Signal Systems - page 9

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Sergey Golubev
Moderator
110784
Sergey Golubev  

Please find backtesting results for EURUSD M15 timeframe.

 

 

 

 

Set file (settings of this EA for EURUSD m15) is attached to this post. 

 

 

Files:
m15.zip 126 kb
Alain Verleyen
38292
Alain Verleyen  
newdigital:

Please find backtesting results for EURUSD M15 timeframe.

Set file (settings of this EA for EURUSD m15) is attached to this post. 

Very promising result, little drawdown and risk reward ratio very good. Congratulations newdigital for your trading ideas.
Sergey Golubev
Moderator
110784
Sergey Golubev  
You know - Metatrader 5 Strategy tester is very good especially when we want to optimize the settings. And it is very fast to optimize using Cloud. I will continue optimization and backtesting for good settings for main pairs. Backtesting is going slowly but optimization - fast ...
Sergey Golubev
Moderator
110784
Sergey Golubev  

I like to get the settings by optimization on the way as Balance _max Sharpe ratio. Because what is Sharpe?

  • Example: I placed 10,000 dollars to the bank and I will get 0.5% monthly from it. Sharpe will have max value.
  • The other example: I am trading by EA having the profit for first month as 200 dollars, next month is -100 dollars (loss), next month is 2,000 dollars. Sharpe will have minimal (or very low) by value.

So, Sharpe is stability. I mean: we will not have so many trades yearly but we will have similar profit for every month.

 

Sergey Golubev
Moderator
110784
Sergey Golubev  

This is optimization results for this EA for EURUSD H4 using Balance + max Sharpe ration. By the way, it may be good to optimize it on lower timeframe (to use EA with very small deposit size - my goal sorry).

Results are attached. 

========== 

That is why I like Strategy tester in MT5 - we can create the settings for scalping and for any deposit size with min drawdown. By the way, I am not using optyimization with min drawdown in Strategy tester in MT because I am sorry - it is drowdown on close trades (buy in case of small deposit size - we are more interesting on floating drawdown on open trades based on equity). 

Files:
Sergey Golubev
Moderator
110784
Sergey Golubev  
Backtesting is going slowly. I think - Metaquotes should implement the Cloud for backtesting too.
Alain Verleyen
38292
Alain Verleyen  
newdigital:

I like to get the settings by optimization on the way as Balance _max Sharpe ratio. Because what is Sharpe?

  • Example: I placed 10,000 dollars to the bank and I will get 0.5% monthly from it. Sharpe will have max value.
  • The other example: I am trading by EA having the profit for first month as 200 dollars, next month is -100 dollars (loss), next month is 2,000 dollars. Sharpe will have minimal (or very low) by value.

So, Sharpe is stability. I mean: we will not have so many trades yearly but we will have similar profit for every month.

 

Sharpe ratio in your backtest is only 0.17. It seems not very good, what do you think ?

Edit : I just see in your last optimization (H4), that sharpe ratio rise to 0.57. Much better.

Sergey Golubev
Moderator
110784
Sergey Golubev  

This is backtesting results with the settings 'Balance + Sharpe ratio', EURUSD H4

 

 

 Set file is attached.

So, do you see how smoothing going on balance and equity? Yes, it is because of Sharpe. This kind of optimization is very good for lower timeframe to get the settings to trade with small deposit size.

That's all news for today.  


Files:
H4.zip 91 kb
Sergey Golubev
Moderator
110784
Sergey Golubev  

There is some logical situation:

  • more good Sharpe = less trades in a year 
  • bad Sharpe ration = many trades in a year

So, it is some kind of dilemma.

I will try to optimize the settings for lower timeframe for 1 year with 'Balance + Sharpe' just to see: can we use this EA with small deposit size or not. 

Sergey Golubev
Moderator
110784
Sergey Golubev  

And just a reminder about what we are doing here.

The thread is about signal systems (asctrend, breanwashing, braintrading etc). We did our first research about asctrend, traded it manually and after that - EA was created for it. So, for now - I am optimizing and backtesting just to find good settings to use this EA with small deposit size (I will not deposit big money to the broker sorry :) ).

EA with indicator can be downloaded from this post. Author is angevoyageur (many thanks to him).

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