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- yoriz replied 39 min ago
The approach by @neurotrader was a bit different from @W0lfram's candlestick patterns. But if we use different numbers instead of O, H, L, C we could try the same. In post #2 @W0lfram described the rules for a Hammer. Also in the paper linked by ...
- yoriz replied 13 hr ago
It appears to be possible to have an edge by comparing OHLC prices of the recent bars. A person named @neurotrader did some experiments: video Although very educational, you can skip the section about the genetic algorithm and jump to the Walk ...
- yoriz replied 13 hr ago
Thanks! That was interesting to read. However, their conclusion is not useful for practical applications. They tested two cases. When a Hammer forms, then... 1. price often still drops below the close-price of the Hammer bar -> no significant effect ...
- yoriz replied 42 hr ago
As a proper scientist I tried to reproduce the results of a peer... (Well, actually I was just curious ;-)) I get the same results on GU. Another way to look at the data is to plot the minimum/maximum excursion of both a random sampling and the ...
- yoriz replied 43 hr ago
I believe commonly used names for this are: Maximum Adverse Excursion (MAE) and Maximum Favorable Excursion (MFE). EDIT: Uh, no my bad. Since we are looking for both long and short opportunities there is no "favorable" direction. So maximum/minimum ...
- yoriz replied 47 hr ago
Can you please elaborate on that? Based on your graphs there doesn't seem to be SL/TP levels that on average give a profit. I love your systematic detailed analysis! No gut feeling but exact science. What is not to love? ;-) Looking forward to your ...
- yoriz replied May 29, 2024
Usually the cost of spread, slippage & commission of closing your position at the end of the day and reopening the next day is higher than the swap. Perhaps except on Wednesday when you pay tripple swap.
- yoriz replied May 28, 2024
I found this article interesting: “All that Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms”. They studied a huge amount of strategies. Two remarkable statements they make: Commonly ...
- yoriz replied May 28, 2024
Sorry if I misunderstood, but like I wrote: I think you can expect to get the same performance as you are seeing in a WFO. In fact, you can measure the difference in performance between In-Sample and Out-of-Sample during the WFO. You might for ...
- yoriz replied May 28, 2024
Lets assume your backtests matches the live execution at your broker in terms of spread, slippage, delays, etc. For strategies that keep their positions open for hours that is usually the case, for scalping strategies that keep positions for a few ...
- yoriz replied May 27, 2024
Just based on the equity curve of an optimization there is nothing you can say about the forward test. It is not hard to find beautiful equity curves with optimization, but that says nothing about the profitability of your strategy or whether it ...
- yoriz replied May 25, 2024
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 May 25, 2024
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 May 25, 2024
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 May 25, 2024
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 May 25, 2024
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 May 25, 2024
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 ...
- 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 ...