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

  • #114481 |
    Participant
    16 Posts

    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.

     

     

     

    #134216
    Moderator
    1559 Posts

    Its normal to have low PF when it trades often and does many trades. PF is just one piece of a puzzle. But to me it looks promising. Have you done robustness tests already?

    #134218
    Participant
    16 Posts

    Tomas, 

     

    Thanks for your reply. Can you elaborate on the robustness tests? This strategy has been tested from 2000 to 2015 i.e. 16 years. 

    #134220
    Customer
    557 Posts

    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….

    #134221
    Customer
    60 Posts

    What Test Precision mode is this strategy tested on? 1 Minute Data, Tick Simulation, or just Selected Timeframe only?

    #134227
    Participant
    16 Posts

    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. 

    #134228
    Participant
    16 Posts

    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.  

    #134229
    Customer
    557 Posts

    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….

    #134251
    Participant
    16 Posts
    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.

     

     

    #134255
    Customer
    557 Posts

    Looks good, I would put it on a demo account to see if there’s some weird fluke. 

    #134256
    Participant
    16 Posts

    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.

    #134257
    Participant
    16 Posts

    What Test Precision mode is this strategy tested on? 1 Minute Data, Tick Simulation, or just Selected Timeframe only?

    Sorry for missing your post. I am using 1m data for testing. 

    #134261
    Customer
    557 Posts

    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%.

    #134262
    Participant
    16 Posts

    Modelling quality of 25% !!!

    When you test on 1M data, the modelling quality will be 25%. If you test on the trading time frame, you will get 90%. 

    #134265
    Customer
    557 Posts

    I only test using Birt’s Tick Data Suite 99% backtesting quality using Dukascopy Tick Data as a source. I was merely pointing out that 25% quality is the best you can get with MetaTrader without external tools and real tick data.

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