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How long should a back test be? Is five year enough ? on EUR JPY
Iepriekšējās 1 2 Nākamais
jonnyrich007

Biedrs kopš Apr 14, 2011  72 ieraksti Jonny (jonnyrich007) Jan 24 2013 at 17:34
Old data is not relevant at all. It only aids in giving people false confidence and you are really inadvertently curve fitting your settings to past data. Obviously, horrible performance on historical data sucks but problem is people get overly confident on good performance on historical data. And you only end up curve fitting your system to past data. That is basically pointless. You cannot trash system sellers and EA vendors for curve fitting while actively curve fitting yourself.

Never ever ever give up!!!
stevetrade

Biedrs kopš Oct 28, 2009  1402 ieraksti Steve B (stevetrade) Jan 25 2013 at 09:49 (labots Jan 25 2013 at 09:53 )
Totally disagree with you here. If you optimise an EA over say three months then those three months could be totally unrepresentative of the larger sample.

I'm going to take a popular EA here to demonstrate.

If I analyse the live trades of Forex Growth Bot from 1st October 2012 to 1st January 2013 - a three month period involving a total of 115 trades you would think. Okay that's a reasonable period and a fair amount of trades to take a look at.

End result -5.95%

If I analyse the live trades of Forex Growth Bot from November 9th 2010 to February 9th 2011 - a three month period involving a total of 91 trades you might think. Okay, that's too long ago it's not going to tell me what the market is like today. And it doesn't, we get a whopping 538% ( although if I remember correctly it was trading high risk initially, something a lot of EA vendors do to make initial growth on a system ).

So, which is correct? Neither. What is correct is the 2 + years of live trading of FGB that shows a fairly straight equity curve rising. Only a reasonable statistical sample shows us this.

You can backtest FGB to 1999 and while the first three years the equity curve is practically flat it then goes on to describe a reasonably stable equity curve. This gives people the confidence to say 'Hey there is a good chance this EA will NEVER blow my account as it's traded over so many different market conditions. Come what may I think this EA will handle it'

Curve fitting is when somebody has the short sightedness to believe that three months of performance or whatever on current market conditions is what they should be trading on.
Best regards Steve

11:15, restate my assumptions: 1. Mathematics is the language of nature. 2. Everything around us can be represented and understood through numbers. 3. If you graph these numbers, patterns emerge. Therefore: There are patterns everywhere in nature.
biosko

Biedrs kopš Mar 30, 2011  65 ieraksti biosko Jan 25 2013 at 14:09
It doesn't really matter what was in past. Only future matters.
Don't rely on bot. Use your brain. Modify your strategy with market. Use proper MM.

stevetrade

Biedrs kopš Oct 28, 2009  1402 ieraksti Steve B (stevetrade) Jan 25 2013 at 14:25
If what was in the past doesn't matter then by extension all indicators are pointless as they are based on past data. If all indicators are pointless then how do you trade? Please share.

11:15, restate my assumptions: 1. Mathematics is the language of nature. 2. Everything around us can be represented and understood through numbers. 3. If you graph these numbers, patterns emerge. Therefore: There are patterns everywhere in nature.
biosko

Biedrs kopš Mar 30, 2011  65 ieraksti biosko Jan 25 2013 at 15:55
Fundamentals, sentimentals and proper MM.

stevetrade

Biedrs kopš Oct 28, 2009  1402 ieraksti Steve B (stevetrade) Jan 25 2013 at 16:44
We're talking about optimising an EA here, 99% of which are I would imagine are based on technical trading rather than fundamental trading. While I appreciate that as a fundamental trader history is not of too great a significance, for technical trading it's all that you can base systems upon.
Best regards Steve

11:15, restate my assumptions: 1. Mathematics is the language of nature. 2. Everything around us can be represented and understood through numbers. 3. If you graph these numbers, patterns emerge. Therefore: There are patterns everywhere in nature.
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