Question on genetic optimisation - page 5

 

Fitted the best optimization and forecasting parameters obtained since the beginning of the year, the picture is not impressive:

When tested against these parameters from June 1:

Strategy Tester Report
ABC_exp
Alpari-Demo (Build 225)

Symbol GBPUSD (Great Britain Pound vs US Dollar)
Period 5 Minutes (M5) 2009.06.01 00:00 - 2009.08.11 23:59 (2009.06.01 - 2009.08.12)
Model By open prices (only for Expert Advisors with explicit bar opening control)
Parameters Lots=0.1; TrailingStop1=3110; StopLoss1=1500; TrailingStop2=3110; StopLoss2=1500; MAGIC_1=12345; MAGIC_2=23456; MA_Period=151; KFK=0.9;
Bars in history 15851 Modelled ticks 30699 Simulation quality n/a
Chart mismatch errors 0
Initial deposit 1000.00
Net profit 547.44 Total profit 1011.62 Total loss -464.18
Profitability 2.18 Expected payoff 12.44
Absolute drawdown 25.90 Maximum drawdown 141.88 (8.51%) Relative drawdown 8.51% (141.88)
Total trades 44 Short positions (% win) 0 (0.00%) Long positions (% win) 44 (61.36%)
Profitable trades (% of all) 27 (61.36%) Loss trades (% of all) 17 (38.64%)
Largest profitable trade 106.60 losing deal -60.50
Average profitable deal 37.47 losing trade -27.30
Maximum number continuous wins (profit) 8 (287.40) Continuous losses (loss) 4 (-37.38)
Maximum continuous profits (number of wins) 287.40 (8) Continuous loss (number of losses) -124.68 (3)
Average continuous winnings 3 continuous loss 2
And this is the forward test from July 1, the results are even worse than before the optimization, which was carried out in June, so there is something wrong with the optimization.

Strategy Tester Report
ABC_exp
Alpari-Demo (Build 225)

The symbol GBPUSD (Great Britain Pound vs US Dollar)
Period 5 Minutes (M5) 2009.07.01 00:00 - 2009.08.11 23:59 (2009.07.01 - 2009.08.12)
Model Open prices (only for Expert Advisors with explicit bar opening control)
Parameters Lots=0.1; TrailingStop1=3110; StopLoss1=1500; TrailingStop2=3110; StopLoss2=1500; MAGIC_1=12345; MAGIC_2=23456; MA_Period=151; KFK=0.9;
Bars in history 9564 Modelled ticks 18126 Simulation quality n/a
Chart mismatch errors 0
Initial deposit 1000.00
Net profit 10.32 Total profit 304.42 Total loss -294.10
Profitability 1.04 Expected payoff 0.47
Absolute drawdown 20.50 Maximum drawdown 141.48 (12.53%) Relative drawdown 12.53% (141.48)
Total trades 22 Short positions (% win) 0 (0.00%) Long positions (% win) 22 (50.00%)
Profitable trades (% of all) 11 (50.00%) Loss trades (% of all) 11 (50.00%)
Largest profitable trade 103.80 losing transaction -60.40
Average profitable deal 27.67 Deal loss -26.74
Maximum continuous wins (profit) 4 (84.12) Continuous losses (loss) 4 (-36.98)
Maximum Continuous Profit (number of wins) 136.60 (3) Continuous loss (number of losses) -124.38 (3)
Average continuous winnings 3 Continuous loss 3
 
OrlandoMagic писал(а) >>

The number of profitable trades exceeds the number of losing trades, the average profitable trade more than the losing one is a very good sign. In my opinion, you should not give up on this system, you should study its behaviour on a longer period. You can also put it on another cross.

On EURUSD, it's hanging at the level of the initial deposit.

On AUDUSD:

Strategy Tester Report
ABC_exp
Alpari-Demo (Build 225)


Symbol AUDUSD (Australian Dollar vs US Dollar)
Period 5 Minutes (M5) 2009.06.01 00:00 - 2009.07.24 22:59 (2009.06.01 - 2009.08.12)
Model By open prices (only for Expert Advisors with explicit bar opening control)
Parameters Lots=0.1; TrailingStop1=3110; StopLoss1=1500; TrailingStop2=3110; StopLoss2=1500; MAGIC_1=12345; MAGIC_2=23456; MA_Period=151; KFK=0.9;
Bars in history 12418 Modelled ticks 23834 Simulation quality n/a
Chart mismatch errors 0
Initial deposit 1000.00
Net profit 176.38 Total profit 315.21 Total loss -138.83
Profitability 2.27 Expected payoff 7.06
Absolute drawdown 29.40 Maximum drawdown 69.13 (5.70%) Relative drawdown 5.70% (69.13)
Total trades 25 Short positions (% win) 0 (0.00%) Long positions (% win) 25 (64.00%)
Profitable trades (% of all) 16 (64.00%) Loss trades (% of all) 9 (36.00%)
Largest profitable trade 51.67 losing deal -29.83
Average profitable deal 19.70 Deal loss -15.43
Maximum continuous wins (profit) 5 (94.51) Continuous losses (loss) 2 (-26.50)
Maximum Continuous Profit (number of wins) 94.51 (5) Continuous loss (number of losses) -29.83 (1)
Average continuous winnings 2 Continuous loss 1

On EURGBP:

Strategy Tester Report
ABC_exp
Alpari-Demo (Build 225)


Symbol EURGBP (Euro vs Great Britain Pound)
Period 5 Minutes (M5) 2009.06.01 00:00 - 2009.08.11 23:59 (2009.06.01 - 2009.08.12)
Model By open prices (only for Expert Advisors with explicit bar opening control)
Parameters Lots=0.1; TrailingStop1=3110; StopLoss1=1500; TrailingStop2=3110; StopLoss2=1500; MAGIC_1=12345; MAGIC_2=23456; MA_Period=151; KFK=0.9;
Bars in history 15851 Modelled ticks 30700 Simulation quality n/a
Chart mismatch errors 0
Initial deposit 1000.00
Net profit 418.67 Total profit 446.15 Total loss -27.48
Profitability 16.24 Expectation of winning 38.06
Absolute drawdown 13.16 Maximum drawdown 60.41 (4.86%) Relative drawdown 4.86% (60.41)
Total trades 11 Short positions (% win) 0 (0.00%) Long positions (% win) 11 (81.82%)
Profitable trades (% of all) 9 (81.82%) Loss trades (% of all) 2 (18.18%)
Largest profitable trade 93.62 losing transaction -21.89
Average profitable deal 49.57 losing trade -13.74
Maximum number continuous wins (profit) 6 (315.81) Continuous losses (loss) 1 (-21.89)
Maximum continuous profits (number of wins) 315.81 (6) Continuous loss (number of losses) -21.89 (1)
Average continuous winnings 3 Continuous loss 1

 

Why at the opening prices? You could try it on all ticks... But it's better to put it on a demo, you can do another system, and let this one pound... Since the tester is only an imitation... Although, the demo is also an imitation, but it is more visual...

 
OrlandoMagic писал(а) >>

Why at the opening prices? You could try it on all ticks... But it's better to put it on a demo, you can do another system, and let this one pound... Since the tester is only an imitation... Although, the demo is also an imitation, but it is more visual...

Something is not quite correct with respect to all ticks, I should sort it out, besides, the optimization for all ticks will generally last a month.

It is too early for demo, I have not done it for Sell. The system is not reversible, we cannot use mirror signals one to one, besides the Sell logic is somewhat different. I have not finished a lot of tasks, I have worked out only entry/exit signals so far.

 

Digging deep :-)

 
OrlandoMagic писал(а) >>

You're digging deep :-)

What do you mean?

 

Well, I mean, seriously taken on board...

 
OrlandoMagic >> :

Why at the opening prices? You could try it on all ticks... But it's better to put it on a demo, you can do another system, and let this one pound... Since the tester is only an imitation... Although the demo is also an imitation, but it's more visual...

What's wrong with the opening prices if your Expert Advisor just looks at the formed bars? I don't know the system under discussion, but if so, it doesn't make sense by ticks. How do closed tester bars differ from closed bars in real life? The tester's inconsistency problems are only in the artificial generation of ticks, and if one does not pips on them, then this optimization is quite adequate. Although, of course, virtual money is not a pity for plummeting, but is it worth to put on a demo what is plummeting in the tester?

 
As far as I understand, bars have a maximum and minimum value in addition to the opening and closing price, which may have an impact... Well, the author knows best...
 
OrlandoMagic >> :
As far as I understand, bars have a maximum and minimum value in addition to the opening and closing price, which can have an impact... Well, the author knows best...

The thing is, all four closed bars have the same OHLC - it doesn't come to the tester from the ceiling, but from the same online. The only problem that often appears is the mismatch between different timeframes, but it can be solved by recalculating the bars, and it affects not only the tester, but the real one as well (no corrections are made yet).

Reason: