Hi all,
I was playing a lot with the strategy tester + Optimization in MT4.
I tested for 3 years some pairs (DEC 2019 - DEC 2022) and after a while I decided to compare those results with tests from the same starting date until today (DEC 2019 - APR 2023)
Pair 1:
DEC 2019 - DEC 2022: + 294k
DEC 2019 - APR 2023: + 225k
So I am afraid that in a back-test of 3 years the strategy looks ok, but only will during those 3 years because it was optimized only for that period of time. Is this possible? that would only work on those 3 years and then goes back to 0 ?
Surfing on the internet I found this concept:
https://meetalgo.com/blog/2020/06/27...pert-advisors/
Over-optimization
The first thing is that you tend to over-optimize your EAs. Let me quickly explain what over-optimization (curve fitting [wikipedia]) is: You have to know that with the mt4 strategy tester you can easily get a really good backtest curve by backtest all input parameters of an EA with a lot of steps. But you aren’t looking for a great backtest result. You want to be successful in forward testing so you have choose less steps. For example if you want to optimize the StopLoss 40 to 160 and the TakeProfit from 20 to 80, do not optimize every single step. Choose a step of 10 for the StopLoss and a step of 5 for the TakeProfit. This way the backtest will be less profitable but less over-optimized. Another advantage, if you take less steps, is that the optimization process is much faster. So how to make sure your backtest is not over-optimized? You can do this with a simple trick. If you test 1 year back you want to split off the last third or fourth of the year and optimize only the rest. If you optimized your EA test it on the piece that you just split off. If you get more or less an as good performance, your are good to go. If your EA is over-optimized you will see the curve sloping down and you have to re-optimize the Expert Advisor again.
What should I look when I optimize then?
Should I give it a try anyways?
I was playing a lot with the strategy tester + Optimization in MT4.
I tested for 3 years some pairs (DEC 2019 - DEC 2022) and after a while I decided to compare those results with tests from the same starting date until today (DEC 2019 - APR 2023)
Pair 1:
DEC 2019 - DEC 2022: + 294k
DEC 2019 - APR 2023: + 225k
So I am afraid that in a back-test of 3 years the strategy looks ok, but only will during those 3 years because it was optimized only for that period of time. Is this possible? that would only work on those 3 years and then goes back to 0 ?
Surfing on the internet I found this concept:
https://meetalgo.com/blog/2020/06/27...pert-advisors/
Over-optimization
The first thing is that you tend to over-optimize your EAs. Let me quickly explain what over-optimization (curve fitting [wikipedia]) is: You have to know that with the mt4 strategy tester you can easily get a really good backtest curve by backtest all input parameters of an EA with a lot of steps. But you aren’t looking for a great backtest result. You want to be successful in forward testing so you have choose less steps. For example if you want to optimize the StopLoss 40 to 160 and the TakeProfit from 20 to 80, do not optimize every single step. Choose a step of 10 for the StopLoss and a step of 5 for the TakeProfit. This way the backtest will be less profitable but less over-optimized. Another advantage, if you take less steps, is that the optimization process is much faster. So how to make sure your backtest is not over-optimized? You can do this with a simple trick. If you test 1 year back you want to split off the last third or fourth of the year and optimize only the rest. If you optimized your EA test it on the piece that you just split off. If you get more or less an as good performance, your are good to go. If your EA is over-optimized you will see the curve sloping down and you have to re-optimize the Expert Advisor again.
What should I look when I optimize then?
Should I give it a try anyways?