How many months of Historic Data are RELEVANT for back-testing and optimizing an EA that uses M15 timeframe?

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[Deleted]  

Hi,

Given the current weakness of both EUR and USD, and the subsequent volatility of the market, it would seem to me that backtesting & optimizing an M15 timeframe-based EA on any more that the most recent 12 months of Historic Data would be a complete waste of time.

I would like to know what experienced, successful, EA-using traders have to say on this matter. All info and recommendations greatly appreciated.

Thank you,

~DV

 
It Depends. It Depends. Upon allot of different Variables. Your question is too broad. Try looking at the Statistical Behavior of the system.
 
dark_voyager:

Hi,

Given the current weakness of both EUR and USD, and the subsequent volatility of the market, it would seem to me that backtesting & optimizing an M15 timeframe-based EA on any more that the most recent 12 months of Historic Data would be a complete waste of time.

I would like to know what experienced, successful, EA-using traders have to say on this matter. All info and recommendations greatly appreciated.

Thank you,

~DV


I agree. For backtesting - I use since 2002 to at most 2007-8. Not even the past 2 years. It can be a far, far cry from what is happening at the moment.

I haven't much success with any particular trading on just a eurusd, but a lot of success doing hedges with eur's, usd's, chfs. Quick, fast ones. Cant say for certain in coming months. That I know now is the time for my balances to diversify, exclusion of holdings, etc, all in all, just play darn SAFE.

Last week, 5 eas manage to net in only 10+, over 30 frigging losses, luckily, just plain ol lady luck grabbed me 6 last minute winners each on a double barrel. Worse things may seem to happen. So, I rather wait longer than I thought.

Thank You.

[Deleted]  

Depends:

1. How many signals are you generating in a day/week/month?

2. Using an equal TP/SL for example 20/20, whats your win loss ratio?

3. using optimized TP/SL whats your perf/DD ?

First of all smaller TFs (those below H1) tend to flow in and out of phases. I doubt you will find a consistent pattern that lasts more than 3-9 months. On the other hand, if you can tune in your EA to the current 3-9 months, well then you may have something useful. Problem is dont expect it to last forever. Chances are it wont. Be flexible and constantly retune your parameters.

Some Suggestions:

1. use as much history as possible and look for patterns in the performance. Use these patterns to find time frames that are stable in recurring patterns.

2. find a recurring time period whether its 3 weeks, 3 months or whatever, where in a set of parameters is stable. this will help you find a time frame where you can tune your parms to.

3. Dont over optimize your parameter set. find a compromise between the stable time frame and a longer one such as a year or 18 months.

[Deleted]  
hkjonus:

Depends:

1. How many signals are you generating in a day/week/month?

2. Using an equal TP/SL for example 20/20, whats your win loss ratio?

3. using optimized TP/SL whats your perf/DD ?

First of all smaller TFs (those below H1) tend to flow in and out of phases. I doubt you will find a consistent pattern that lasts more than 3-9 months. On the other hand, if you can tune in your EA to the current 3-9 months, well then you may have something useful. Problem is dont expect it to last forever. Chances are it wont. Be flexible and constantly retune your parameters.

Some Suggestions:

1. use as much history as possible and look for patterns in the performance. Use these patterns to find time frames that are stable in recurring patterns.

2. find a recurring time period whether its 3 weeks, 3 months or whatever, where in a set of parameters is stable. this will help you find a time frame where you can tune your parms to.

3. Dont over optimize your parameter set. find a compromise between the stable time frame and a longer one such as a year or 18 months.

Hi Jonus,

Thanks to you (and others) for your comments. Your point about the difficulty of finding a consistent pattern that lasts more than 3-9 months is exactly in line with my thinking, and the reason I started this topic in the first place.

I have a couple of questions about your final suggestion:

1. I'm always reading advice about not over optimizing, but it seems that this is a very subjective thing.

My EA uses 8 parameters. On the first optimization run, I use the "Control Points" model, with the Genetic algorithm switched on, and the full range for each parameter, often giving over 300 million possibilities. I usually repeat this process for three runs, each time narrowing the range of each parameter, so that I end up with approx 600,000 to 1 million possibilities. At this stage, I continue with Control Points, but switch the Genetic algorithm off, running through an entire set of maybe 40,000 to 80,000 possibilities. I then analyse the results (in my own subjective way!) taking into account not only the final balance, but also the Profit Factor, the drawdown % and the Profit Trade %. Finally, having selected the "winning" parameter set, I run the Tester again in the "Every Tick" model with a range for the parameters close to the winning set from the Control Points phase. Is this about right?

2. I don't understand what you mean by: "find a compromise between the stable time frame and a longer one such as a year or 18 months".

Can you explain what this means and how to go about getting this compromise?

Thanks again for your help.

Cheers,

~DV

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