How to know if the system is good enought? 500 trades is a good sample size?

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patagonia2015
176
patagonia2015  

I have never found a system that in a backtesting of 40 FX pairs and at least 500 trades on each, all or most pairs are in profit.

For example I have a system that give me profit on 15 pairs (each backtest have at least 500 trades). On the rest it gives me a loss. I didn't do any "optimization", since I'm not 100% sure of how to protect against curve fitting.

This sound any good?

Anyone that have experts advisors actually working in a real account can tell me if is possible or recommended to perform a backtest in many FX pairs and expect to have most of the pairs in profit (let's say 80% of the pairs analyzed)?

Or this never happen and I should continue testing the system in the "few" pairs that exhibit promising results?

Thank you!

Tan Phan Ngoc
1311
Tan Phan Ngoc  
Backtest more than 2 years is better
Kareem Abdelhakim
1709
Kareem Abdelhakim  
patagonia2015:

I have never found a system that in a backtesting of 40 FX pairs and at least 500 trades on each, all or most pairs are in profit.

For example I have a system that give me profit on 15 pairs (each backtest have at least 500 trades). On the rest it gives me a loss. I didn't do any "optimization", since I'm not 100% sure of how to protect against curve fitting.

This sound any good?

Anyone that have experts advisors actually working in a real account can tell me if is possible or recommended to perform a backtest in many FX pairs and expect to have most of the pairs in profit (let's say 80% of the pairs analyzed)?

Or this never happen and I should continue testing the system in the "few" pairs that exhibit promising results?

Thank you!

500 trades sounds fairly good sample . However you can't say it's objective until you see how and when all of these orders were opened . For example if it's scalping EA that opens alot of trades through out a single day , then all of these 500 trades could be for only 5 or 6 days which makes it of course invalid sample even if these 500 were opened during amonth it's still invalid . To make sure that it's valid look at the pattern and times 
Duong Vo Van
697
Duong Vo Van  
I think you should focus on drawdown rate, size of each order compare with balance, ignore win rate. Beside that, growth rate is very important
Dua Yong Rew
5683
Dua Yong Rew  

Depends on the time frame.

For example if you trade in weekly time frame a two year period can only give your between 20 to 40 plus signals

patagonia2015
176
patagonia2015  

Thanks for the comments. So in your opinion is not important or required to have a system that works on most currency pairs (80% of for example 40 fx pairs)?

I would like to see a system that works on many pairs, that would be a vote on confidence for robustness in my view, but I think is very difficult if not impossible.

I'm on the 5 minute timeframe and many FX pairs have larger spread and because of the "small" stop loss in the 5M timeframe, it could be a reason why is not working in many of them.

So is 2 years  and more than 500 trades a good sample size in a 5 minute timeframe Sytem?

patagonia2015
176
patagonia2015  
The other thing is Sharpe Ratio, I never have a ratio of more than 0.5 in my backtests. Seems really difficult to have a SR of more than 1 as expected in many places. Maybe is easier to have a SR > 1 in investments and not day trading FX?
Rafael Grecco
469
Rafael Grecco  
patagonia2015:

Thanks for the comments. So in your opinion is not important or required to have a system that works on most currency pairs (80% of for example 40 fx pairs)?

I would like to see a system that works on many pairs, that would be a vote on confidence for robustness in my view, but I think is very difficult if not impossible.

I'm on the 5 minute timeframe and many FX pairs have larger spread and because of the "small" stop loss in the 5M timeframe, it could be a reason why is not working in many of them.

So is 2 years  and more than 500 trades a good sample size in a 5 minute timeframe Sytem?

I would run more tests than that. In my opinion 500 trades are too few trades to evaluate a system. Also, if it runs horribly on any pair, I would try to fix it. It should at least breakeven on the worst situation on any pair.

I usually test my EAs on the majors FX pairs from to 2015-2018, that's 4 years of data. If it runs well, I run on more pairs (around 15 FX pairs, I choose all that I would trade based on my broker's spread numbers).

If all runs well, then I run it from 2007-2018 on selected major pairs. That's thousands of trades.

And just like you, I don't like opmitization. I quitted trying to optimize EAs some time ago.

If a EA can run well with a fixed strategy and fixed parameters on all those tests, I think it will work.

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