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Calculating the systemic risk of a EA before demo/live launch
Ahli sejak Oct 08, 2011
41 hantaran
Apr 14, 2013 at 13:49
Ahli sejak Oct 08, 2011
41 hantaran
Hi everyone,
So, i am currently working on multiple automated strategies and will launch some of them in the near future. My problem is :
How can you assess the systemic risk of 1 EA performing over multiple currencies when in your backtests you can only see what would have happened on 1 currency?
Let's say my EA trades on 10 currencies. How can i know that the total drawdown at X time will not be superior than my total profit at X time?
If in the backtests it's saying for ex: 20% drawdown and 100% profit. If you apply the consecutive loosing trades multiplied by the number of currencies you are trading, so basically adding all the drawdown and measuring if profits are still gonna be available to not let your system crash.
If you understand what i mean, please let me know on how we could calculate this more than IMPORTANT variable for any strategy.
Thanks !
So, i am currently working on multiple automated strategies and will launch some of them in the near future. My problem is :
How can you assess the systemic risk of 1 EA performing over multiple currencies when in your backtests you can only see what would have happened on 1 currency?
Let's say my EA trades on 10 currencies. How can i know that the total drawdown at X time will not be superior than my total profit at X time?
If in the backtests it's saying for ex: 20% drawdown and 100% profit. If you apply the consecutive loosing trades multiplied by the number of currencies you are trading, so basically adding all the drawdown and measuring if profits are still gonna be available to not let your system crash.
If you understand what i mean, please let me know on how we could calculate this more than IMPORTANT variable for any strategy.
Thanks !
Ahli sejak May 11, 2012
17 hantaran
Apr 15, 2013 at 11:15
(disunting Apr 15, 2013 at 11:21)
Ahli sejak May 11, 2012
17 hantaran
See https://www.strategyquant.com/eaanalyzer/ , good free tool for analysis.
Ahli sejak Oct 08, 2011
41 hantaran
Apr 19, 2013 at 23:55
Ahli sejak Oct 08, 2011
41 hantaran
Thanks for the link. I wil check the program but i think it still does not help me to know if my EA will or not basically crash the account once i will run it on multiple pairs during similar market conditions... will it?
Ahli sejak Jun 18, 2012
8 hantaran
Apr 24, 2013 at 07:19
Ahli sejak Jun 18, 2012
8 hantaran
Thats your job. Just run backtests for each currency and see what you would have netted for each month - Run backtest on all 10 currencies. import those tests into myfxbook then add net gain/loss for each month. (ex: add all april results together) - then you'' have a pretty decent idea of how many will be in DD any particular month and what to expect as a net result.
Ahli sejak Oct 08, 2011
41 hantaran
Apr 24, 2013 at 15:18
Ahli sejak Oct 08, 2011
41 hantaran
You said import into myfxbook ? Is that the strategy tester or how can myfxbook help me i'm not aware of this function..
Also, adding drawdown with drawdown and profits with profits is not correct. SO your method can not be used if wanting to have a profesionnal backtest. Let's say you have 2 currencies in drawdown at the same time, you cannot just simply add the profits that wil result afterwards because those results are based on single currency drawdown and not taking in consideration the other currency's drawdown which means your money management should have changed but here in the calculation you don't take that in consideration which therefore is incomplete...
This is very important because as a full system, we need to know the bahaviour of the other factors such as the money management .
Also, adding drawdown with drawdown and profits with profits is not correct. SO your method can not be used if wanting to have a profesionnal backtest. Let's say you have 2 currencies in drawdown at the same time, you cannot just simply add the profits that wil result afterwards because those results are based on single currency drawdown and not taking in consideration the other currency's drawdown which means your money management should have changed but here in the calculation you don't take that in consideration which therefore is incomplete...
This is very important because as a full system, we need to know the bahaviour of the other factors such as the money management .
Ahli sejak Nov 21, 2011
1718 hantaran
Apr 28, 2013 at 18:24
Ahli sejak Nov 21, 2011
1718 hantaran
This is very simple, It takes 2 minutes to do it.
Step 1
Backtest 1 pair: you get the first drawdown.
Use this pair as reference.
Step 2
Use average correlation to that pair to calculate estimated drawdrown
Step 3
Do it for every pair you wish to trade and add them to the drawdown you backtested.
Step 1
Backtest 1 pair: you get the first drawdown.
Use this pair as reference.
Step 2
Use average correlation to that pair to calculate estimated drawdrown
Step 3
Do it for every pair you wish to trade and add them to the drawdown you backtested.
Ahli sejak Oct 08, 2011
41 hantaran
Apr 29, 2013 at 17:21
Ahli sejak Oct 08, 2011
41 hantaran
SO you use the average corrolation function in order to get the drawdown of other currencies on your strategy?
Ahli sejak Nov 21, 2011
1718 hantaran
Apr 29, 2013 at 18:05
Ahli sejak Nov 21, 2011
1718 hantaran
wahjay posted:
SO you use the average corrolation function in order to get the drawdown of other currencies on your strategy?
Well, this can give you a quick estimated drawdown for your case.
Also, note that a EA is expected to perform for a particular pair and I will not recommend to use it for 10 currencies at a time.
Ahli sejak Oct 08, 2011
41 hantaran
Apr 30, 2013 at 20:52
Ahli sejak Oct 08, 2011
41 hantaran
I see.
Well, when manually trading a specific strategy you do trade on several pairs up to about 20 pairs max right? So i don't see why a succcessful strategy could not be traded with the EA on multiple currencies... :)
Well, when manually trading a specific strategy you do trade on several pairs up to about 20 pairs max right? So i don't see why a succcessful strategy could not be traded with the EA on multiple currencies... :)
Ahli sejak Nov 21, 2011
1718 hantaran
Apr 30, 2013 at 21:16
Ahli sejak Nov 21, 2011
1718 hantaran
Well, it's up to you off course.
If you think trading 20 pairs at a time is good strategy.. that's your point of view, depending on what does your EA.
By the way, I don't trade 20 pairs at a time, I'd rather to focus a specific currency when one is getting interesting.
When you have focus the good horse... then trade it at a right time. : )
If you think trading 20 pairs at a time is good strategy.. that's your point of view, depending on what does your EA.
By the way, I don't trade 20 pairs at a time, I'd rather to focus a specific currency when one is getting interesting.
When you have focus the good horse... then trade it at a right time. : )
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