Statement (Critisism? Comments?)

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Subgenius 2010.05.15 02:59

Strategy Tester Report

AlpariUK-Demo (Build 226)

Symbol		EURUSD (Euro vs US Dollar)
Period		30 Minutes (M30) 2001.01.01 00:00 - 2010.05.12 23:30 (2001.01.01 - 2010.05.13)
Model		Every tick (the most precise method based on all available least timeframes)
Parameters		FixedLotSize=10;

Bars in test	116635	Ticks modelled	35587733	Modelling quality	90.00%
Mismatched charts errors	0

Initial deposit	5000.00
Total net profit	314,770.00	Gross profit	317,360.40	Gross loss	-2,590.40
Profit factor	122.51	Expected payoff	388.60
Absolute drawdown	650.00	Maximal drawdown	5,5354.00 (17.54%)	Relative drawdown	31.06% (1960.00)

Total trades	810	Short positions (won %)	345 (100.00%)	Long positions (won %)	465 (98.28%)
		Profit trades (% of total)	802 (99.01%)	Loss trades (% of total)	8 (0.99%)
Largest		profit trade	750.00	loss trade	-323.80
Average		profit trade	395.71	loss trade	-323.80
Maximum		consecutive wins (profit in money)	480 (190625.20)	consecutive losses (loss in money)	8 (-2590.40)
Maximal		consecutive profit (count of wins)	190,625.20 (480)	consecutive loss (count of losses)	-2,590.40 (8)
Average		consecutive wins	401	consecutive losses	8

I produced this EA and see, as you can see, hardly any losses. I am to make it more successful by adding a variable lot size and both martingale and antimartingale. I don't get from alot of people (that I encounter) that an EA will always make money, so what about these results? Critisism or Comments?

Econometrics EURUSD One-Step-Ahead Forecast

The article focuses on one-step-ahead forecasting for EURUSD using EViews software and a further evaluation of forecasting results using the programs in EViews. The forecast involves regression models and is evaluated by means of an Expert Advisor developed for MetaTrader 4.

716

1005phillip 2010.05.15 03:23

I'll just quote myself from the last time you posted this exact same backtest:

http://forum.mql4.com/31751#315337

You have a 31% drawdown but appear to have taken no losses...that means your MAE is quite significant (and relevant) as your strategy keeps large floating losses positions waiting out the market in hopes that it can eventually close for profit. This type of strategy has known outcome when tested on live markets.

Subgenius 2010.05.15 03:39

1005phillip wrote >>

I'll just quote myself from the last time you posted this exact same backtest:

http://forum.mql4.com/31751#315337

I am sure it would be great really see where my strategy stacks up with the "z-score" from articale http://articles.mql4.com/471.

I am just trying to figure out the figures..

Z for a trading system is calculated by the following formula:

Z=(N*(R-0.5)-P)/((P*(P-N))/(N-1))^(1/2)

where:
N - total amount of trades in a series;
R - total amount of series of profitable and losing trades;
P = 2*W*L;
W - total amount of profitable trades in the series;
L - total amount of losing trades in the series.

So, if I try to figure out N thinking this should be "Total Trades", then I try to figure out R and this in tern gives same?

Subgenius 2010.05.15 04:05

Subgenius wrote >>

I am sure it would be great really see where my strategy stacks up with the "z-score" from articale http://articles.mql4.com/471.

I am just trying to figure out the figures..

Z for a trading system is calculated by the following formula:

So, if I try to figure out N thinking this should be "Total Trades", then I try to figure out R and this in tern gives same?

Am I correct in stating the z-score as follows:

Z = (810*(3-0.5)-12832)/((12832*(12832-810))/(810-1))^(1/2)

Check me if I 'm wrong. Link: http://www.forextraders.com/forex-strategy/using-the-z-score-to-determine-trade-size.html

Subgenius 2010.05.15 05:02

1005phillip wrote >>

I'll just quote myself from the last time you posted this exact same backtest:

http://forum.mql4.com/31751#315337

Okay, I had to check with yahoo answers on this formula, though I have entered the variables correctly from my statement, thus to be considered suitable for profit maximization & money management methods, test must produce results that are greater than 1.96 or less than -1.96 (corresponding to the 95 percentile of normal distribution).

Z = - 0.001992546

Comments?

Subgenius 2010.05.15 05:22

Subgenius wrote >>

Z = - 0.001992546

Comments?

I am not sure this is correct, and I was given a different answer for it here:
http://answers.yahoo.com/question/index?qid=20100514173259AAjMw8D&r=w

Either way your probably right.

67	Subgenius 2010.05.16 12:10 All trades close same day.. Incidentally I was missing some chart data which incurred losses, oh and my money management is installed now so I will make an update on how it does. Link: http://forum.mql4.com/31767

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Statement (Critisism? Comments?)