How do you validate that an EA is truly profitable? - page 2
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I personally do this:
For starters, the graph of the Tester is not the end-all be-all of the Tester Report. The Tester generates a boatload of statistics in that Report (Testing Report - Algorithmic Trading, Trading Robots - MetaTrader 5 Help). Additionally, there are several more expansive reporting utilities in the CodeBase and Articles. Familiarize yourself with each statistic and determine which ones are most important for your particular strategy and its weak spots.
If you have demo price data and live price data, be sure to test on live price data. You need to find a way to calculate your average live spread, slippage, and/or commissions. Some broker-dealers publish/advertise that information on their websites (excluding horrible numbers around the daily close/open). If you're already live trading a strategy, there are several utilities in the CodeBase and Articles for collecting spread and slippage statistics. You can then input those numbers into the Tester (a commission slot may or may not appear depending on your specific broker-dealer).
If you're testing on tick data, I recommend searching the Forum for how to accurately evaluate ticks in your code and backtest on tick data. If your strategy only uses OHLC data, this is more straightforward.
Regarding the building process, this is basically "the elephant in the room." I find that the standard timeframe charts generally present utter chaos. I'm a big fan of transferring price data from a standard timeframe chart into a smoothed custom chart, e.g., Renko, range bars, etc. I experiment with various brick/bar sizes until I see readily apparent swings in the price data. A "shortcut" to finding the right brick/bar size is Stanislav Korotky's Uniformity Factor indicator:
If I don't get that "bingo!" moment where swings jump out at me on the custom charts that I've tried, then I simply move on to another instrument/symbol.
Only after that price smoothing process is successful and complete, do I begin to apply calculations and indicators to the custom chart. Remember, the underlying data is smoothed so the calculations/indicators applied thereto are inherently smoothed as well. My last building step prior to testing is writing an EA that analyzes the custom chart data and trades the standard symbol. There are several custom chart EA coding tutorials on the web.
I tought I knew how to build EAs, but this is very new perspective into building them.
Could you elaborate more the part about the renko charts as well as the Stanislav's indicator? Or do you have an example?
Im gonna pin this topic, very interesting answers.
For me, I usually backtest → demo → then small live account.
Demo already filters out a lot. If it can’t even hold on demo, no point going further. Small live is where you really see the truth, especially with execution and spreads.
I don’t rely too much on metrics alone. You can make the numbers look good with optimisation.
For me, I usually backtest → demo → then small live account.
Demo already filters out a lot. If it can’t even hold on demo, no point going further. Small live is where you really see the truth, especially with execution and spreads.
I don’t rely too much on metrics alone. You can make the numbers look good with optimisation.
Do you try using same broker as the EA provider?
There is no point on testing it on demo. The trading environment is too flawless. No slippage.
I tried to run an ea on the cent account. But while backtesting it, the capital is not in cents and its in USD. How do I backtest it in cent mode?
I am asking this because I want to simulate the best lot sizing and stop setting for the cent account.
I tried to run an ea on the cent account. But while backtesting it, the capital is not in cents and its in USD. How do I backtest it in cent mode?
I am asking this because I want to simulate the best lot sizing and stop setting for the cent account.
Click on the $ icon in the Tester Settings, and then click on Specifications:
You might be able to adjust the numbers on the right side. Just know that I haven't tested this because my data provider erroneously shows 0's that don't take effect.
Click on the $ icon in the Tester Settings, and then click on Specifications:
You might be able to adjust the numbers on the right side. Just know that I haven't tested this because my data provider erroneously shows 0's that don't take effect.
What do i change it to?
Thank you. But what do I put in there? The tick size is shown as 0.001 and tick value is like 0.1000000
What do i change it to?
0.1 standard lots is a mini lot, 0.1 mini lots is a micro lot, 0.1 mini lots is a micro lot, and 0.1 micro lots is a nano (cent) lot─assuming that you're trading OTC FX or CFD instruments.
So... Assuming that the Tester is bottomed out at a micro lot, adjust the tick value to 0.01 to compensate for a cent lot.
Again, this assumes that your tick size is correct. If not, change it to match your live chart's price decimal digits as well, e.g., 0.0001