5 Min EUR/USD Strategy
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I managed to master this difficult day of trading. I reviewed each variable of the Strat and optimize each of them on 20,000 units including the day of 05/02.
below the chart of the backtest of the day of 05/02 as well as a new version V2.3.
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Hi everybody,
I am satisfied this morning with V2.3, even if it is still early.
I did the validation tests (OOS) with the WF module, it’s good.
(below WF Graph)Thank you for your participation. I am also satisfied with this collaboration.
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A few thoughts on a straightforward / easy way to use WF, taking 20,000 bars as an example …
For 20,000 bars then a Strat should be optimised (not using WF) over the oldest 14,00 bars and then run using WF (setting at 70% / 30%) over the full 20,000 bars.
The most recent 6,000 bars then would be the best approximation to what might be expected in Live Trade as the 6,000 bars are a true Out of sample set of data (due to not being part of the optimised period).
If optimising is done over the 20,000 bars then there is no Out of Sample period over which to check for robustness of the Strat.
How are we using WF to test Strats on this Thread?
GraHal
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Hey GraHal, your thoughts are good. This is the easiest way to produce reliable optimization, manually. The WFA tool is only an automatic tool to make it multiple times in the past, but you can also make only 1 iteration (1 IS+1 OOS) and it would be the same as the manual process you are talking about.
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@ GraHal
After two days of demo real time trade, I have compared real time performance with backtest, FOR EXACTLY THE SAME PERIOD (see the picture).
Good news : performance is quite the same (for the backtest I put a spread of 1.0, for the real time on a demo account, spread with IG goes from 0.6 to 1.5).
Maybe we just lived 1 bad day with loss (yesterday) and 1 better day with profit (today). So I keep it running and will tell you what’s going on.
Regards
Cyril
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@ Cyril 21
This comparison is interesting. We would all like ProOrder live to generate the same results as our Backtests.
It’s good to have chosen the V2.2 is that of all versions of this Strat that I studied, which in Backtest produces the best gain with a fair equity curve.
What I criticize V2.2 is its large drawdown that can become unbearable for a small starting capital.That’s why, I wondered about the interest of staying in position from 01h to 23h.
There are too many negative periods for my taste in a day of trading.I studied 2 versions for one a 18s TF and the other a 28s TF, they have a big advantage is to generate gains by staying less in position on each day of trading.
The gain is reduced, but the starting capital lower than V2.2, given a drawdown much lower. Anyway, the loss of gain is catching up by playing on 2 variables to optimize (MaxOrders, limite).
I give you these two versions below. I look forward to your comments.
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@ Gertrade
I agree with you ; the problem with V 2.2 is that sometimes the losses are so big that they cancel much of the gains, with a dangerous drawdown.
Thanks a lot for your 2 versions ; I run them and will let you know.
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