Backtesting/Optimization - page 44

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EA Automatic Optimization - Is it possible?

Hi FerruFX,

Let me introduce myself as newbie here, and after searching, I've found that you're guite advance in mql4 programming, and I'm glad to see that.

My question is simple, but create me troubles.

Is it possible we make EA that could auto optimize itself everytime it close the order and prior to open new position?

Please guide me through and thanks in advance.

 
jhp2025:
Hi FerruFX,

Let me introduce myself as newbie here, and after searching, I've found that you're guite advance in mql4 programming, and I'm glad to see that.

My question is simple, but create me troubles.

Is it possible we make EA that could auto optimize itself everytime it close the order and prior to open new position?

Please guide me through and thanks in advance.

I am not a specialist in optimizing but I think some of great coders here work(ed) on it.

FerruFx

 

Maybe this article will be usefull for you:

Automated Optimization of a Trading Robot in Real Trading - MQL4 Articles

and may be this thread

https://www.mql5.com/en/forum/174396

Regards.

 

AutoOptimizationEA

Well FerruFX and SmartMan,

Thanks a lot for both of you, it would be very usefull to all of us especially the one you already provided into this forum.

Great job and best wishes,

 

Backtesting

I'm old-enough that I used "TradeStation 3" when-it-was the only-game in-town, but I'm STILL not a programmer!

Anyway, the idea was-to-make a rigorous system, one-that-wouldn't "fall-apart" at-the-slightest morphing of-the-market... (futures)

Our criteria was FIVE-YEARS-worth of-data, sometimes 1-minute!

First, you backtested-with 3-years of-data on your system, with the other 2-years considered "out-of-sample"...and tested-again on-it.

Now-you went-and tested-on this out-of-sample data, and if-you got-good-enough results, you'd find even MORE data to-test-on...Again, out-of-sample.

Forgive-me-here, but anybody can-make a system that-shows a million $$ a-month on recent-data!!

It's called "curve-fitting" and you WILL regret using-it with real-money.!

When-you-see success-rates-of around 50%, that's all you-can-expect from a long-term, robust system.

By "long-term" I DON'T mean long-timeframe, I-mean long testing-period.

Some-were 1-minute, but-were-still-tested-over 5-years (Broker's delight!)

The only-other-way is-to-have something "self-optomizing", whereby the indicators, logic, whatever, optimizes parameters every 15-60 minutes or-so.

This keeps the system able-to-change with the market, like a Cheetah running-down its prey....

The prey "zigs", and the Cheetah zigs, likewise-for "zag"........

 

Strategy tester and overnight

Hi folks

Can anyone here tell me, if I test my EA on startegy tester, does it also include the overnight fees(trade opened overnight), as they are on, eg. Alpari? Does the startegy tester includes really all the features of the "real" trading?

Thanks

 
hanss:
Hi folks

Can anyone here tell me, if I test my EA on startegy tester, does it also include the overnight fees(trade opened overnight), as they are on, eg. Alpari? Does the startegy tester includes really all the features of the "real" trading?

Thanks

Forex is a 24 hs market. So, datafeed it's a 24 hs datafeed, that's includes night. About second part of the question, some poeple believes "yes" but I have my big doubts.

 
hanss:
Does the startegy tester includes really all the features of the "real" trading?

I am pretty sure that your broker forget to play with your money on the tester like he does on your real account.

Believe me or not but brokers don't hunt your stops on the tester, no peak, no server disconnection, etc ...

So if you want to be billionaire, play safe ... play with the tester

FerruFx

 

haha;-)

You are funny I just wanted to get answer, whether the backtester includes the price for an opening a position and all this stuff or should I include it myself. Many brookers have different prices (2 or 3 pips etc), so my concern was whether I should it include into the file by hand or whether every broker sets these parameter implicitely into the MT...

Thanks in advance

 
hanss:
You are funny I just wanted to get answer, whether the backtester includes the price for an opening a position and all this stuff or should I include it myself. Many brookers have different prices (2 or 3 pips etc), so my concern was whether I should it include into the file by hand or whether every broker sets these parameter implicitely into the MT... Thanks in advance

Ok. Sorry for my wrong answer ... but I still don't understand your need.

FerruFx

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