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
//
// 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(); }
}
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