Free Coding to backtest your strategy

1. Sell on Red arrows and Buy on Blue arrows = Yes. OUTSIDE OF THE BANDS. No trade taken if arrow between the bands.
2. Entry would be on open of new candle after signal appears. OR Enter on Signal from Indicator.= User's Choice.
3. Allow multiple entries on consecutive signals = User's Choice.
4. Price Crosses Center Line; >> Cross or Close above/below = Close above/below.

Please note the ARROW default BLUE/RED colors in indicator need to be SWAPPED.
Also, can the default arrow size be set to 3?

Thank you,
John

Another example on different pair.

been doing this for a while, pending orders buystop sellstop, 50 pips distance from current price, sl 50 pips, tp 500-1000 pips.

1. if pending orders hit, delete the other pending order
2. if sl is hit, pending orders will place again
3. use only in gold and during only london open and us open
4. once reach the tp, stop trading. tomorrow again (but if reach tp during london session, will trade again in us open)

i have EA for this one already but i want to add more on this
-time to start trade
-once tp is reach stop trading, tomorrow again
-martingle option (if sl was hit, lotsize*1.1) (If tp was hit,lotsize*0.5)

I have traded the Mladen TMA CG bands for a long time successfully. Ideally you would open all the orders for a a sell (if price is outside the bands), use no stop loss, but close them when the first buy signal occurs and then start buying. Some may be losers, but overall it's a winning method. Because I trade manually I often make fundamental decisions, so doing a strict back test would be interesting. I've often wondered how that would work out....

Here is my latest LONG on Gold H1 chart.



One other thing to take into account is that I use it on different TFs for different markets and sometimes I adjust a TF on a particular market depending on how I feel about it.

Hi Derekw,

Thank you, great comments.
Do you enter as soon as arrow appears, at open of next candle, or cross back over band?
All the best,
John

Quick update on the indicator.

You can change arrow codes using this template:

hi abokwaik,
i have an manual strategy which i have been using with some success but i am still dont get that confidence because it repaints but still i am getting profits that too i am getting in live account a smal tester account but would like to backtest so that i can get a clear view on it. let me know if posiible will post the indicators mq4 and rules.thanks in advance

Please note that the "TMA+CG mladen NRP" indicator is Repainting.
See screenshot of Live vs Backtest using same settings.

I haven't yet seen a nice looking indicator which is not repainting!

Sure.

I'll check the repainting issue to see if it affects the system.

I believe there exists EAs like this, search on FF for "Grid" under "Trading Systems".

Sample results;

Posted by u/chiefkul (Link)


I've reproduced 130+ research papers about "predicting the stock market", coded them from scratch and recorded the results.
Here's what I've learnt.

ok, so firstly,
all of the papers I found through Google search and Google scholar. Google scholar doesn't actually have every research paper so you need to use both together to find them all. They were all found by using phrases like "predict stock market" or "predict forex" or "predict bitcoin" and terms related to those.

Next,
I only tested papers written in the past 8 years or so, I think anything older is just going to be heavily Alpha-mined so we can probably just ignore those ones altogether.

Then,
Anything where it's slightly ambiguous with methodology, I tried every possible permutation to try and capture what the authors may have meant. For example, one paper adds engineered features to the price then says "then we ran the data through our model" - it's not clear if it means the original data or the engineered data, so I tried both ways. This happens more than you'd think!

THEN,
Anything that didn't work, I tried my own ideas with the data they were using or substituted one of their models with others that I knew of.

Now before we go any further, I should caveat that I was a profitable trader at multiple Tier-1 US banks so I can say with confidence that I made a decent attempt of building whatever the author was trying to get at.

Oh, and one more thing. All of this work took about 7 months in total.

Right, let's jump in.

So with the papers, I found as many as I could, then I read through them and put them in categories and then tested each category at a time because a lot of papers were kinda saying the same things.
Here are the categories:

1. News Text Mining. - This is where they'd use NLP on headlines or the body of news as a signal.
2. Social data - Twitter Sentiment/Google Search/Seeking Alpha. Again, some were NLP, for google trends they just used the data.
3. Technical Analysis & Machine Learning together. Most of these would take the price, add TA features, then feed into a ML model.
4. Other machine learning (as in, not using TA). Just using the price and some other engineered features.
5. Analyst Recommendations. Literally just taking the recommendations from banks/brokers and using that as the signal.
6. Fundamental data. So ratios from the income statement/balance sheet,

Results:
Literally every single paper was either p-hacked, overfit, or a subsample of favourable data was selected (I guess ultimately they're all the same thing but still) OR a few may have had a smidge of Alpha but as soon as you add transaction costs it all disappears.
Every author that's been publicly challenged about the results of their paper says it's stopped working due to "Alpha decay" because they made their methodology public. The easiest way to test whether it was truly Alpha decay or just overfitting by the authors is just to reproduce the paper then go further back in time instead of further forwards. For the papers that I could reproduce, all of them failed regardless of whether you go back or forwards.

Now, results from the two most popular categories were:

1. *Social data.*A lot of research papers were extensions of or based off of a paper by Johan Bollen called "Twitter mood predicts the stock market". It literally has 3,955 citations and is complete and utter horse shit; the paper is p-hacking to the extreme. Not only could I not reproduce the results, but given the number of sentiment indicators he uses I regularly found correlations between sentiment and my data based on how I engineered it. None of these correlations held over longer time periods. Every paper that's a derivative of this one or cites it has the same issues.
2. *Technical analysis & machine learning.*Every paper would do something along the lines of.. take past price data for some asset (stocks, forex), then add technical analysis indicators as "features". Then either they'd run through a feature-selector that figures out the best features then put the best ones into a model OR they'd dump this data straight into the model and afterwards select the subset of instruments that it "worked" on. None of these would hold if you k-fold test them or test on different subsets of data outside of the ones used in the paper. The results are always based off of selecting favourable subsets of data.

The most frustrating paper:
I have true hate for the authors of this paper: "A deep learning framework for financial time series using stacked autoencoders and long-short term memory". Probably the most complex AND vague in terms of methodology and after weeks trying to reproduce their results (and failing) I figured out that they were leaking future data into their training set (this also happens more than you'd think).

The two positive take-aways that I did find from all of this research are:

1. Almost every instrument is mean-reverting on short timelines and trending on longer timelines. This has held true across most of the data that I tested. Putting this information into a strategy would be rather easy and straightforward (although you have no guarantee that it'll continue to work in future).
2. When we were in the depths of the great recession, almost every signal was bearish (seeking alpha contributors, news, google trends). If this holds in the next recession, just using this data alone would give you a strategy that vastly outperforms the index across long time periods.

Hopefully if anyone is getting into this space this will save you an absolute tonne of time and effort.

So in conclusion, if you're building trading strategies, simple is good

Also one other thing I'd like to add, even the Godfather of value investing, the late Benjamin Graham (Warren Buffet's mentor) used to test his strategies (even though he'd be trading manually) so literally every investor needs to backtest regardless of if you're day-trading or long-term investing or building trading algorithms.

So, that's interesting.
If this indicator is used on higher time frames, H1, H4, D1, would repainting be as much of an issue?
If combined with another indicator to signal confirming entry/exit points, this would reduce the repainting issue.
Another indicator such as MLADEN's PTL.

An example:


All the best,
John

thanks, will check on this if there is what i want

hi there,
I'm looking for someone who could coude this EA:


entries (underlined words or numbers to be entered into EA by users/extern):
Magic number: i. e. 3245678
trade mode: i. e. long/short/long&short
lot size (in pips): i. e. 0.1
use money management: yes/no
money management: percent of account: i. e. 1
Stop-Loss (in pips): i. e. 20
use Trailing-Stop: yes/no
Trailing-Stop (in pips): i. e. 20
use Take-Profit: yes/no
Take-Profit (in pips): i. e. 100
Stochastic:
Stochastic_1_Period_K: i. e. 8
Stochastic_1_Period_D: i. e. 3
Stochastic_1_Slowing: i. e. 3
Stochastic_1_PriceField: i. e. Low/High
Stochastic_1_MAmethod: i. e. Smoothed
Stochastic_2_Period_K: i. e. 32
Stochastic_2_Period_D: i. e. 8
Stochastic_2_Slowing: i. e. 1
Stochastic_2_PriceField: i. e. Low/High
Stochastic_2_MAmethod: i. e. Smoothed

1. if Stoch1-signal line < 50 (and falling) && Stoch2-line crosses Stoch2-signal line downwards: sell
2. if Stoch1-signal line > 50 (and rising) && Stoch2-line crosses Stoch2-signal line upwards: buy

3. exit trade:
a) when Stop-Loss is hit
b) when Trailing-Stop is hit
c) when Take-Profit is hit


chart example: buy option & sell option

Hi Abokwaik,
This is a great idea and hats off to you for your cleverness and generosity.

How about this system idea based on OBV? It uses only the default MT4 indicators of OBV and an envelope.
Only the first 2 rules are needed to make an interesting test, but I'll be happy to elaborate on the other rules if you're interested.
https://www.forexfactory.com/showthr...8#post12433898

ps. I'm still using the ATR breakout indicator you made for me with great success.

Hi

Can you provide a backtest EA to test the strategies outlined here: https://www.forexfactory.com/showthread.php?t=600112 & here: https://www.forexfactory.com/showthread.php?t=917569

In the case of the second link the ability to take either crossover trades, continuation trades, or both would be excellent if this could also be included?

Many thanks for your offer!

David

Easy, maybe, but not necessarily straightforward as I've found after years of attempting to make systems that take advantage of these tendencies. The devil is in the details.

Maybe I'm taking liberties by suggesting more than one system but you might like this idea better since it requires no indicators and takes advantage of the first property mentioned.

1. Simply enter after price has moved more than n% of its ATR (or average pip value) without retracing to 50% of its current bar height but only AFTER 80% of its current bar time has elapsed.
   1. Another way to say this is wait for a bar to complete 80% of its lifetime
   2. If that bar is now taller than n% (good value is about 120-150) of its ATR (or an arbitrary pip value > than an average bar looking back z bars)...
   3. And that bar has NOT retraced to its midpoint... (If the bar is not yet closed this is possibly a moving target.)
   4. Then enter in the direction opposite to the movement of the tall bar (in the direction of the anticipated retracement) with a TP target of the bar midpoint minus a safety factor (5-10%).

   
   

2. Use a time-based (measured in # of bars of the current TF) SL since the average time for price to retrace to fill any 'supply/demand zones' is very constant and can be determined from averages. This will vary depending on instrument and timeframe but for example on H1 EU it is extremely rare not to hit TP within 22 bars (hours). If the trade is unprofitable after this time, close it.
3. Use an additional disaster stop equal to 3x the range of the signal bar. This will only get hit in the most exuberant trends.
4. In order to take advantage of the second property, and to recover from unexpected trending ('non-retracing') price action establish a 'trend mode' after any loss trade.
   1. After a loss trade, stop taking retrace trades and simply trade in the opposing direction to the loss.
   2. Hold the trend trade until price retraces to the midpoint of the most recently closed bar. Then exit and resume reversion mode.
   3. Use any logical SL rule for trend trades - above/below most recent swing high/low or y pips from entry.

I'm sure you won't need them but here are some indicators that might have helpful code to:
a) monitor time/% to bar close
b) monitor candle/bar range. Ideally the EA should signal and enter intra-bar and not wait for the current bar to close, but neither of these gets it quite right. Thrustbars signals properly but only measures the range from open-close when it should use the entire high-low. Spikebars measures the correct range but only signals after a bar has closed.

What about this one for the first link : DailyTradingUsingSMA5+BB20-2v1.1.ex4

As for the second link, I can see many coders are active on the thread. I am not sure if an EA was made or not. Please confirm. If not, I will need clear system rules as it would be difficult for me scan >3000 posts.

I'll take a look at the first EA right now, thank you! I must have missed that post.


For the second link. As far as I am aware there has been much talk of an EA but no one has actually made one. The entire rule-set is in post one which has been kept updated with any changes, so no need to scan though the entire thread. It certainly appears to be profitable from manual back and forward testing. It could be an excellent EA due to the simplicity of the rules. It works on all major pairs. There are refinements which could be made of course. But the rules as they stand in post one should be enough for decent profitability without a lot of drawdown. For that reason I would love to see an EA that could be used to back test, especially to see what pairs it works best on.