I am starting this thread for the purpose of finding a formula to back test a successful EA I currently have running. The formula could apply to manual trading as well.
Everybody knows the markets change from month to month, year to year. It is the reason why most EA's ultimately fail because they are designed for a particular market and when the market changes the EA will crash. I am searching for a method to recognise these changes. I am mainly referring to stop loss / take profit levels but that also incorporates volumes, trends, range etc..
I currently use an hourly ATR measured on a daily basis. I can see when the markets range is starting to expand or contract and can back test my EA for further forward trading. I'm not talking about large shifts (due to world fundamentals) just the subtle changes in the ebb and flow of the market.
My EA is simple (though I didn't design and don't know the inner workings). It is signaled by bar size (I believe) and the parameters include bars to wait, pips from signal bar and time to trade. There is a little more to it (especially inside I believe) but that's it in a nutshell. It is a very old EA but I restarted using it at the beginning of the year (Jan). It is currently up 300% on a small live account with 5% risk, so to say I'm happy with performance is an understatement. The last month and half has been a bit whipsaw-ish in results and I can see from long term back testing that these results wont hold unless I recalibrate the EA.
Here's an example of results Jan-current date (though my current results aren't as pretty as this):
2018
Now here are those same settings from the previous year (2017):
2017
This example is backwards to what live trading looks like on EA's. The EA is released and looks like 2018 (pic) and after another 6 months looks 2017 (pic). The market has changed. Though the example has a low frequency of trades I am referring to a higher volume of trades (it was just the settings I was playing with at this time).
So to sum up.
I am looking for a method (ATR, volumes, trends etc) to make small changes within my EA as the market changes, earlier than a total downfall of my profits (though small losses are acceptable).
Thanks in advance for any help.
Everybody knows the markets change from month to month, year to year. It is the reason why most EA's ultimately fail because they are designed for a particular market and when the market changes the EA will crash. I am searching for a method to recognise these changes. I am mainly referring to stop loss / take profit levels but that also incorporates volumes, trends, range etc..
I currently use an hourly ATR measured on a daily basis. I can see when the markets range is starting to expand or contract and can back test my EA for further forward trading. I'm not talking about large shifts (due to world fundamentals) just the subtle changes in the ebb and flow of the market.
My EA is simple (though I didn't design and don't know the inner workings). It is signaled by bar size (I believe) and the parameters include bars to wait, pips from signal bar and time to trade. There is a little more to it (especially inside I believe) but that's it in a nutshell. It is a very old EA but I restarted using it at the beginning of the year (Jan). It is currently up 300% on a small live account with 5% risk, so to say I'm happy with performance is an understatement. The last month and half has been a bit whipsaw-ish in results and I can see from long term back testing that these results wont hold unless I recalibrate the EA.
Here's an example of results Jan-current date (though my current results aren't as pretty as this):
2018
Now here are those same settings from the previous year (2017):
2017
This example is backwards to what live trading looks like on EA's. The EA is released and looks like 2018 (pic) and after another 6 months looks 2017 (pic). The market has changed. Though the example has a low frequency of trades I am referring to a higher volume of trades (it was just the settings I was playing with at this time).
So to sum up.
I am looking for a method (ATR, volumes, trends etc) to make small changes within my EA as the market changes, earlier than a total downfall of my profits (though small losses are acceptable).
Thanks in advance for any help.
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