Statement (Critisism? Comments?)

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Strategy Tester Report
AlpariUK-Demo (Build 226)


Symbol EURUSD (Euro vs US Dollar)
Period 30 Minutes (M30) 2001.01.01 00:00 - 2010.05.12 23:30 (2001.01.01 - 2010.05.13)
Model Every tick (the most precise method based on all available least timeframes)
Parameters FixedLotSize=10;
Bars in test 116635 Ticks modelled 35587733 Modelling quality 90.00%
Mismatched charts errors 0
Initial deposit 5000.00
Total net profit 314,770.00 Gross profit 317,360.40 Gross loss -2,590.40
Profit factor 122.51 Expected payoff 388.60
Absolute drawdown 650.00 Maximal drawdown 5,5354.00 (17.54%) Relative drawdown 31.06% (1960.00)
Total trades 810 Short positions (won %) 345 (100.00%) Long positions (won %) 465 (98.28%)
Profit trades (% of total) 802 (99.01%) Loss trades (% of total) 8 (0.99%)
Largest profit trade 750.00 loss trade -323.80
Average profit trade 395.71 loss trade -323.80
Maximum consecutive wins (profit in money) 480 (190625.20) consecutive losses (loss in money) 8 (-2590.40)
Maximal consecutive profit (count of wins) 190,625.20 (480) consecutive loss (count of losses) -2,590.40 (8)
Average consecutive wins 401 consecutive losses 8


I produced this EA and see, as you can see, hardly any losses. I am to make it more successful by adding a variable lot size and both martingale and antimartingale. I don't get from alot of people (that I encounter) that an EA will always make money, so what about these results? Critisism or Comments?

 

I'll just quote myself from the last time you posted this exact same backtest:

https://www.mql5.com/en/forum/125644

You have a 31% drawdown but appear to have taken no losses...that means your MAE is quite significant (and relevant) as your strategy keeps large floating losses positions waiting out the market in hopes that it can eventually close for profit. This type of strategy has known outcome when tested on live markets.

 
1005phillip wrote >>

I'll just quote myself from the last time you posted this exact same backtest:

https://www.mql5.com/en/forum/125644

You have a 31% drawdown but appear to have taken no losses...that means your MAE is quite significant (and relevant) as your strategy keeps large floating losses positions waiting out the market in hopes that it can eventually close for profit. This type of strategy has known outcome when tested on live markets.


I am sure it would be great really see where my strategy stacks up with the "z-score" from articale https://www.mql5.com/en/articles/1492.

I am just trying to figure out the figures..

Z for a trading system is calculated by the following formula:

Z=(N*(R-0.5)-P)/((P*(P-N))/(N-1))^(1/2)

where:
N - total amount of trades in a series;
R - total amount of series of profitable and losing trades;
P = 2*W*L;
W - total amount of profitable trades in the series;
L - total amount of losing trades in the series.

So, if I try to figure out N thinking this should be "Total Trades", then I try to figure out R and this in tern gives same?

 
Subgenius wrote >>


I am sure it would be great really see where my strategy stacks up with the "z-score" from articale https://www.mql5.com/en/articles/1492.

I am just trying to figure out the figures..

Z for a trading system is calculated by the following formula:

where:
N - total amount of trades in a series;
R - total amount of series of profitable and losing trades;
P = 2*W*L;
W - total amount of profitable trades in the series;
L - total amount of losing trades in the series.

So, if I try to figure out N thinking this should be "Total Trades", then I try to figure out R and this in tern gives same?


Am I correct in stating the z-score as follows:

Z = (810*(3-0.5)-12832)/((12832*(12832-810))/(810-1))^(1/2)

Check me if I 'm wrong. Link: http://www.forextraders.com/forex-strategy/using-the-z-score-to-determine-trade-size.html

 
1005phillip wrote >>

I'll just quote myself from the last time you posted this exact same backtest:

https://www.mql5.com/en/forum/125644

You have a 31% drawdown but appear to have taken no losses...that means your MAE is quite significant (and relevant) as your strategy keeps large floating losses positions waiting out the market in hopes that it can eventually close for profit. This type of strategy has known outcome when tested on live markets.


Okay, I had to check with yahoo answers on this formula, though I have entered the variables correctly from my statement, thus to be considered suitable for profit maximization & money management methods, test must produce results that are greater than 1.96 or less than -1.96 (corresponding to the 95 percentile of normal distribution).

Z = - 0.001992546

Comments?

 
Subgenius wrote >>


Okay, I had to check with yahoo answers on this formula, though I have entered the variables correctly from my statement, thus to be considered suitable for profit maximization & money management methods, test must produce results that are greater than 1.96 or less than -1.96 (corresponding to the 95 percentile of normal distribution).

Z = - 0.001992546

Comments?

I am not sure this is correct, and I was given a different answer for it here:
http://answers.yahoo.com/question/index?qid=20100514173259AAjMw8D&r=w

Either way your probably right.

 

All trades close same day.. Incidentally I was missing some chart data which incurred losses, oh and my money management is installed now so I will make an update on how it does.

Link: https://www.mql5.com/en/forum/125657

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