtesting the strategy in Metatrader?

PS. I’ve seen this sort of thing where the spread is somehow set to zero with no commission, so that tiny tick movements are turned into a large number of profitable trades. Put in the correct spread and ECN commission and the profitibility vanishes….

MikeyC,

Excellent question. I am testing the portfolio in MT4. Similar to you, I fell for the zero spread in the past. Currently, I have the spread as 3pips for EURUSD and 4 pips for GBPUSD.

The average bars in trade figure looks suspect. It suggests (correct me if I’m wrong) that the trade is opening and exiting on the same bar; if this is the case you should retest it using real tick data with variable spread.

Notch,

Good question. I am testing this as a portfolio; hence, the bar number is not reporting correctly. The average hold time for each trade is 35 hours.

What does the equity curve look like? Are you testing using real tick data or tick simulation using M1 data in MT4?

I don’t get how you have 114K trades with 35 hours average holding time unless there’s more than one trade open at a time? That’s 455 years.

What is the strategy like on it’s own? It’s more likely to be iffy portfolio calculation IMHO….

What does the equity curve look like? Are you testing using real tick data or tick simulation using M1 data in MT4?I don’t get how you have 114K trades with 35 hours average holding time unless there’s more than one trade open at a time? That’s 455 years.What is the strategy like on it’s own? It’s more likely to be iffy portfolio calculation IMHO….

Yes, I am testing using M1 data and am holding multiple trades at a time since each strategy is independent of the others. Below is a snapshot of 1 strategy.

First merge all the strategies into one then upload the QA file . It is hard to make comments of value with so little information.

The general aim of building a portfolio is to reduce performance variance. For me, the maximum consecutive loss figure of 42 exceeds my preference. By adding low correlated strategies to a portfolio, I aim to minimise a number of things including consecutive losses. Have you run the portfolio correlation analysis in QA yet?

Notch,

Thanks for sharing your system info. I notice that that your winning percentage is more than 66%; hence, the consecutive losses should be lower compared to a trading system with 46% winning trades. You can try searching on youtube/google for monte carlo simulation. You will find that the maximum consecutive losses is dependent on the winning percentage and not the profitability of the system. You should consider reducing your drawdown as your return to drawdown ratio is only 11:1 i.e. you are risking $1 for $11 gain. A good long term system should be more than 25:1 i.e. $1 risk for $25 gain i.e. better odd.

Modelling quality of 25% !!!

https://www.mql5.com/en/articles/1513

As we mentioned before, there are just 4 reference points for a one-minute bar to be formed! This is why the rating of modelling quality for one-minute bars does not exceed 25%.

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