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in backtesting, how to determine the uniform behaviour of the balance curve based on the ST report...

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cyberglassed
611
cyberglassed 2014.06.10 00:36 

Hello folk, I goold like to know, which of the following Strategy Tester report parameters

infrom me about the uniform behaviour of the balance curve after bactesting:


Strategy Tester report parameters:

http://iticsoftware.com/images/backtest-parameteres.jpg


good situation: (uniform curve)

http://iticsoftware.com/backtest.gif


bad situation: (not uniform curve)

http://tradarz.com/pictures/graph-tab.png

Rodrigo Malacarne
Moderator
9903
Rodrigo Malacarne 2014.06.10 01:09  
cyberglassed:

Hello folk, I goold like to know, which of the following Strategy Tester report parameters

infrom me about the uniform behaviour of the balance curve after bactesting:

I would say drawdown could give you a good idea, although it's not exactly a measure of how "steady" your equiy curve is. A steady equity curve (as shown in the second picture) should ideally have a small drawdown.
cyberglassed
611
cyberglassed 2014.06.10 01:47  
Malacarne:
I would say drawdown could give you a good idea, although it's not exactly a measure of how "steady" your equiy curve is. A steady equity curve (as shown in the second picture) should ideally have a low drawdown.

I also thought about this, but I think it has not too much accuracy,

any other ideas?

Rodrigo Malacarne
Moderator
9903
Rodrigo Malacarne 2014.06.10 01:59  
cyberglassed:

I also thought about this, but I think it has not too much accuracy,

any other ideas?

You can also try to develop a custom criteria for your backtest, for instance, the slope of the equity curve. As an example of how to develop these custom criteria, please take a look at this article: https://www.mql5.com/en/articles/286

If you want a specific measure for equity curve "straightness", please take a look at this link: http://qusma.com/2013/09/23/equity-curve-straightness-measures/ 

I hope it helps you somehow.

Regards,
Malacarne 

Creating Custom Criteria of Optimization of Expert Advisors
Creating Custom Criteria of Optimization of Expert Advisors
  • 2011.09.07
  • Dmitriy Skub
  • www.mql5.com
The MetaTrader 5 Client Terminal offers a wide range of opportunities for optimization of Expert Advisor parameters. In addition to the optimization criteria included in the strategy tester, developers are given the opportunity of creating their own criteria. This leads to an almost limitless number of possibilities of testing and optimizing of Expert Advisors. The article describes practical ways of creating such criteria - both complex and simple ones.
Alain Verleyen
Moderator
30742
Alain Verleyen 2014.06.10 10:16  
Malacarne:

You can also try to develop a custom criteria for your backtest, for instance, the slope of the equity curve...
Malacarne 

Doesn't this lead to curve fitting ? In my opinion yes, but it's only a guess.
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