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Tester: What the Numbers in the Expert Testing Report Mean

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MetaQuotes Software Corp.
Moderator
185979
MetaQuotes Software Corp.  

New article What the Numbers in the Expert Testing Report Mean has been published:

Article explains how to read testing reports and to interpret the obtained results properly.

Author: MetaQuotes Software Corp.

MQL4 Comments
16319
MQL4 Comments  

Maximal drawdown is the highest difference between one of local upper extremums of the EQUITY graph and the following lower extremums

in current build (206), not balance graph.

I wondered for one hour until now. It measures from the maximum temporary profit seen from the first trade, to the maximum temporary loss seen in the last trade in the drawdown. Spreads included.

Rogerio Figurelli
Moderator
42385
Rogerio Figurelli  

A suggestion for future versions of MetaTrader is improve this informations and all expert testing. For example, create a random walk simulation signal, that could be mixed with a real backtest simulation using similar genetic algorithms.

On my opinion, MetaTrader tools for creating advisors are very nice, but expert simulation and testing tools need be improved as soon as possible.

Sameer
804
Sameer  
I cant see the "relativee drawdown", update is needed.
MQL4 Comments
16319
MQL4 Comments  
t4fast:
I cant see the "relativee drawdown", update is needed.

I'd also like to see the Relative Drawdown definition..
Miroslav Popov
395
Miroslav Popov  
Expected Payoff = (ProfitTrades / TotalTrades) * (GrossProfit / ProfitTrades) - (LossTrades / TotalTrades) * (GrossLoss / LossTrades) =
= (ProfitTrades / TotalTrades) * (GrossProfit / ProfitTrades) - (LossTrades / TotalTrades) * (GrossLoss / LossTrades) =
= GrossProfit / TotalTrades - GrossLoss /TotalTrades =
= ( GrossProfit - GrossLoss ) / TotalTrades =
= TotalNetProfit / TotalTrades


Expected Payoff = TotalNetProfit / TotalTrades

 
Jinsong Zhang
16334
Jinsong Zhang  

mark

MQL4 Comments
16319
MQL4 Comments  
Also looking for info on Relative DrawDown
Greg Chrysler
71
Greg Chrysler  

I've read multiple definitions re Drawdown but they don't fit my results.

For Ex., I'll get a report that says Maximal DD 10177.62(56.07%) but if I measure my own data I find the Maximum distant from Peak to Trough (no matter equity or balance) is less than 6000.

Should the Maximal DD be somewhere around this number? According to most definitions, it should be, so why not in my case?

Ex 2, The report says Absolute DD of 888, but never does the balance or equity drop below my initial deposit.

Ex 3,  And Relative DD basically shows the reverse of my Maximal DD.

This is probably such a newb question but after reading through countless definitions (all slightly different), HELP!

 

Initial deposit5000.00
Total net profit11017.24Gross profit24645.85Gross loss-13628.62
Profit factor1.81Expected payoff48.11
Absolute drawdown888.27Maximal drawdown10177.62 (56.07%)Relative drawdown56.07% (10177.62)
Total trades229Short positions (won %)110 (70.91%)Long positions (won %)119 (73.11%)
Profit trades (% of total)165 (72.05%)Loss trades (% of total)64 (27.95%)
Largestprofit trade1688.88loss trade-1760.35
Averageprofit trade149.37loss trade-212.95
Maximumconsecutive wins (profit in money)30 (5151.98)consecutive losses (loss in money)12 (-5238.64)
Maximalconsecutive profit (count of wins)5151.98 (30)consecutive loss (count of losses)-5238.64 (12)
Averageconsecutive wins10consecutive losses4


 

Matthew Todorovski
4162
Matthew Todorovski  

Testing Report is not related to the Balance Graph in this article (report contains 105 trades, graph displays 500+ trades).

I would request MQL please provide a Testing Report example with a related Balance Graph so visitors can better understand functions expressed in the report as it relates to an account.

Francis Dogbe
9506
Francis Dogbe  
Thanks for the info
12
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