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Backtest using historical data

MQL4 Sonstiges Statistik und Mathematik OpenCL PHP SQL MySQL Optimierung von Strategien Module von Strategien Sammeln von Daten im Internet Forex Data mining

Auftrag beendet

Ausführungszeit 6 Stunden

Spezifikation

No EAs, for now. I just want to see results. What's the point in building an EA if you dont know the preliminary results? Right? So...

I need test results for the following main query:

***** Success rate % for all 2 SMA crosses (9-252 MAs: increments of 9) and in every combination for 10 major pairs (will advise of pairs), and for all timeframes as per standard MT charts. Data to go back to at least 5000 ticks. If possible use all available data ***** 

The results should be displayed in table format and in sequential order from first opened position or cross, to the last closing position. Ignore any unclosed positions (i.e, the very last open position). 

The base table for each SMA cross strategy "Strategy Results" will consist of the following fields (1 2MA combo x 1 currency pair x 1 timeframe):

1. Start date of data used
2. End date of data used
3. # of ticks used
4. UTC Date/time stamp of opened position (yyyy/mm/dd/hh/mm)
5. Strategy name (2 SMA Cross: 9 / 36)
6. Currency pair or stock/commodity name (AUDUSD, HSBC etc)
7. Time frame (M1:MN)
8. Position Trigger price
9. Position opened buy/sell
10. Position Closed price
11. Duration of position (# of ticks)
12. Duration of position (yrs/months/weeks/days/hrs/minutes - eg, 00yrs/00mths/00wks/00days/08hrs/19mins)
13. Result (Profit/Loss)
14. Success rate in +/- pips of 13.
15. Success rate in +/-% of 13.
16. Highest # of pips in profit during opened position (483 pips)
17. as a % of 16.
18. Highest # of pips in loss during opened position (-641 pips)
19. as a -% of 18.

Do this for all 9 timeframes => 9 results per 2MA combo.

And then repeat for 10 currency pairs (TBA).


Once all the results are finished, I need a summary of all the results and rank each 2MA combo from top to bottom as a % of overall success (described below). 

The table of "Summary of All Strategy Results" will look similar to the results of the strategy tester in MT and should consist of the following fields:

1. Strategy name (2 SMA Cross: 9 / 36)
2. Currency pair or stock/commodity name (AUDUSD, HSBC etc)
3. Time frame (M1:MN)
4. Start date of data used
5. End date of data used
6. # of ticks used
7. # of opened positions
8. # of wins
9. # of consecutive wins
10. % of wins
11. # of losses
12. # of consecutive losses
13. % of losses
14. Max of all Highest # of pips in profit during opened positions (max of 16. in "Strategy Results For TF" table)
15. Max % of 14.
16. Max of all Highest # of pips in loss during opened positions  (max of 18. in "Strategy Results For TF" table)
17. Max % of 16.
18. Same as 14. but as Average #
19. Same as 15. but as Average %
20. Same as 16. but as Average #
21. Same as 17. but as Average %
22. Rank of strategy based on 9.

There should be 90 separate results for each SMA cross (10 currency pairs x 9 time frames). This would be approximately 34020 test results in total:
- 28 MAs = 378 cross combinations
- 9 timeframes
- 10 currency pairs 

I'm guessing you will use a standard database/excel to calc the queries once you have downloaded the data needed. All results should be available in standard convertible file formats like csv/excel/xml etc.
————————————————————
Investment values will be irrelevant for now. Once I have the results for the above query we can then discuss about adding investment values (Money Mgmt) and seeing what figures we get. 

My main aim is:
- to see which SMA cross pairs works best in each currency pair + timeframe, and overall. 
- to see if it's best to work with the top 5 or 10 SMA crosses etc. 
- then develop an ultimate EA strategy based on my findings. Or... if the EA can automatically work out the best or top 5-10 SMA crosses automatically (live) then that would be the best outcome for me. 

I will analyse the data and see where I go from there. Until then can you give me a timeframe and price for the initial query above for now?

Please bear in mind I am not rich, I am struggling, and need to quickly find something that works to give me (and maybe you!) a steady flow of good income. 

I look forward to working with you. 
Cheers and thanks. 

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Projektdetails

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Ausführungsfristen
von 1 bis 7 Tag(e)