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Backtesting phenomenon

  • #1
  • First Post: Aug 23, 2017 8:33am Aug 23, 2017 8:33am
Good day,

I am back testing automated strategy. During my tests I use 10.000 USD demo account and I use 0.01 LOT for orders. My Profit Factor is around 1.16.

But to my surprise when I have started using 1 or 2 LOT, Profit Factor went up to 1.25 or even higher and my profits skyrocketed. I tried to use even higher LOTs but only around 1 or 2 LOT gives my this results.

Could someone explain to me this? See picture below:

Attached Image (click to enlarge)
Click to Enlarge Name: x.png Size: 143 KB


Thank you for help!
  • #2
  • Aug 23, 2017 1:39pm Aug 23, 2017 1:39pm
Perhaps you found empirically the Kelly's bet size for your strategy.

https://en.wikipedia.org/wiki/Kelly_criterion
No greed. No fear. Just maths.
  • #3
  • Edited 9:36am Sep 1, 2017 9:21am | Edited 9:36am
Your data set (or in-sample or designed sample) for back testing may be not good.
pf 1.16 or 1.25 are similar. no significant different, margin +, not real profit system for long run. You need pf great above 5.

Horse race has fixed odd:

hot horse 1 got 1.20 odd,
hot horse 2 got 1.50 odd,

horse 3 got 5 odd,

horse 4 got 8 odd,

an EA is a horse with a odd. A horse got 6 legs, lower odd may cause loss even if it can win.
  • #4
  • Sep 5, 2017 4:07am Sep 5, 2017 4:07am
Quoting Plainview
Good day, I am back testing automated strategy. During my tests I use 10.000 USD demo account and I use 0.01 LOT for orders. My Profit Factor is around 1.16. But to my surprise when I have started using 1 or 2 LOT, Profit Factor went up to 1.25 or even higher and my profits skyrocketed. I tried to use even higher LOTs but only around 1 or 2 LOT gives my this results. Could someone explain to me this? See picture below: {image} Thank you for help!

is there some kind of fixed cost being applied?
I live entirely from the growth of my personal trading account
  • #5
  • Edited 5:22am Sep 5, 2017 4:55am | Edited 5:22am
Quoting Plainview
Good day, I am back testing automated strategy. During my tests I use 10.000 USD demo account and I use 0.01 LOT for orders. My Profit Factor is around 1.16. But to my surprise when I have started using 1 or 2 LOT, Profit Factor went up to 1.25 or even higher and my profits skyrocketed. I tried to use even higher LOTs but only around 1 or 2 LOT gives my this results. Could someone explain to me this? See picture below: {image} Thank you for help!
what strategy you use?

i would say your account is not big enough for more then 3 lots with your strategy and you got maybe many margin calls in this time and so you had many closing positions against until 3 lots? or do you use martingale or many positions open same time, then maybe your margin with bogger lots was not enough for buying any more?

what i see too, you dont optimized only the lotsizes, many other things too, maybe you optimized also additionally things that was different with your lines of different lotsizes? do same optimization only with lozsizes as optimization between 1-5 lots!
  • #6
  • Sep 5, 2017 4:59am Sep 5, 2017 4:59am
Quoting plainview
good day, i am back testing automated strategy. During my tests i use 10.000 usd demo account and i use 0.01 lot for orders. My profit factor is around 1.16. But to my surprise when i have started using 1 or 2 lot, profit factor went up to 1.25 or even higher and my profits skyrocketed. I tried to use even higher lots but only around 1 or 2 lot gives my this results. Could someone explain to me this? See picture below: {image} thank you for help!

the defect come from equity to balance on closure .

Your picture is showing always equity is less than the balance .

Think man....
GUYS BE AWARE FROM HUNTING YOUR STOP LOSSES BY YOUR BROKER & BY "GHOSTS"
  • #7
  • Sep 5, 2017 5:04am Sep 5, 2017 5:04am
Quoting Samer1970
{quote} the defect come from equity to balance on closure . Your picture is showing always equity is less than the balance . Think man....
really?
his picture is from 60% progress time. just normal that equity is not same like balance when trades are in. (ok on optimization mode maybe not important).
is not always only equity important? balance is complete useless, i know noone using this or look at it on trading or whatever, only equity goals.
  • #8
  • Sep 5, 2017 5:06am Sep 5, 2017 5:06am
Quoting dukas_trader
{quote} really? his picture is from 60% progress time. just normal that equity is not same like balance when trades are in.
REALLY !!!
GUYS BE AWARE FROM HUNTING YOUR STOP LOSSES BY YOUR BROKER & BY "GHOSTS"
  • #9
  • Sep 5, 2017 5:10am Sep 5, 2017 5:10am
Quoting dukas_trader
{quote} really? his picture is from 60% progress time. just normal that equity is not same like balance when trades are in. (ok on optimization mode maybe not important). is not always only equity important? balance is complete useless, i know noone using this or look at it on trading or whatever, only equity goals.
Samer1970 is on my ignore list
I live entirely from the growth of my personal trading account
  • #10
  • Sep 5, 2017 5:10am Sep 5, 2017 5:10am
Quoting dukas_trader
{quote} really? His picture is from 60% progress time. Just normal that equity is not same like balance when trades are in. (ok on optimization mode maybe not important). Is not always only equity important? Balance is complete useless, i know noone using this or look at it on trading or whatever, only equity goals.

really ???/

i should apologize from myself..... I should write it in more bigger letters

the defect is in your equity

your ea is closing many trades with less profit than the cost of the trade (spread) or in loss too much bigger than required , so your equity is becoming less and less so the profit factor will become also less even if you increase the lot size


reallyyyyyyyyyyyyyyyyyyyyyyyy!!!!
GUYS BE AWARE FROM HUNTING YOUR STOP LOSSES BY YOUR BROKER & BY "GHOSTS"
  • #11
  • Sep 5, 2017 5:11am Sep 5, 2017 5:11am
Quoting GuyBaker
{quote} Samer1970 is on my ignore list
YOU ARE THE SAME - ON MY IGNORE LIST... HAHA HAHAHAHAHAHAHA
GUYS BE AWARE FROM HUNTING YOUR STOP LOSSES BY YOUR BROKER & BY "GHOSTS"
  • #12
  • Sep 5, 2017 5:13am Sep 5, 2017 5:13am
Quoting Samer1970
{quote} really ???/ i should apologize from myself..... I should write it in more bigger letters the defect is in your equity your ea is closing many trades with less profit than the cost of the trade (spread) or in loss too much bigger than required , so your equity is becoming less and less so the profit factor will become also less even if you increase the lot size reallyyyyyyyyyyyyyyyyyyyyyyyy!!!!
but then it would be for all lotsizes. sounds not logic.
and 1 lot had higher equity then 2 lots. really, i cant see your point, by math all is speaking against your own arguments.
  • #13
  • Sep 5, 2017 5:16am Sep 5, 2017 5:16am
Quoting dukas_trader
{quote} but then it would be for all lotsizes. Sounds not logic.
now you speak logic and as a trader
if he decrease the spread while testing, and if he increase the profit span and reduce number of trades, then the profit will increase, the consumption of the equity will decrease then equity will increase then the profit factor will increase.

The lot size has not any relation with the profit factor as it will be removed from the equation as
lotsize...x xyz/lotsize x ytrre =
1...x xyz/1 x ytrre =
GUYS BE AWARE FROM HUNTING YOUR STOP LOSSES BY YOUR BROKER & BY "GHOSTS"
  • #14
  • Sep 5, 2017 5:20am Sep 5, 2017 5:20am
Quoting Samer1970
{quote} now you speak logic and as a trader if he decrease the spread while testing, and if he increase the profit span and reduce number of trades, then the profit will increase, the consumption of the equity will decrease then equity will increase then the profit factor will increase. The lot size has not any relation with the profit factor as it will be removed from the equation as lotsize...x xyz/lotsize x ytrre = 1...x xyz/1 x ytrre =
really complete wrong.
we speak about optimization with same spread always.
only lotsize was changed. so your arguments cant be true.
  • #15
  • Last Post: Sep 5, 2017 5:21am Sep 5, 2017 5:21am
I advise you to do the following while testing

do not change the lotsize
decrease the spread value in the tester
increase the profit span
minimize the number of the trades

record this

then

do the same but increase the lot size 20%

then record it

as a matter of fact , also we do not know how the ea algorithm of opening and closing the trades... So i will stop on this point and bye bye folks,
GUYS BE AWARE FROM HUNTING YOUR STOP LOSSES BY YOUR BROKER & BY "GHOSTS"
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