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  #121 (permalink)  
Old 07-28-2009, 09:53 AM
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basket trade

Quote:
Originally Posted by mynes View Post
I've runs backtest for MOD3 & MOD4 and here are the result.
Pair : EURUSD
TF : H1
Duration : January till today.
setting : MM = false (the rest all default)
not quite understand what happened in the end. it seems for MOD3, the balance suddenly drop in May, and for MOD4, the balance suddenly drop in June.
can anybody explain?
This is what a martingale expert chart typically looks like; a long series of steady gains then one maxed out closure of all positions that either takes a major bite out of the balance or closes the account. On the statement the final closure is of 11 positions that run from .01 to .41 in lot size.

The significant benefit of the basket trading of a group of 6-12 pairs, is that the inevitable failure of one maxed out pair, rather than representing 50% of the balance, only amounts to 1/12th, or 1/24th of the balance. And the account lives on to trade another day.......
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  #122 (permalink)  
Old 07-28-2009, 10:19 AM
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Quote:
Originally Posted by marketjouster View Post
This is what a martingale expert chart typically looks like; a long series of steady gains then one maxed out closure of all positions that either takes a major bite out of the balance or closes the account. On the statement the final closure is of 11 positions that run from .01 to .41 in lot size.

The significant benefit of the basket trading of a group of 6-12 pairs, is that the inevitable failure of one maxed out pair, rather than representing 50% of the balance, only amounts to 1/12th, or 1/24th of the balance. And the account lives on to trade another day.......
but did you notice that most of the time when you have a lot of levels on one pair you also have a lot of levels on most other pairs ?
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  #123 (permalink)  
Old 07-28-2009, 10:19 AM
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Equity Protection

Quote:
Originally Posted by mynes View Post
I've runs backtest for MOD3 & MOD4 and here are the result.

Pair : EURUSD
TF : H1
Duration : January till today.
setting : MM = false (the rest all default)

not quite understand what happened in the end. it seems for MOD3, the balance suddenly drop in May, and for MOD4, the balance suddenly drop in June.

can anybody explain?
Hi mynes,

It looks like the Equity Protection was hit, this is why you get that drop...

Can you run the same test on both EAs with "Equity Protection = 75 %" ???

I agree with marketjouster in that when you trade multiple pairs the Risk is less because you can take a hit in one pair (at 50% of the Equity of that pair) but you can keep trading

But this test is very good, it would be nice to have a tester on which you could test several pairs at the same time.

Another thing we can learn from this is, a pair will hit the "Equity Protection" once in every 5 months ??? I dont think we can say that from just one test but it is a good reference point.

Thanks, pls post your tests with 75% to see the results.

epmfx
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  #124 (permalink)  
Old 07-28-2009, 10:34 AM
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Quote:
Originally Posted by mynes View Post
I've runs backtest for MOD3 & MOD4 and here are the result.

Pair : EURUSD
TF : H1
Duration : January till today.
setting : MM = false (the rest all default)

not quite understand what happened in the end. it seems for MOD3, the balance suddenly drop in May, and for MOD4, the balance suddenly drop in June.

can anybody explain?
iron deaults sets were to run on H4 for eu
may explain why
that would be good to test original bless set files on this mod version

Last edited by alex84; 07-28-2009 at 10:36 AM.
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  #125 (permalink)  
Old 07-28-2009, 10:37 AM
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group backtest

Quote:
Originally Posted by alex84 View Post
but did you notice that most of the time when you have a lot of levels on one pair you also have a lot of levels on most other pairs ?
Mynes,
Following on Alex's question, could you run the same backtest on at least 6 of the pairs that Jepm and others find most successful in forward testing? Then stack the equity/balance charts of all six, over each other, and see visually if in fact the hits to the pairs come near the same time or tend to be staggered over time (our preference).

If you ran the back tests on 12 over the same time period, then displayed all 12 in a stacked collumn, we could visually pick out ideal groups of pairs, that at least in the past, have drawdowns at different times. These might then be candidate groups for forward testing.
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  #126 (permalink)  
Old 07-28-2009, 10:47 AM
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Thumbs up

Quote:
Originally Posted by marketjouster View Post
Mynes,
Following on Alex's question, could you run the same backtest on at least 6 of the pairs that Jepm and others find most successful in forward testing? Then stack the equity/balance charts of all six, over each other, and see visually if in fact the hits to the pairs come near the same time or tend to be staggered over time (our preference).

If you ran the back tests on 12 over the same time period, then displayed all 12 in a stacked collumn, we could visually pick out ideal groups of pairs, that at least in the past, have drawdowns at different times. These might then be candidate groups for forward testing.
That is a great Idea,

It would be interesting to see if more than on pair hits the Equity P. at around the same time.
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  #127 (permalink)  
Old 07-28-2009, 10:59 AM
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here is my test on eu with original iron sets H4 with mod3 version
Attached Images
File Type: gif bless stoch eu h4 Iron settings.gif (6.2 KB, 301 views)
Attached Files
File Type: htm bless stoch eu h4 Iron settings.htm (398.7 KB, 123 views)
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  #128 (permalink)  
Old 07-28-2009, 11:05 AM
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jepm
what was the update you coded in mod3 compared to mod2 ?
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  #129 (permalink)  
Old 07-28-2009, 11:31 AM
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Quote:
Originally Posted by alex84 View Post
jepm
what was the update you coded in mod3 compared to mod2 ?
In Mod 3 i added the info on screen, DD, maxDD, that's all.

Your Backtest on EU with Iron's set H4 looks very good.

I dont Backtest now because i am on a small laptop, can you tell me where did you get the history to backtest on EU and other pairs ?
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  #130 (permalink)  
Old 07-28-2009, 11:34 AM
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Quote:
Originally Posted by jepm View Post
In Mod 3 i added the info on screen, DD, maxDD, that's all.

Your Backtest on EU with Iron's set H4 looks very good.

I dont Backtest now because i am on a small laptop, can you tell me where did you get the history to backtest on EU and other pairs ?
i downloaded the history from my broker
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