Backtesting/Optimization - page 47
You are missing trading opportunities:
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
Registration
Log in
You agree to website policy and terms of use
If you do not have an account, please register
#property link ""
//---- input parameters
extern bool AccountIsIBFXmini=false;
extern double Lots=0.1;
extern double MaximumRisk=0.03;
extern double DecreaseFactor=300;
extern double MinLot=0.01;
extern int Slippage=3;
extern double TrailingStop=30;
double StartBalance,StartEquity;
extern bool UseHourTrade = false;
extern int FromHourTrade = 6;
extern int ToHourTrade = 18;
//---- global variables
int dir=0;
int openorders=0;
int cnt;
string pair;
int MagicNumber;
int bsflag=0;
int bstarget=0;
//+------------------------------------------------------------------+
//| expert initialization function |
//+------------------------------------------------------------------+
int init()
{
if (Symbol() == "AUDCADm" || Symbol() == "AUDCAD") { MagicNumber = 427101; }
if (Symbol() == "AUDJPYm" || Symbol() == "AUDJPY") { MagicNumber = 427102; }
if (Symbol() == "AUDNZDm" || Symbol() == "AUDNZD") { MagicNumber = 427103; }
if (Symbol() == "AUDUSDm" || Symbol() == "AUDUSD") { MagicNumber = 427104; }
if (Symbol() == "CHFJPYm" || Symbol() == "CHFJPY") { MagicNumber = 427105; }
if (Symbol() == "EURAUDm" || Symbol() == "EURAUD") { MagicNumber = 427106; }
if (Symbol() == "EURCADm" || Symbol() == "EURCAD") { MagicNumber = 427107; }
if (Symbol() == "EURCHFm" || Symbol() == "EURCHF") { MagicNumber = 427108; }
if (Symbol() == "EURGBPm" || Symbol() == "EURGBP") { MagicNumber = 427109; }
if (Symbol() == "EURJPYm" || Symbol() == "EURJPY") { MagicNumber = 427110; }
if (Symbol() == "EURUSDm" || Symbol() == "EURUSD") { MagicNumber = 427111; }
if (Symbol() == "GBPCHFm" || Symbol() == "GBPCHF") { MagicNumber = 427112; }
if (Symbol() == "GBPJPYm" || Symbol() == "GBPJPY") { MagicNumber = 427113; }
if (Symbol() == "GBPUSDm" || Symbol() == "GBPUSD") { MagicNumber = 427114; }
if (Symbol() == "NZDJPYm" || Symbol() == "NZDJPY") { MagicNumber = 427115; }
if (Symbol() == "NZDUSDm" || Symbol() == "NZDUSD") { MagicNumber = 427116; }
if (Symbol() == "USDCHFm" || Symbol() == "USDCHF") { MagicNumber = 427117; }
if (Symbol() == "USDJPYm" || Symbol() == "USDJPY") { MagicNumber = 427118; }
if (Symbol() == "USDCADm" || Symbol() == "USDCAD") { MagicNumber = 427119; }
if (MagicNumber == 0) { MagicNumber = 427199; }
pair = Symbol();
return(0);
}
//+------------------------------------------------------------------+
//| expert deinitialization function |
//+------------------------------------------------------------------+
int deinit()
{
return(0);
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+
//| Calculate open positions |
//+------------------------------------------------------------------+
int GetCurrentOrders()
{
//---- calc open OrderSelect
openorders=0;
dir=0;
for(int i=0;i<OrdersTotal();i++)
{
if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false) break;
if(OrderSymbol()==Symbol() && OrderMagicNumber()==MagicNumber)
{
openorders+=1;
if(OrderType()==OP_BUY) dir=1;
if(OrderType()==OP_SELL) dir=-1;
}
}
}
//+-------------------End Calculate open positions-------------------+
//+------------------------------------------------------------------+
//| Calculate optimal lot size |
//+------------------------------------------------------------------+
double LotsOptimized()
{
double lot=Lots;
int orders=HistoryTotal(); // history orders total
int losses=0; // number of losses orders without a break
//---- select lot size
lot=NormalizeDouble(AccountFreeMargin()*MaximumRisk/500.0,1);
//---- calculate number of losses orders without a break
if(DecreaseFactor>0)
{
for(int i=orders-1;i>=0;i--)
{
if(OrderSelect(i,SELECT_BY_POS,MODE_HISTORY)==false) { Print("Error in history!"); break; }
if(OrderSymbol()!=Symbol() || OrderMagicNumber()!=MagicNumber || OrderType()>OP_SELL) continue;
//----
if(OrderProfit()>0) break;
if(OrderProfit()<0) losses++;
}
if(losses>1) lot=NormalizeDouble(lot-lot*losses/DecreaseFactor,1);
}
//---- return lot size
if(lot>999) lot=999;
if(lot<MinLot) lot=MinLot;
return(lot);
}
//+-------------------End Calculate optimal lot size-----------------+
//+------------------------------------------------------------------+
//| Close Open Position |
//+------------------------------------------------------------------+
int CloseTrade()
{
for(int i=0;i<OrdersTotal();i++)
{
if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false) break;
if(OrderSymbol()==Symbol() && OrderMagicNumber()==MagicNumber)
{
if(OrderType()==OP_BUY) OrderClose(OrderTicket(),OrderLots(),Bid,3,Yellow);
if(OrderType()==OP_SELL) OrderClose(OrderTicket(),OrderLots(),Ask,3,Yellow);
}
}
}
//+----------------------End Close Open Position---------------------+
//+------------------------------------------------------------------+
//| Open Trade Position |
//+------------------------------------------------------------------+
int OpenTrade()
{
int vLots=LotsOptimized();
if (bsflag==1) OrderSend(Symbol(),OP_BUY,LotsOptimized(),Ask,Slippage,0,Ask+bstarget*Point,"NoLoss",MagicNumber,0,Green);
if (bsflag==2) OrderSend(Symbol(),OP_SELL,LotsOptimized(),Bid,Slippage,0,Ask-bstarget*Point,"NoLoss",MagicNumber,0,Red);
}
//+----------------------End Open Trade Position---------------------+
//+------------------------------------------------------------------+
//| Buy/Sell Indicator |
//+------------------------------------------------------------------+
int CalcBSI()
{
//---- calc current indicators
//double val1=iCustom("GBPJPY",0,"NoLoss",0,0,0);
//double val2=iCustom("GBPJPY",0,"NoLoss",0,1,0);
//double val3=iCustom("USDJPY",0,"NoLoss",0,0,0);
//double val4=iCustom("USDJPY",0,"NoLoss",0,1,0);
double val1=iOpen("GBPJPY",0,0);
double val2=iClose("GBPJPY",0,0);
double val3=iOpen("USDJPY",0,0);
double val4=iClose("USDJPY",0,0);
double nval1=xDiv(val1,val2);
double nval2=xDiv(val3,val4);
if(nval1>nval2)
{
bsflag=2;
bstarget=(nval1-nval2)*10000;
} else
if(nval1<nval2)
{
bsflag=1;
bstarget=(nval2-nval1)*10000;
}
else
{
bsflag=0;
bstarget=0;
}
if(bstarget<10)
{
bsflag=0;
bstarget=0;
}
}
//+-----------------------End Buy/Sell Indicator---------------------+
//+------------------------------------------------------------------+
//| expert start function |
//+------------------------------------------------------------------+
int start()
{
if (Period()<PERIOD_H1) { Alert("Only on H1 or larger!"); return(0); } // For use only on H4 --- NO ERROR if activated
for(cnt=0;cnt<OrdersTotal();cnt++)
{
OrderSelect(cnt, SELECT_BY_POS, MODE_TRADES);
if(OrderType()<=OP_SELL && // check for opened position
OrderSymbol()==Symbol() && OrderMagicNumber()==MagicNumber) // check for symbol and magic number
{
if(OrderType()==OP_BUY) // long position is opened
{
// check for trailing stop
if(TrailingStop>0){
if(Bid-OrderOpenPrice()>Point*TrailingStop)
{
if(OrderStopLoss()<Bid-Point*TrailingStop)
{
OrderModify(OrderTicket(),OrderOpenPrice(),Bid-Point*TrailingStop,OrderTakeProfit(),0,Green);
return(0);
}
}
}
}
else // go to short position
{
// check for trailing stop
if(TrailingStop>0){
if((OrderOpenPrice()-Ask)>(Point*TrailingStop))
{
if((OrderStopLoss()>(Ask+Point*TrailingStop)) || (OrderStopLoss()==0))
{
OrderModify(OrderTicket(),OrderOpenPrice(),Ask+Point*TrailingStop,OrderTakeProfit(),0,Red);
return(0);
}
}
}
}
}
}
//+--------------------End TrailingStop & BreakEven------------------+
if (UseHourTrade)
{
if (!((Hour() >= FromHourTrade) && (Hour() <= ToHourTrade)))
{
Comment("Non-Trading Hours!");
return(0);
}
}
GetCurrentOrders();
CalcBSI();
Comment("\nStart Balance= ",StartBalance,",","Start Equity= ",StartEquity,
"\nBalance: ",AccountBalance(),","," Equity: ",AccountEquity(),","," TotalProfit: ",AccountProfit(),
"\nBSFlag: ",bsflag,"\nbstarget: ",bstarget);
//---- exit trades
if (openorders!=0) {
if ((bsflag==1) && (dir<0)) CloseTrade();
if ((bsflag==2) && (dir>0)) CloseTrade();
}
//---- open trades
else
{
if (bsflag != 0 && bstarget>20) OpenTrade();
}
}
//+---------------------End Expert Start Function--------------------+
double xDiv(double a, double b)
{
if(b==0) return(b); else return(a/b);
}please help anyone!
Is there a way to filter the strategy tester reports using the "short positions won %" and "long positions won %" as criteria in the optimisation report. Currently you can only filter on profit, total trades, profit factor, expected payoff etc.
Thanks in advance!
MT4 Vs. Trade Station
Greetings All,
Was wondering if I could get some feedback/opinions/ideas from the wealth of people smarter than me on this board.
When I back-test a strategy on MT4 I get different results than when I backtest using Trade Station....the coding is the same...when watching live trades they trigger and exit at the same time etc....but the back testing gives very different results...who should I believe?
I've heard that TS data is better than MT4 but wanted to find out what some of you thought...
Thanks to all
Greetings All,
Was wondering if I could get some feedback/opinions/ideas from the wealth of people smarter than me on this board.
When I back-test a strategy on MT4 I get different results than when I backtest using Trade Station....the coding is the same...when watching live trades they trigger and exit at the same time etc....but the back testing gives very different results...who should I believe?
I've heard that TS data is better than MT4 but wanted to find out what some of you thought...
Thanks to allThey're completely different programs, differences will be.
They're completely different programs, differences will be.
Hi Linuxser....again thanks for the reply and thanks for moving this to the proper thread.
Absolutely, I expect there to be some differences, as they are different programs...I guess what I'm wondering is should I trust the back test results of one over the other...the live forward trades jibe 95% of the time...As an example...what would you (or any other member here) do if you were approached with two sets of results trading the same strategy...dismiss both...trust the one with the best results...
Again thanks for all the effort and time you put into making this place so helpful.
example...what would you (or any other member here) do if you were approached with two sets of results trading the same strategy...dismiss both...trust the one with the best results... Again thanks for all the effort and time you put into making this place so helpful.
The same I do always. Paper + pen + excel + system on the chart + my own judgment.
How do you optimize?
What is the best way to optimize an EA? I found a very good EA that needs to be optimized and I have no idea how to do it.
Someone did it for Alpari and I need to do it for IBFX? Can anyone help?
Thanks in advance for any help.
Mr Chips
The same I do always. Paper + pen + excel + system on the chart + my own judgment.
Possible to get different Tester results?
I am getting different results when testing the same EA on the same symbol using the same date range.
Clicking start multiple times returns different results. My initial reaction was there is some random function in the EA, but I can't see anything like that in the code. Looking at the detailed report for each order line, the rows are out by a cent or two in Price, S/L and T/P.
What have I missed? This is MT4, build 218.
???
------------------------------------