I thought of a good way to analyse all the test results from the various robustness testers that I have created.
- Run a test
- Organise the results in the optimizer window by ‘% of winners’ from low to high.
- Drag the optimiser window results into Excel.
- Create a line graph of the % of winners.
- Re-organise the results in the optimiser window by ‘Avg gain per trade’ from low to high.
- Drag the results again into Excel
- Create a line graph of the ‘Avg gain per trade’
If the lines on the charts you created are completely flat and level with no major spikes then you have a robust strategy. We should expect some inclination and maybe some ripples but we are looking for as flat a line as possible.
It might be a good idea to create an Excel sheet that you can quickly call up and that already has the charts created. You then can just drop your results into two areas on the sheet and get automatic charts. This means that you can also fix the y axis max and min values so as to ensure that when you look at any line you are comparing it like for like with previous lines that you have looked at.
Attached are two Robustness Test Random charts of a strategy that I have been working on. Settings were qty = 10 and random = 5 giving 45 tests. Not too bad – pretty flat lines but the avg gain per trade is slightly steep. Still pretty robust and profitable on all tests.
