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I have encountered an interesting situation.
Above is the backtest chart built by MT5-Tester. The abscissa unit (horizontal axis) is a deal. It is not an interesting chart.
And below is the chart of the same backtest (Report built), but the abscissa unit (horizontal axis) is time. The graph is interesting because of its stability: profit per unit of time.
The red rectangles show the same trading interval.
What and when to analyse the chart?
The question is what and when to analyse the graph?
For evaluating the TS - the first one, as it is simpler.
For evaluation of inclusion in the portfolio - the second one.
It is clear that such indicators as the recovery factor should be calculated taking into account the time interval.
It is clear that indicators such as the recovery factor need to be considered with a time horizon.
The recovery factor (and many other indicators) does not depend on the chart type.
The recovery factor (and many other metrics) is independent of the type of schedule.
It depends directly - it can be a peak drawdown indicator - which happens once in 10 years, to cover it you need to attract, let's say, 5 times more funds than you have on your account. It is necessary to attract - let's say, for a week. And calculate how the efficiency index of cash utilisation will change, if you calculate it in relation to the deposit.
Yes - this is relevant for netters - but it is an example of what to use time for.It depends directly - it can be a peak drawdown indicator - which happens once in 10 years, to cover it you need to attract, let's say, 5 times more funds than you have on your account. It is necessary to attract - let's say, for a week. So, calculate how the indicator of the efficiency of the use of funds will change, if you count it against the deposit.
I don't get it. It would be nice to have a code.
I don't get it. A code would be nice.
I haven't written the code yet - I was thinking about such an indicator myself today and then your message came up - that's why I wrote it.
What I don't like about the recovery factor is the maximum drawdown for the whole period and accumulation of profit, in other words - the more period we do the test, the better this indicator will be, which does not give any objective assessment. That's why we need an indicator that will consider drawdown as attracted funds for which it is necessary to pay - and the more often and longer this attraction, the worse the indicator should be.
Let's say we have 100k - 10% is used for trading - 90% is put in the bank, the strategy allows that the amount of funds for trading on rare days can exceed the initial balance by 3 times, then we need to attract funds on these days, let's say by replenishing the account through a credit card with interest (20%) for a month. Agree, this is not the same as to top up 30% of available funds at once. It is not reasonable to freeze a large amount of money in the account, if it can still earn somewhere else in the meantime.
It is the same for portfolio trading, but we consider the percentage of diverted funds from the total pool. The more often this diversion occurs, the more likely it is that at one point the money will be insufficient for trading.What we don't like about the recovery factor is the maximum drawdown over the entire period and the accumulation of profit, in other words, the longer the test period, the better this indicator will be, which does not give any objective assessment. That is why we need an indicator that will consider drawdown as attracted funds for which it is necessary to pay - and the more often and longer this attraction, the worse the indicator should be.
If the way of applying the PV in the optimisation criteria, such dependence on the size of the testing interval becomes unimportant, because the interval is fixed.
Let's say we have 100k - we allocate 10% for trading - we put 90% in the bank, the strategy allows that the amount of funds for trading on rare days can exceed the initial balance by 3 times, then we need to attract funds on these days, let's say by replenishing the account through a credit card with interest (20%) for a month. Agree, this is not the same as to top up 30% of the available funds at once. It is not reasonable to freeze a large amount of money in the account, if it can still earn somewhere else in the meantime.
It is the same for portfolio trading, but we consider the percentage of diverted funds from the total pool. The more often this diversion occurs, the more likely it is that at one point the money will be insufficient for trading.I couldn't quite figure it out. If something will be born in the form of implementation, it will be already constructive.
Above is a backtest chart plotted by MT5-Tester. The abscissa unit (horizontal axis) is a trade. Uninteresting chart.
And below is the chart of the same backtest (built by Report), but the abscissa unit (horizontal axis) is time. The graph is interesting because of its stability: profit per unit of time.
What and when to analyse the graph?
I see only the bottom chart as useful.
The number of deals per unit of time, as well as the uniformity of their distribution over time, are also very valuable. Especially for real trading (conditional 2 weeks without trades are very nerve-wracking).