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Martingale Back Test Accuracy.

DoubleTrap (ForexSeeker)
May 17 2010 at 00:42
814 posts
Back test base on martingale grid probably will have the nearest accuracy with forward test.
Simple indicator like MA and stochastic that trigger it to open trade then follow a fix grid of money management system of martingale.

The reason to back test martingale is to find out how much initial deposit you need for the system.
You can not back test a whole year as the profit you make will increase your initial deposit every month.
You need to back test on every month using a fix deposit.

So my brother did write a martingale EA, and I have improve it a bit and find the following result.

AlpariUK - Demo micro acc.
Month : Net Profit : D.D.
Jan'09 : 118 : 1673
Feb'09 : 123 : 315
Mac'09 : 440 : 1377
Apr'09 : 235 : 1001
May'09: 215 : 946
Jun'09: 267 : 376
Jul'09: 73 : 330
Aug'09: 135 : 460
Sep'09: 128 : 443
Oct'09: 140 : 302
Nov'09: 164 : 678

Dec'09 got open trade till end of month so need to combine Jan'10

Dec-Jan'10 : 235 : 1556
Feb'10 : 123 : 315
Mac'10: 73 : 271
Apr'10: 200 : 108.

Conclusion : 3k initial deposit needed. Average ROI (16month) = 5.1%


      

Information is Gold when come to organised.
DoubleTrap (ForexSeeker)
May 18 2010 at 16:18
814 posts
A strange thing happened, today I re-do back test again and find the result is different.
Dec can go through with 3k; and some other month result also different.
And I do back test on Alpari RU, the result also different, in Alpari RU, the draw down seem less compare to UK.
Still a long way to adjust better ROI result, while finding the back test different in each broker.
And when I switch between version 2 and version 3 of EA to redo back test , the result is different again.
Now even no switch EA, do back test 2 times, result also different.

Information is Gold when come to organised.
DoubleTrap (ForexSeeker)
May 19 2010 at 08:51
814 posts
The mystery of back test.

Have look into the folder TESTER. The history folder contain my 1 minute data.
When close down platform, the history data center will need to download data again.
As then I do export the data 1 minute out. And import it again when restart.

Problem occur shut down platform, the memory still have terminal.exe running with 100+MB of memory.
I have to end task it to re-open platform.
As I also reduce the bar history in platform, if make it max. when restart platform will over load with history bar and hang.
This due to my PC is slow type in office, memory not enough.
Press F2 will show up the record 20600/3626606 probably mean history bar/ downloaded history.

When run back test it first take long times as to load all the downloaded history to memory become history bar.
I cancel it and import the save 1 minute data.

And I test another EA , able to have same result 2 times on July Data.
And come to my EA, different result 2nd times, 3rd times o.k.
Month - Profit : DD
Jul - 150 : 107
Jul - 149 : 13.98
Jul - 149: 13.98
Jan - 704, 375
Jul - 149: 13.98

Finally data inconsistency problem solve.

Information is Gold when come to organised.
DoubleTrap (ForexSeeker)
May 20 2010 at 10:22
814 posts
Still the same thing of different result when back test.
But what the hack, the different is minor, as long as it can go through.

Alpari RU ( NewZealand)

EA : SuperMartin - SuperFactor 1.77 - TimeFrame 1 minit.
Strategy : Martingale with no stop loss, using basket so it take profit early whenever got small profit.
               Follow trend indicator and leverage technique like pip leader and then basket.

Month : NetProfit: D.D.
Jan'09 : 454 : 1074
Feb'09 : 246 : 209
Mac'09 : 302 : 1061
Apr'09 : 238 : 117
May'09 : -235 : 2189 ( Probably because of instant basket and no use TP)
Jun'09 : 197 : 849
Jul'09 : 83 : 823
Aug'09: 101: 240
Sep'09: 115: 184
Oct'09: 74: 585
Nov'09: 132: 792

Dec'09 loss money as close at stop end of month, so combine 2 month.

Dec-Jan'10 : 233: 450
Feb'10 : 139 : 133
Mac'10: 164 : 12
Apr'10: 126 : 58.

Result : 3k Deposit require,
            16 month earn : 1951
            Average month earn : 121.93
            Average ROI (16month) = 4.0%

Information is Gold when come to organised.
DoubleTrap (ForexSeeker)
May 21 2010 at 04:42
814 posts
<a href='' target='_blank'><img src=''/></a>
Back Test 2009.
The sudden draw down is when martingale fail after open 20 level.
Average ROI 2009 = 5.8% per month

Attachments:


Information is Gold when come to organised.
DoubleTrap (ForexSeeker)
May 21 2010 at 06:17
814 posts
Open martingale to 30 level.
May'09 will be able pass through with NetProfit :176 and D.D: 1709

Result : 3k Deposit require,
16 month earn : 2362
Average month earn : 147.62
Average ROI (16month) = 4.9%

As monthly test have stop out at end of the month so estimate is 6% ROI per month.


Information is Gold when come to organised.
mirusevxs33
May 21 2010 at 12:08
123 posts

ForexSeeker posted:
    The mystery of back test.

Have look into the folder TESTER. The history folder contain my 1 minute data.
When close down platform, the history data center will need to download data again.
As then I do export the data 1 minute out. And import it again when restart.

Problem occur shut down platform, the memory still have terminal.exe running with 100+MB of memory.
I have to end task it to re-open platform.
As I also reduce the bar history in platform, if make it max. when restart platform will over load with history bar and hang.
This due to my PC is slow type in office, memory not enough.
Press F2 will show up the record 20600/3626606 probably mean history bar/ downloaded history.

When run back test it first take long times as to load all the downloaded history to memory become history bar.
I cancel it and import the save 1 minute data.

And I test another EA , able to have same result 2 times on July Data.
And come to my EA, different result 2nd times, 3rd times o.k.
Month - Profit : DD
Jul - 150 : 107
Jul - 149 : 13.98
Jul - 149: 13.98
Jan - 704, 375
Jul - 149: 13.98

Finally data inconsistency problem solve.


Hi ForexSeeker,
Since the recent MT4 clients no longer offer the ability to use custom FXT files, a special loader is needed. You can download it here, it works only with the MT4 version commonly known as 225
https://eareview.net/download/fxt_loader.zip
it is from https://eareview.net/tick-data#prepareddata
Enjoy!

Miro

mirusevxs33
May 21 2010 at 12:10
123 posts

ForexSeeker posted:
    Open martingale to 30 level.
May'09 will be able pass through with NetProfit :176 and D.D: 1709

Result : 3k Deposit require,
16 month earn : 2362
Average month earn : 147.62
Average ROI (16month) = 4.9%

As monthly test have stop out at end of the month so estimate is 6% ROI per month.



It is terrible result for any EA especially for martingale - you need WAY better ROI IMO....

Regards,
Miro

AussieTrader
michigansurveys
May 21 2010 at 19:38
31 posts
When backtesting a EA, pay attention to the spread. If the spread is different you will get a different result.

DoubleTrap (ForexSeeker)
May 22 2010 at 01:17
814 posts
<a href='' target='_blank'><img src=''/></a>

Alpari UK 1 year back test on 2009. (Home desktop PC)

Average ROI = 10.66%

Attachments:


Information is Gold when come to organised.
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