fun with equity curves!

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schnappi
248
schnappi  

fun with equity curves!


Strategy Tester Report
test
(Build 226)

SymbolEURUSD-fx (Euro vs US Dollar)
Period1 Hour (H1) 2008.01.02 01:00 - 2008.09.03 23:00 (2008.01.01 - 2008.09.04)
ModelEvery tick (the most precise method based on all available least timeframes)
Bars in test5225Ticks modelled805566Modelling quality90.00%
Mismatched charts errors0




Initial deposit10000.00



Total net profit348.51Gross profit8725.38Gross loss-8376.87
Profit factor1.04Expected payoff1.39

Absolute drawdown1265.40Maximal drawdown29087.80 (73.76%)Relative drawdown73.76% (29087.80)

Total trades251Short positions (won %)0 (0.00%)Long positions (won %)251 (49.40%)

Profit trades (% of total)124 (49.40%)Loss trades (% of total)127 (50.60%)
Largestprofit trade98.45loss trade-117.75
Averageprofit trade70.37loss trade-65.96
Maximumconsecutive wins (profit in money)124 (8725.38)consecutive losses (loss in money)127 (-8376.87)
Maximalconsecutive profit (count of wins)8725.38 (124)consecutive loss (count of losses)-8376.87 (127)
Averageconsecutive wins124consecutive losses127

Ubzen
5299
Ubzen  
LoL ... very funny. That's a nice smiley-face you've created there.
Viffer
614
Viffer  

Ha, well, a win is a win... what can you say!

So what does it mean with the equity curve so far away from balance? I saw one similar recently and couldn't get my head around why equity would be such a differnce from balance.

V

schnappi
248
schnappi  
It means, that there are open positions. You can frequently see both lines differ widely when backtesting (hopefully not trading!) certain commercial systems, which carry on losing trades instead of taking a loss.
bernd
989
bernd  

how did you keep the equity so constant and make the balance so smoothly moving despite the chaotic price moves during this period? It seems you had some big open positions (in profit) in the middle of the curve but how did you make it so smooth? I can't see any offsetting positions to keep the equity flat, I see no short positions, only long, you must have been heavily exposed to the market with all these open positions, why isn't this visible in the equity curve? Did you use real prices and carefully crafted trades or was this a generated price curve?

schnappi
248
schnappi  

boy, so many questions.

check this out. this is the source code of this awesome piece of work:

int start()
{
int ticket;
ticket=OrderSend(Symbol(),OP_BUY,0.1,NormalizeDouble(Ask,Digits),3,0,0,"",0,0,Green);

return(0);
}


this is the next big thing. having a good spread it even spits out a PF>1,1 :D


btw I consider selling this system, since this is definitely a masterpiece. I call it: Magic Forex Quantum Droid. Turbo. Just have to set up the dll and a fancy website...

bernd
989
bernd  

I see.

The whole "equity curve" above is only the closing of all the trades. All that can be seen in the above chart happens at one point in time, at the end of the test. This explains everything :-)

This is one of the flaws in the backtester that I find extremely annoying and misleading: It won't plot anything when opening a trade, only when closing. This allows for funny "positive" spikes during the closing of a martingale for example that will completely hide the drawdown by simply closing the profitable trades first.

Ubzen
5299
Ubzen  
schnappi:

boy, so many questions.

check this out. this is the source code of this awesome piece of work:

this is the next big thing. having a good spread it even spits out a PF>1,1 :D

btw I consider selling this system, since this is definitely a masterpiece. I call it: Magic Forex Quantum Droid. Turbo. Just have to set up the dll and a fancy website...

Woah, where can i find this Awesome "Magic Forex Quantum Droid. Turbo". Must get my hands on it while supplies last. I'm guess it's only being sold to the first 10k customers as to not kill the signal until v2 comes out. Is there a video advertisement which have those Awesome sound effects like a holly-wood Si-fi movie and huge texts flying through ulter-space? I find those very informative.

schnappi
248
schnappi  

Now this one here is called: the neuro magic hook master.


SymbolAUDUSD (Australian Dollar vs US Dollar)
Period1 Hour (H1) 2008.01.02 01:00 - 2008.02.06 23:00 (2008.01.01 - 2008.02.07)
ModelEvery tick (the most precise method based on all available least timeframes)
Parameters

Bars in test1625Ticks modelled118226Modelling quality90.00%
Mismatched charts errors0




Initial deposit10000.00



Total net profit151.71Gross profit634.37Gross loss-482.66
Profit factor1.31Expected payoff1.12

Absolute drawdown345.19Maximal drawdown742.25 (6.85%)Relative drawdown7.13% (740.71)

Total trades135Short positions (won %)135 (75.56%)Long positions (won %)0 (0.00%)

Profit trades (% of total)102 (75.56%)Loss trades (% of total)33 (24.44%)
Largestprofit trade8.03loss trade-17.49
Averageprofit trade6.22loss trade-14.63
Maximumconsecutive wins (profit in money)102 (634.37)consecutive losses (loss in money)33 (-482.66)
Maximalconsecutive profit (count of wins)634.37 (102)consecutive loss (count of losses)-482.66 (33)
Averageconsecutive wins102consecutive losses33




The code is a bit more sophisticated than last time, but still no "trade picking" or something like that. Just a normal bug, that's it.

zzuegg
1499
zzuegg  
scarface
98
scarface  

Hi,

I believe that he got the stop-out or say margin call placing as many trades as possible winnings and lossings and the results got that way. I did this in the past with unlimited number of trades eventually closing everything with margin call.

There is no surprise here :)

Thanks for sharing anyways <^_^>

Good luck,

SF

12
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