- Search Forex Factory
- 269 Results (8 Threads , 261 Replies )
- yoriz replied 9 hr ago
Usually I have two settings: Number of lookback months (e.g. 30 months) -- the EA will only use the trading results of the last 'x' months when calculating the performance of each strategy. This ensures we look at recent data, not old data. ...
- yoriz replied 10 hr ago
It doesn't matter. Your equity probably changes a few percent in 3 weeks interval you use in your backtest. That only means the most recent trades weigh a few percent heavier in the optimization, but that is a neglectible effect. If you are really ...
- yoriz replied 16 hr ago
I don't know if there are any products out there. I embedded a Walk Forward Optimization in the code of my EA so it updates itself automatically during backtesting, and most importantly: during live trading. My EA reoptimizes itself automatically. I ...
- yoriz replied 17 hr ago
I think he refers to compounding. The MT5 strategy tester calculates KPIs assuming fixed risk. Profit is absolute profit. Drawdown is absolute drawdown. Profit factor is absolute profits over absolute losses, etc. Not a problem if your strategy uses ...
- yoriz replied 19 hr ago
Optimization in MT5 tries to maximize profit, maximize Sharpe Ratio, minimize drawdown, etc. All these KPIs are calculated over the entire equity curve in your backtest interval. There is no way that the profit of the last week is weighted heavier ...
- yoriz replied 20 hr ago
Hi Alex, Sorry for the slow response. I have been very busy lately. I am surprised you only look at the last 3 weeks which is a very short time! I see in the screenshots you still have about 60 trades in that time, so your strategy must be a quick ...
- yoriz replied Apr 7, 2024
In the meantime I changed the way I construct the portfolio. Instead of selecting the top 'x' best performing input parameters, I now compile a portfolio of strategies of which the Pearson correlation between any two is less then 0.5. This gives a ...
- Monte Carlo Simulation on Portfolio of Multiple Strategies
Single Strategy Monte Carlo When testing a strategy, the absolute profit of a strategy does not say ...
- yoriz replied Feb 12, 2024
I found this website that provides historical swap rates. I wrote a crawler to extract the information from the webpages and store them in CSV files you can open in your spreadsheet. file
- yoriz replied Jan 24, 2024
Below is a walk forward experiment on AUDCAD that creates and runs 5000 strategies in parallel where each of these strategies had their input parameters chosen randomly from these ranges: EntryHour = 1 .. 23 RandomSeed = 0 L1_TakeProfitPoints = 50 ...
- yoriz replied Jan 18, 2024
Dave, I actually wanted to stop putting energy into this thread, but I respect you so let me reply. My bad if the man is not a troll, but his communication style is certainly a bit "unusual". His first post came down to: "I did not read the thread, ...
- yoriz replied Jan 17, 2024
Thank you for your support, sharingan9, but just put him on the ignore-list as he is a troll here on FF. Just check the last two threads he started: one implying that real traders hedge and Martingale (yes, really!! And he is upset about my ...
- yoriz replied Jan 16, 2024
Everything ok at home? This is not curve fitting but measuring the statistical properties of a symbol. What are typical ranges prices move before they revert? That behavior seems to be fairly consistent throughout the years. So yes, the results do ...
- yoriz replied Jan 15, 2024
Thanks, glad you liked it! No, sorry. It uses several proprietary libraries I can not share. However, the logic is obviously very simple, so I am sure you can have a coder write it with little effort for a low fee.
- yoriz replied Jan 15, 2024
nubcake, you can't make very critical statements if you just "skimmed" the thread, as you call it. Please read the footnote on post #2. Then try it out yourself. Please read post #52.
- yoriz replied Jan 15, 2024
MT4? What year is this? ;-) Especially for testing and optimization it is really worthwhile to learn how to use MT5! It uses all cores of your CPU (that can be 8x or 16x faster optimizations!!), it will automatically load tick data from your broker ...
- yoriz replied Jan 13, 2024
Not sure what your plan is with this strategy. You will need additional logic for the cases the price does not reach your profit target and you end up in deep drawdown. If you are "lucky" and chose a tiny profit target like $1 you can sometimes ...
- yoriz replied Jan 11, 2024
What TP did you implement? Did you implement RR 1:1? OP wrote: "Money Management and profits can be improved using alternate exit criteria like pivots, Fibonacci, Parabolic SAR etc. Another exit strategy could be to TakeProfit if Price breaks back ...
- yoriz replied Jan 10, 2024
Well, I indeed stumbled on your interesting thread :-) In my thread "The Myth of Averaging" I experimented with random entries and controlled exits. You can indeed achieve a positive expectancy using Averaging Down (adding to losing positions): ...
- yoriz replied Jan 9, 2024
Glad to hear this was useful to you! Unfortunately this is not an easy job. You will need to create many instances of a Class that implements your strategy, each with different parameters. Then you will need to internally simulate virtual trades and ...