Posted By: kap
ticks/no-ticks effect on backtesting - 12/18/16 14:34
The strategy below generates suprisingly good test results on EUR/USD, GBP/USD, USD/JPY.
So good in fact I set it up running against a demo account - actual results were very different.
I have since come across the TICKS parameter and the backtest results have been cured of their optimism.
It's not clear to me why TICKS had such a profound effect on the results (especially considering that I only have M1 data, not tick data). I am also wondering when - if ever - testing should be done without TICKS given the misleading results.
During testing what is the logic for simulating execution prices and times given entry stop & limit prices, stop prices and take profits?
-K
So good in fact I set it up running against a demo account - actual results were very different.
I have since come across the TICKS parameter and the backtest results have been cured of their optimism.
It's not clear to me why TICKS had such a profound effect on the results (especially considering that I only have M1 data, not tick data). I am also wondering when - if ever - testing should be done without TICKS given the misleading results.
During testing what is the logic for simulating execution prices and times given entry stop & limit prices, stop prices and take profits?
-K
Code:
//
// no_ticks_skys_the_limit
//
function run() {
BarPeriod = 30;
Hedge = 0;
Weekend = 2;
StartDate = 2010;
EndDate = 20160930;
Lots = 10000;
vars prices = series(price());
var ema = EMA(prices, 7);
var atr = ATR(7);
Entry = -ema;
TakeProfit = atr*0.5;
Stop = atr*5;
if (priceLow() > ema && NumOpenLong <= 0) { enterLong (); }
if (priceHigh() < ema && NumOpenShort <= 0) { enterShort(); }
}
Code:
Test no_ticks_skys_the_limit EUR/USD Simulated account AssetsFix Bar period 30 min (avg 43 min) Test period 05.01.2010-01.10.2016 (81755 bars) Lookback period 80 bars (40 hours) Monte Carlo cycles 200 Simulation mode Realistic (slippage 5.0 sec) Spread 1.1 pips (roll -0.10/-0.11) Contracts per lot 1.0 Gross win/loss 41691$ / -16674$ (+28109p) Average profit 3714$/year, 309$/month, 14$/day Max drawdown -263$ 1% (MAE -263$ 1%) Total down time 47% (TAE 17%) Max down time 27 days from Oct 2014 Max open margin 264$ Max open risk 348$ Trade volume 102405046$ (15202334$/year) Transaction costs -8846$ spr, -235$ slp, -8.53$ rol Capital required 440$ Number of trades 9036 (1342/year, 26/week, 6/day) Percent winning 87.7% Max win/loss 33$ / -151$ Avg trade profit 2.77$ 3.1p (+5.9p / -16.8p) Avg trade slippage -0.03$ -0.0p (+0.3p / -2.1p) Avg trade bars 1 (+1 / -5) Max trade bars 43 (21 hours) Time in market 20% Max open trades 1 Max loss streak 4 (uncorrelated 4) Annual return 845% Profit factor 2.50 (PRR 2.40) Sharpe ratio 9.33 Kelly criterion 10.31 R2 coefficient 0.890 Ulcer index 0.1% Confidence level AR DDMax Capital 10% 900% 222$ 413$ 20% 881% 236$ 422$ 30% 872% 242$ 426$ 40% 861% 250$ 431$ 50% 855% 255$ 434$ 60% 849% 259$ 437$ 70% 843% 264$ 440$ 80% 837% 269$ 444$ 90% 826% 278$ 450$ 95% 812% 289$ 457$ 100% 712% 386$ 522$ Portfolio analysis OptF ProF Win/Loss Wgt% EUR/USD .999 2.50 7921/1115 100.0 EUR/USD:L .999 2.39 3886/585 47.2 EUR/USD:S .999 2.62 4035/530 52.8