Is this for real? 10k to 5mm in one year!

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9	tomcat1762 2008.03.09 02:03 So I wrote one of my first EA's, it seemed to favor USDCAD, so I tweaked and tweaked until I got the attached results. Can this be for real or is backtesting just a way we lie to ourselves about potential results?

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2462	phy 2008.03.09 04:04 "I tweaked and tweaked" Run it forward for the next month on a demo account and give us another report. Be sure to remember to attach it next time.

30	alpha430 2008.03.09 06:44 over-optimization.

5	clam0391 2008.03.09 15:55 yes we'd like to see it, have another shot at sending it.

1235

BarrowBoy 2008.03.10 13:54

tomcat1762 wrote:
So I wrote one of my first EA's, it seemed to favor USDCAD, so I tweaked and tweaked until I got the attached results. Can this be for real or is backtesting just a way we lie to ourselves about potential results?

Back testing does have limitations, the main issues are:

1) Over-optimisation - i.e. setting parameters based on historical patterns that will never happen again - or more typically, missing a situation that results in a vicious drawdown that is lurking somewhere in the next week/month/quarter of upcoming data!

2) Metaquotes history data is a little 'kinder' to EA's than single-broker

3) Some EA types just dont backtest accurately at all - I dont pretend to know why. Most common situation is, "EA does great in back testing, bombs in forward". More rarely, an EA that loses on back testing will win well on forward...! These seem to be the EA's that retain price & win/loss data in complex arrays, working out S&R levels on the fly and trading between them - but again I cant explain the 'why' of this - just is!

Having said that, you have to start somewhere & opening a chart based on a backtest can reveal a pattern of why your EA is losing

My 2c worth

-BB-

tomcat1762 2008.03.11 00:05

phy wrote:

"I tweaked and tweaked"

Run it forward for the next month on a demo account and give us another report.

Be sure to remember to attach it next time.

I tried to attach the file, it is an htm, i put the file name etc in the 'attach file' box on the bottom, but it did not attach it. Do I have to press something besides 'Update' ? File size is 38KB

Attached files:

v33b.txt (7.80 KB)

tomcat1762 2008.03.11 23:25

Strategy Tester Report

SoSimpleItsStupidv33

AlpariUS-Demo (Build 211)

Symbol		USDCAD (US Dollar vs Canadian Dollar)
Period		5 Minutes (M5) 2007.03.05 00:00 - 2008.03.05 23:55 (2007.03.05 - 2008.03.06)
Model		Every tick (the most precise method based on all available least timeframes)
Parameters		TakeProfit=130; StopLoss=90; Lots=10; longshort=-1; lossstreak=0; flip=2; total=1; ticket=0; pricestep=10; target=10; slstep=0; tpstep=10; adxtarget=35; macdrange=1; minlot=1; lotincrease=2; lotdecrease=2; maxlot=590;

Bars in test	69653	Ticks modelled	921300	Modelling quality	90.00%
Mismatched charts errors	0

Initial deposit	10000.00
Total net profit	5092389.21	Gross profit	9240865.98	Gross loss	-4148476.77
Profit factor	2.23	Expected payoff	101847.78
Absolute drawdown	4819.07	Maximal drawdown	1657182.18 (96.38%)	Relative drawdown	96.38% (1657182.18)

Total trades	50	Short positions (won %)	50 (52.00%)	Long positions (won %)	0 (0.00%)
		Profit trades (% of total)	26 (52.00%)	Loss trades (% of total)	24 (48.00%)
Largest		profit trade	816465.78	loss trade	-576985.77
Average		profit trade	355417.92	loss trade	-172853.20
Maximum		consecutive wins (profit in money)	9 (6094238.39)	consecutive losses (loss in money)	8 (-1124978.18)
Maximal		consecutive profit (count of wins)	6094238.39 (9)	consecutive loss (count of losses)	-1124978.18 (8)
Average		consecutive wins	3	consecutive losses	3

#	Time	Type	Order	Size	Price	S / L	T / P	Profit	Balance
1	2007.03.05 00:00	sell	1	10.00	1.1771	1.1861	1.1641
2	2007.03.20 15:15	t/p	1	10.00	1.1641	1.1861	1.1641	11243.84	21243.84
3	2007.03.20 21:45	sell	2	20.00	1.1614	1.1704	1.1484
4	2007.04.10 11:53	t/p	2	20.00	1.1484	1.1704	1.1484	22854.15	44097.99
5	2007.04.12 00:55	sell	3	40.00	1.1398	1.1488	1.1268
6	2007.04.18 16:10	t/p	3	40.00	1.1268	1.1488	1.1268	46229.88	90327.87
7	2007.04.23 08:50	sell	4	80.00	1.1236	1.1326	1.1106
8	2007.04.30 14:41	t/p	4	80.00	1.1106	1.1326	1.1106	93945.20	184273.08
9	2007.04.30 19:35	sell	5	160.00	1.1082	1.1172	1.0952
10	2007.05.18 10:06	t/p	5	160.00	1.0952	1.1172	1.0952	191549.73	375822.81
11	2007.05.21 12:42	sell	6	320.00	1.0852	1.0942	1.0722
12	2007.05.29 15:52	t/p	6	320.00	1.0722	1.0942	1.0722	389327.56	765150.37
13	2007.05.29 19:35	sell	7	590.00	1.0730	1.0820	1.0600
14	2007.06.04 08:04	t/p	7	590.00	1.0600	1.0820	1.0600	725456.46	1490606.83
15	2007.06.05 04:57	sell	8	590.00	1.0588	1.0678	1.0458
16	2007.06.08 12:12	s/l	8	590.00	1.0678	1.0678	1.0458	-495641.73	994965.10
17	2007.06.11 00:26	sell	9	295.00	1.0613	1.0703	1.0483
18	2007.06.13 09:51	s/l	9	295.00	1.0703	1.0703	1.0483	-247760.74	747204.35
19	2007.06.19 04:20	sell	10	147.50	1.0712	1.0802	1.0582
20	2007.06.28 22:28	t/p	10	147.50	1.0582	1.0802	1.0582	182030.43	929234.78
21	2007.07.02 13:06	sell	11	295.00	1.0606	1.0696	1.0476
22	2007.07.06 16:26	t/p	11	295.00	1.0476	1.0696	1.0476	366976.48	1296211.26
23	2007.07.09 21:26	sell	12	590.00	1.0489	1.0579	1.0359
24	2007.07.11 08:57	s/l	12	590.00	1.0579	1.0579	1.0359	-501194.41	795016.85
25	2007.07.11 23:53	sell	13	295.00	1.0552	1.0642	1.0422
26	2007.07.16 16:23	t/p	13	295.00	1.0422	1.0642	1.0422	368722.96	1163739.82
27	2007.07.17 03:01	sell	14	590.00	1.0440	1.0530	1.0310
28	2007.07.26 16:23	s/l	14	590.00	1.0530	1.0530	1.0310	-500967.49	662772.32
29	2007.07.30 16:38	sell	15	295.00	1.0684	1.0774	1.0554
30	2007.08.02 00:17	t/p	15	295.00	1.0554	1.0774	1.0554	364120.71	1026893.03
31	2007.08.02 01:16	sell	16	590.00	1.0566	1.0656	1.0436
32	2007.08.14 17:02	s/l	16	590.00	1.0656	1.0656	1.0436	-495258.59	531634.44
33	2007.08.17 11:36	sell	17	295.00	1.0776	1.0866	1.0646
34	2007.08.17 14:26	t/p	17	295.00	1.0646	1.0866	1.0646	360296.88	891931.32
35	2007.08.20 09:20	sell	18	590.00	1.0595	1.0685	1.0465
36	2007.08.21 23:20	s/l	18	590.00	1.0685	1.0685	1.0465	-496611.30	395320.02
37	2007.08.24 00:27	sell	19	295.00	1.0537	1.0627	1.0407
38	2007.08.28 17:20	s/l	19	295.00	1.0627	1.0627	1.0407	-249534.78	145785.23
39	2007.09.04 07:00	sell	20	145.78	1.0532	1.0622	1.0402
40	2007.09.12 13:47	t/p	20	145.78	1.0402	1.0622	1.0402	182801.56	328586.79
41	2007.09.12 22:36	sell	21	291.57	1.0369	1.0459	1.0239
42	2007.09.18 14:33	t/p	21	291.57	1.0239	1.0459	1.0239	371156.85	699743.65
43	2007.09.20 06:36	sell	22	583.14	1.0137	1.0227	1.0007
44	2007.09.20 14:15	t/p	22	583.14	1.0007	1.0227	1.0007	757551.71	1457295.36
45	2007.09.27 09:55	sell	23	590.00	1.0020	1.0110	0.9890
46	2007.10.05 13:00	t/p	23	590.00	0.9890	1.0110	0.9890	778013.63	2235308.99
47	2007.10.09 00:26	sell	24	590.00	0.9873	0.9963	0.9743
48	2007.10.11 16:25	t/p	24	590.00	0.9743	0.9963	0.9743	788514.85	3023823.84
49	2007.10.12 02:55	sell	25	590.00	0.9766	0.9856	0.9636
50	2007.10.19 17:14	t/p	25	590.00	0.9636	0.9856	0.9636	798077.25	3821901.09
51	2007.10.23 06:40	sell	26	590.00	0.9767	0.9857	0.9637
52	2007.10.23 14:04	t/p	26	590.00	0.9637	0.9857	0.9637	795890.84	4617791.93
53	2007.10.25 15:20	sell	27	590.00	0.9656	0.9746	0.9526
54	2007.10.29 18:41	t/p	27	590.00	0.9526	0.9746	0.9526	805765.90	5423557.83
55	2007.10.31 06:09	sell	28	590.00	0.9541	0.9631	0.9411
56	2007.11.02 12:00	t/p	28	590.00	0.9411	0.9631	0.9411	816465.78	6240023.62
57	2007.11.07 08:46	sell	29	590.00	0.9113	0.9203	0.8983
58	2007.11.07 20:12	s/l	29	590.00	0.9203	0.9203	0.8983	-576985.77	5663037.85
59	2007.11.09 19:15	sell	30	295.00	0.9411	0.9501	0.9281
60	2007.11.12 05:47	s/l	30	295.00	0.9501	0.9501	0.9281	-279264.59	5383773.26
61	2007.11.12 10:13	sell	31	147.50	0.9479	0.9569	0.9349
62	2007.11.12 12:12	s/l	31	147.50	0.9569	0.9569	0.9349	-138729.23	5245044.03
63	2007.11.19 03:39	sell	32	73.75	0.9738	0.9828	0.9608
64	2007.11.19 16:09	s/l	32	73.75	0.9828	0.9828	0.9608	-67529.76	5177514.27
65	2007.11.21 00:20	sell	33	36.87	0.9812	0.9902	0.9682
66	2007.11.21 14:30	s/l	33	36.87	0.9902	0.9902	0.9682	-33511.41	5144002.86
67	2007.11.22 21:05	sell	34	18.43	0.9843	0.9933	0.9713
68	2007.11.27 10:49	s/l	34	18.43	0.9933	0.9933	0.9713	-16667.36	5127335.51
69	2007.11.28 08:35	sell	35	9.21	0.9962	1.0052	0.9832
70	2007.12.04 12:51	s/l	35	9.21	1.0052	1.0052	0.9832	-8216.33	5119119.18
71	2007.12.07 19:21	sell	36	4.60	1.0059	1.0149	0.9929
72	2007.12.11 20:23	s/l	36	4.60	1.0149	1.0149	0.9929	-4073.73	5115045.44
73	2007.12.14 05:45	sell	37	2.30	1.0193	1.0283	1.0063
74	2007.12.17 16:00	t/p	37	2.30	1.0063	1.0283	1.0063	2972.45	5118017.89
75	2007.12.18 05:59	sell	38	4.60	1.0058	1.0148	0.9928
76	2007.12.21 16:59	t/p	38	4.60	0.9928	1.0148	0.9928	6035.09	5124052.98
77	2007.12.21 21:27	sell	39	9.21	0.9933	1.0023	0.9803
78	2007.12.27 15:00	t/p	39	9.21	0.9803	1.0023	0.9803	12241.76	5136294.74
79	2007.12.28 02:00	sell	40	18.43	0.9811	0.9901	0.9681
80	2008.01.02 09:01	s/l	40	18.43	0.9901	0.9901	0.9681	-16687.55	5119607.19
81	2008.01.02 21:10	sell	41	9.21	0.9918	1.0008	0.9788
82	2008.01.04 16:11	s/l	41	9.21	1.0008	1.0008	0.9788	-8260.29	5111346.90
83	2008.01.07 16:00	sell	42	4.60	1.0004	1.0094	0.9874
84	2008.01.09 15:06	s/l	42	4.60	1.0094	1.0094	0.9874	-4096.35	5107250.55
85	2008.01.10 08:22	sell	43	2.30	1.0101	1.0191	0.9971
86	2008.01.11 13:11	s/l	43	2.30	1.0191	1.0191	0.9971	-2030.03	5105220.52
87	2008.01.17 04:46	sell	44	1.15	1.0240	1.0330	1.0110
88	2008.01.21 12:04	s/l	44	1.15	1.0330	1.0330	1.0110	-1000.77	5104219.75
89	2008.01.25 17:14	sell	45	1.00	1.0066	1.0156	0.9936
90	2008.01.30 14:39	t/p	45	1.00	0.9936	1.0156	0.9936	1309.90	5105529.65
91	2008.01.30 22:03	sell	46	2.00	0.9921	1.0011	0.9791
92	2008.01.31 14:34	s/l	46	2.00	1.0011	1.0011	0.9791	-1794.78	5103734.86
93	2008.02.01 01:47	sell	47	1.00	1.0028	1.0118	0.9898
94	2008.02.07 13:55	s/l	47	1.00	1.0118	1.0118	0.9898	-886.36	5102848.50
95	2008.02.13 01:05	sell	48	1.00	1.0013	1.0103	0.9883
96	2008.02.15 19:16	s/l	48	1.00	1.0103	1.0103	0.9883	-888.78	5101959.72
97	2008.02.18 22:00	sell	49	1.00	1.0077	1.0167	0.9947
98	2008.02.19 20:58	s/l	49	1.00	1.0167	1.0167	0.9947	-884.62	5101075.10
99	2008.02.21 08:06	sell	50	1.00	1.0126	1.0216	0.9996
100	2008.03.05 01:18	t/p	50	1.00	0.9996	1.0216	0.9996	1314.11	5102389.21

10	doblece 2008.05.01 00:10 Maximal and relative drawdown is 96.38%? Sounds awfully risky despite the amazing results... And biggest position 590 LOTS? $5900 per pip? Sounds quite unreal later on for a real live account...

2	greycool 2008.05.01 09:32 doblece wrote: Maximal and relative drawdown is 96.38%? Sounds awfully risky despite the amazing results... And biggest position 590 LOTS? $5900 per pip? Sounds quite unreal later on for a real live account... Ya thats pretty unrealistic. hahah

14	gdub 2008.05.01 19:39 Yup, forward testing on a demo is the only way to know how an EA "feels". I agree with previous comments, though... I wouldn't want to be on the hook with 590 lots open.

daraknor 2008.05.04 05:33

Never trade martingale systems. Very simple. Very true. Even if you have a statistical advantage to every trade taken in the martnigale and you do all sorts of account safety, eventually you end up on the wrong side of a string. Martingale systems just delay the loss, they don't help the balance long term.

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Is this for real? 10k to 5mm in one year!