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Hi Petko,
Yeah its more a good R/D (>1) I am aiming for rather than just a small drawdown. I’m aiming to have a go at some trading challenges like FTMO, myforexfunds etc and they all require about a 10% profit with a maximum 10% drawdown in a month so I figure if I can keep my R/D > 1 then have a decent shot of passing.
Sounds like we agree on the diversity of assets and strategies being the best way of controlling drawdown. I do include it when I am filtering strategies but I feel a well put together portfolio would have a much bigger effect on controlling drawdown.
Its also a shame the EA studio cant create a combined portfolio of different assets so can see the true combined drawdown.
Currently I just sum the drawdowns for all the pair portfolios and then multiply by a factor of 0.6 as an estimate, assuming that its reasonably conservative that most will be on their worst drawdown at the exact same time. I’m sure in many cases it would be a lot lower than this though but its the best I have come up with for the time being though.
Jaroslav, it definitely sounds like you are not ready to be moving anything to live yet. Use a second demo as a mock live account to move your EAs till, then once you have build confidence in what you are doing you will feel much more comfortable moving to live.
One additional suggestion Mario, it sound like you put this together pretty quickly on what I am assuming is a recent end date of the sample?
I would suggest repeating what you did exactly but set the end date back six months or so. Then assuming you have a collection of say 50 strategies that you think look good add a sample of them (or all of them) to the portfolio and then recalculate for the most recent six months (Kind of running a second OOS manually).
That might give a quick indication on the likelihood of current your process resulting in curve fitting. Also you mention running the generator rather than the reactor which also adds to this concern.
Ordinarily I wouldn’t think spread or slippage would wreck things (provided a sensible approach is taken) but if you were trading every bar like this then I’d say spread, slippage and commission would be extremely likely to kill it.
As Petko said the major concern is the length of the trade and that you have traded every single bar of the entire set? I actually cant even comprehend how such a strategy would be created. Its really just opening a long or short trade at the start of EVERY single bar and then closing it at the end of the bar and immediately reopening another long or short position which seems pretty wild.
Hi Mario,
You asked how realistic the strategies are:
What robustness tests have you performed? How many bars? What timeframe are you using?
As to widening spread killing the strategy two suggestions if you are concerned about this then here are a few suggestions to check this out:
1. You can simply increase the spread from 10-20 for example and see how it affects your strategy
2. Run a monte carlo on spread only
These shouldn’t show much effect as generally the strategy will simply improve if you lower the fixed spread and and vice versa if you increase it.
A check I often perform is to change the trading session time in tools from 00:00 – 24:00 to 01:00 -24:00 as I have noticed that this can be quite a volatile time for spread and so it has a measurable negative impact I personally don’t take that as a good sign.
Of course the most accurate way will be to run it on a demo and see the results when trading real-time with variable spreads.
If your strategy passes all those check then I wouldn’t be concerned about spread (In my opinion anyway), but there are many more checks required to increase the probability of your strategy being a robust one. Its as much an art as a science I reckon.
It can be quite easy to get excellent results as you have shown but you have to be careful that you have not simply allowed EA studio to curve fit results.
Resolved: It wasnt the software mismatching. I was using premium data in EA Studio and my broker data in MT4. For a couple of currencys broker data was more different than I would have liked but I got things to match by importing broker data into EA studio. Probably wasnt that different but I was just doing some checks and wanted things closer, was being a little bit too pedantic I think.
I think I have half figured it out. Seems that when I look at the indicator chart in EA studio that the bars start at 41 and if I go back to the last day of the weekend then the trades match exactly. I think it may be something to do with EA studio requiring a certain number of bars to calculate the indicators for the signal. Im not toally certain what exactly is happening though.
To add to this, I have run the visual mode in MT4 and also inspected the indicator chart in EA studio.
The entry signal is the aligator teeth corssing above the jaws for the buy and opposite for sell. Everything matches up except that according to the indicator chart in EA studio a signal is clearly made but no entry is applied?
Hi Petko,
How often do you update the pool on the course? Sounds like you update your personal pool almost daily but I am assuming that the zip file on the course is updated monthly?
Hi Petko,
Yes you are correct that there is no issue, I could not replicate the problem.
I think I must have got myself mixed up between the data sources and jumped to the embarrassingly arrogant conclusion that the software was making a mistake rather than me.
Hugely appreciative of your content btw!! Its changed everything for the better for me