One of my EA's (conservative!) - comment please

Looks like you have something. Drawdown is good. One thing is that it is only about 8% ROI/year, not that much for a risky investment. You did say this was a conservative test. What do you have for a moderate risk?

Thanks for your reply.

For moderate risk i'm developing another 3 days ago. Here are some provisory results.

MM is the same method, lots and everything.

What do you think about the red numbers??

Symbol		EURUSD (Euro vs US Dollar)
Period		5 Minutes (M5) 1999.01.04 19:40 - 2009.01.05 21:25
Model		Every tick (the most precise method based on all available least timeframes)
Bars in test	738384	Ticks modelled	22717781	Modelling quality	89.99%
Mismatched charts errors	4
Initial deposit	10000.00
Total net profit	205749.76	Gross profit	724261.28	Gross loss	-518511.52
Profit factor	1.40	Expected payoff	79.72
Absolute drawdown	1985.60	Maximal drawdown	14861.12 (11.04%)	Relative drawdown	35.66% (5855.84)
Total trades	2581	Short positions (won %)	1267 (60.38%)	Long positions (won %)	1314 (63.09%)
		Profit trades (% of total)	1594 (61.76%)	Loss trades (% of total)	987 (38.24%)
Largest		profit trade	3360.00	loss trade	-1463.04
Average		profit trade	454.37	loss trade	-525.34
Maximum		consecutive wins (profit in money)	18 (8936.80)	consecutive losses (loss in money)	9 (-292.80)
Maximal		consecutive profit (count of wins)	9123.20 (5)	consecutive loss (count of losses)	-5760.00 (7)
Average		consecutive wins	3	consecutive losses	2

That seems like a nice curve. Drawdown not too bad. Run a test of the months where the curves dip (where the drawdown is most). I'm curious how the MM will handle that and recover the account, let's say if you started live and started with a losing curve. Also, I'm not sure your MM strategy, but try a variation of fixed lots up to a certain amount than double the lots (ex: 1000-2000 = 0.02, 2000-3000 = 0.04), or something along those lines.

jmca, i will try your suggestions and reply very soon. I made a run risking only 1% of the initial deposit (before was 5%). this is, if i lose by my predefined SL (300) it means i lose 1% of 10000 USD. So lots here are 0.3, 0.6 or 0.9.

follow the results.

Symbol		EURUSD (Euro vs US Dollar)
Period		5 Minutes (M5) 1999.01.04 19:40 - 2009.01.05 21:25
Model		Every tick (the most precise method based on all available least timeframes)
Bars in test	738384	Ticks modelled	22717781	Modelling quality	89.99%
Mismatched charts errors	4
Initial deposit	10000.00
Total net profit	34822.68	Gross profit	117448.99	Gross loss	-82626.31
Profit factor	1.42	Expected payoff	13.49
Absolute drawdown	321.44	Maximal drawdown	2253.04 (6.72%)	Relative drawdown	9.09% (1007.60)
Total trades	2581	Short positions (won %)	1267 (60.38%)	Long positions (won %)	1314 (63.09%)
		Profit trades (% of total)	1594 (61.76%)	Loss trades (% of total)	987 (38.24%)
Largest		profit trade	643.73	loss trade	-309.21
Average		profit trade	73.68	loss trade	-83.71
Maximum		consecutive wins (profit in money)	18 (1581.77)	consecutive losses (loss in money)	9 (-40.36)
Maximal		consecutive profit (count of wins)	1742.21 (9)	consecutive loss (count of losses)	-887.51 (8)
Average		consecutive wins	3	consecutive losses	2

Here are other options:

Fixed Lots, Risk 1% = 0.3 lots (FXPro)

Initial deposit	10000.00
Total net profit	17093.25	Gross profit	76887.48	Gross loss	-59794.22
Profit factor	1.29	Expected payoff	6.62
Absolute drawdown	231.36	Maximal drawdown	1347.80 (5.94%)	Relative drawdown	6.85% (828.05)
Total trades	2581	Short positions (won %)	1267 (60.38%)	Long positions (won %)	1314 (63.09%)
		Profit trades (% of total)	1594 (61.76%)	Loss trades (% of total)	987 (38.24%)
Largest		profit trade	247.24	loss trade	-107.08
Average		profit trade	48.24	loss trade	-60.58
Maximum		consecutive wins (profit in money)	18 (925.31)	consecutive losses (loss in money)	9 (-40.36)
Maximal		consecutive profit (count of wins)	925.31 (18)	consecutive loss (count of losses)	-608.89 (8)
Average		consecutive wins	3	consecutive losses	2

Multiplied Lots, Risk 1% = 0.3/0.6/0.9 lots (FXPro)

Initial deposit	10000.00
Total net profit	34822.68	Gross profit	117448.99	Gross loss	-82626.31
Profit factor	1.42	Expected payoff	13.49
Absolute drawdown	321.44	Maximal drawdown	2253.04 (6.72%)	Relative drawdown	9.09% (1007.60)
Total trades	2581	Short positions (won %)	1267 (60.38%)	Long positions (won %)	1314 (63.09%)
		Profit trades (% of total)	1594 (61.76%)	Loss trades (% of total)	987 (38.24%)
Largest		profit trade	643.73	loss trade	-309.21
Average		profit trade	73.68	loss trade	-83.71
Maximum		consecutive wins (profit in money)	18 (1581.77)	consecutive losses (loss in money)	9 (-40.36)
Maximal		consecutive profit (count of wins)	1742.21 (9)	consecutive loss (count of losses)	-887.51 (8)
Average		consecutive wins	3	consecutive losses	2

MM Formula, Risk 1% = 0.3 Start and 2.0 Finish

Initial deposit	10000.00
Total net profit	60644.76	Gross profit	324186.67	Gross loss	-263541.91
Profit factor	1.23	Expected payoff	23.50
Absolute drawdown	231.36	Maximal drawdown	8852.23 (11.62%)	Relative drawdown	13.88% (3853.42)
Total trades	2581	Short positions (won %)	1267 (60.38%)	Long positions (won %)	1314 (63.09%)
		Profit trades (% of total)	1594 (61.76%)	Loss trades (% of total)	987 (38.24%)
Largest		profit trade	1289.37	loss trade	-571.51
Average		profit trade	203.38	loss trade	-267.01
Maximum		consecutive wins (profit in money)	18 (1073.15)	consecutive losses (loss in money)	9 (-257.57)
Maximal		consecutive profit (count of wins)	4008.65 (5)	consecutive loss (count of losses)	-3600.95 (7)
Average		consecutive wins	3	consecutive losses	2

jmca suggestion, double the lots (ex: 1000-2000 = 0.02, 2000-3000 = 0.04) type Fibonacci Sequence and the 3 levels. Starts with 0.3 lots.

Bars in test	738384	Ticks modelled	22717781	Modelling quality	89.99%
Mismatched charts errors	4
Initial deposit	10000.00
Total net profit	259977.75	Gross profit	903572.58	Gross loss	-643594.83
Profit factor	1.40	Expected payoff	100.73
Absolute drawdown	1445.15	Maximal drawdown	18024.04 (10.04%)	Relative drawdown	35.51% (8174.19)
Total trades	2581	Short positions (won %)	1267 (60.38%)	Long positions (won %)	1314 (63.09%)
		Profit trades (% of total)	1594 (61.76%)	Loss trades (% of total)	987 (38.24%)
Largest		profit trade	5149.85	loss trade	-2473.66
Average		profit trade	566.86	loss trade	-652.07
Maximum		consecutive wins (profit in money)	18 (2809.89)	consecutive losses (loss in money)	9 (-322.83)
Maximal		consecutive profit (count of wins)	13937.68 (9)	consecutive loss (count of losses)	-6727.79 (7)
Average		consecutive wins	3	consecutive losses	2

I made a study about the period of the maximal drawdown verified.

Bars in test	65370	Ticks modelled	2174646	Modelling quality	90.00%
Mismatched charts errors	0
Initial deposit	10000.00
Total net profit	-150.16	Gross profit	7848.28	Gross loss	-7998.44
Profit factor	0.98	Expected payoff	-0.63
Absolute drawdown	1892.42	Maximal drawdown	2088.84 (20.49%)	Relative drawdown	20.49% (2088.84)
Total trades	237	Short positions (won %)	110 (52.73%)	Long positions (won %)	127 (65.35%)
		Profit trades (% of total)	141 (59.49%)	Loss trades (% of total)	96 (40.51%)
Largest		profit trade	338.37	loss trade	-223.94
Average		profit trade	55.66	loss trade	-83.32
Maximum		consecutive wins (profit in money)	13 (462.95)	consecutive losses (loss in money)	6 (-742.48)
Maximal		consecutive profit (count of wins)	663.20 (8)	consecutive loss (count of losses)	-742.48 (6)
Average		consecutive wins	3	consecutive losses	2

That's pretty dam good. The drawdown on all scenarios are consistently decent, even on entering the dips. ROI is good on all these, minus the dip of course. You might have a decent system here. Just curious, since it's on a 5 min timeframe, how many orders are you placing per bar? Some brokers have a cap of orders per bar to deter extreme scalping. You should stick this on a demo soon and forward test for a quarter or 2.

The first results are very good. The miximum drawdown is small (I like to see below 10%), the profit factor is high (anything above 2 is good), the % of winning trades is close to 90, the maximum and average loss trades are close to profit trades. What strategy do you use? And how do you weed out bad trades? I use stochastics for that purpose. RSI may work too, but not as good.

Send me an email if you prefer to discuss your strategy in private: gpwr9k95@yahoo.com

Here is a picture of the visual mode. I believe that closes could be better, some early entrys,... Like i said, still in development.

Hi gpwr, i only use sthocastics and rsi to open and close positions. I also use an angle indicator to determine the overal trend and open only in that direction. This last indicator multiplies my minimum defined lot. Proportional SL, TP and TS to the Timeframe used do the rest.

The only problem i see is that only open 1 or 2 positions in 5 days, because the open sthocastics dont reach easely the level to trigger the signal in a strong trend move.