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How do you check if a live EA still matches its backtest? - page 3

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Christian Kotschote #:
Hi Eduardo,

I like the windows with the same number of trades as the live sample. That gets around the "one draw" problem without assuming independent trades, like the reshuffle does.

Losing bigger instead of more often i didnt have on my list. A streak counter stays quiet there, so the streak needs the size next to it, like you do with R.

How long does the backtest need to be for this? With 100 live trades and 1,000 backtest trades i'd only get 10 windows that don't overlap, and the worst 5% of 10 is basically the worst one again. Do you let the windows overlap?

Best regards,
Chris

Thanks Christian.

It depends on the size of the live sample. If I want to judge the EA after 100 live trades, I’d like at least 20 to 30 separate windows of 100, so 2,000 to 3,000 trades in the backtest, and they should cover different market conditions, not just a lot of trades from one quiet year.

With less history I let the windows overlap and move them forward 10 or 20 trades at a time. That gives many more windows, but they share most of their trades, so the worst 5% looks more stable than it really is. In that case I read the line as a rough guide and leave some extra room rather than switching off the moment it’s touched.

Eduardo


that's more history than i expected. An EA with about 2 trades a week makes round about 100 trades a year, so 2,000 trades would be 20 years of backtest. For those EAs the overlapping windows are the only option, and like you say the line gets softer.

Maybe thats a case for two lines instead of one. A first one where I only look closer or cut the lot size, and a second, wider one where the EA gets switched off.

Chris :)
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