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Factors that affect backtest results

  • #1
  • First Post: Oct 25, 2017 11:08pm Oct 25, 2017 11:08pm
Hi everyone,

In the past, I have made a lot type of method, coding a lot. Sometime the result will be very good on the year I test but then when I expend it to longer backtest (3-4 years) then the negative result appear.

Now, I have just made a simple EA with only 80 lines of code but seem very promise. I have made a backtest with 3.5 years data ( from 01-2014 to 10-2017 ), using Every Tick model.

I have some good result on EURUSD pair.

===============
With the broker's spread is 15, the result are:
- Init deposit : $1000
- Net profit : $188,497.41
- Maximal drawdown : 8.79%
Attached Image (click to enlarge)
Click to Enlarge Name: Graph.png Size: 26 KB

Attached Image (click to enlarge)
Click to Enlarge Name: Report.png Size: 38 KB



===============
With the broker's spread is 25 (with my current broker), the result are:
- Init deposit : $1000
- Net profit : $35,212.78
- Maximal drawdown : 10.54%
Attached Image (click to enlarge)
Click to Enlarge Name: 25-Graph.png Size: 27 KB

Attached Image (click to enlarge)
Click to Enlarge Name: 25-Report.png Size: 39 KB



===============
The question is :
- Does any factor may affect the result ? I have just noted that the spread of broker may affect the result !

Now I'm working with Real account with Init deposit as my test to see the real result.

*PS: The Lots size is increased base on Equity of account balance, so it will increase and decrease dynamic.
No emotion
  • #2
  • Oct 26, 2017 1:42am Oct 26, 2017 1:42am
I think its the spread but i guess it will work on live. Can you share it so that we all try
  • #3
  • Oct 26, 2017 1:54am Oct 26, 2017 1:54am
火钳刘明
  • #4
  • Oct 26, 2017 1:55am Oct 26, 2017 1:55am
can you share the EA？
  • #5
  • Oct 26, 2017 2:01am Oct 26, 2017 2:01am
Waiting to see the simplicity.
  • #6
  • Oct 26, 2017 2:36am Oct 26, 2017 2:36am
Have you forwarded tested it?
  • #7
  • Oct 26, 2017 2:45am Oct 26, 2017 2:45am
I'm apply the test on real account now ! It will be the trust result if this is work. I will update the result at the end this month.
No emotion
  • #8
  • Oct 26, 2017 3:02am Oct 26, 2017 3:02am
I think you need to learn about forward testing before you put any money behind it. You might want to see how it compares on different currencies and allocate your funds between the different currencies based on that. You might also want to head over to quantconnect.com to do more testing on it.
  • #9
  • Oct 26, 2017 3:07am Oct 26, 2017 3:07am
Quoting SupaMonkey
I think you need to learn about forward testing before you put any money behind it. You might want to see how it compares on different currencies and allocate your funds between the different currencies based on that. You might also want to head over to quantconnect.com to do more testing on it.
I have not heard about quantconnect. I have check the site and seem it is different system. Do you have any experiencies to make a simple EA ?
No emotion
  • #10
  • Oct 26, 2017 3:14am Oct 26, 2017 3:14am
Nice result! Is it free or paid? If free, then please share here! I wanna use that.
  • #11
  • Oct 26, 2017 3:17am Oct 26, 2017 3:17am
Quoting NeilWagner
Nice result! Is it free or paid? If free, then please share here! I wanna use that.
It is just my test few days ago after I found that system. I will make the shareable version later. Now I'm testing it on live account to check if anything may affect the result from backtest. Now everything seem still like what I'm expected !
No emotion
  • #12
  • Oct 26, 2017 3:20am Oct 26, 2017 3:20am
Quoting htuanfx
{quote} I have not heard about quantconnect. I have check the site and seem it is different system. Do you have any experiencies to make a simple EA ?
No, quantconnect is a community of people who do the same thing that you are doing. It seems less free than it used to be, but it is free way to develop and test strategies. Since it seems that you are interested in quant trading, I am recommending that site to you.
  • #13
  • Oct 26, 2017 3:27am Oct 26, 2017 3:27am
Quoting htuanfx
I'm apply the test on real account now !.
With your tester modelling quality of 65%, it guaranteed that it will fail in forward test.
Test with 99% if you want to see a bit of some sense in testers.
L.L.L.T
  • #14
  • Oct 26, 2017 4:10am Oct 26, 2017 4:10am
Quoting KayStreet
{quote} With your tester modelling quality of 65%, it guaranteed that it will fail in forward test. Test with 99% if you want to see a bit of some sense in testers.
I don't know how to increase the quality. Does it need to take longer time ? (like 4-6 years data)
No emotion
  • #15
  • Oct 26, 2017 4:27am Oct 26, 2017 4:27am
I have test with longer backtest data (from 01-2010 to 10-2017), seem my broker history data has some problem so I don't see the model Quality, but the Ticks modelled increased from 46,710,881 to 53,480,491 so I guess the quality may increase a bit !

Here is the result with spread 25:
- Init deposit : $1000
- Net profit : $19,399,666.73 !!!!! (is this possible ?)
- Maximal drawdown : 6.07%
Attached Image (click to enlarge)
Click to Enlarge Name: Graph.png Size: 27 KB

Attached Image (click to enlarge)
Click to Enlarge Name: Report.png Size: 39 KB


There is one problem is the lots size of this broker limit to 200 so the lots size keep the same after reach that amount !

Do you have any suggestion how to check with 99% quality model ?

Thanks
No emotion
  • #16
  • Oct 26, 2017 5:01am Oct 26, 2017 5:01am
Testing Grail like waygrow xmt etc never work in real account many factors affecting during live trading special execution,slippage,requotes,spread,commisio etc
  • #17
  • Oct 26, 2017 5:48am Oct 26, 2017 5:48am
Quoting htuanfx
I'm apply the test on real account now ! It will be the trust result if this is work. I will update the result at the end this month.
We strongly suggest forward testing it in Demo for at least 1 to 3 months then start up with min capital micro/cent account, same broker.
"Hands that help are holier than lips that pray" Shirdi Sai Baba
  • #18
  • Oct 26, 2017 5:51am Oct 26, 2017 5:51am
Quoting Greenmoney21
{quote} We strongly suggest forward testing it in Demo for at least 1 to 3 months then start up with min capital micro/cent account, same broker.
Thank you. I'm downloading the tick data to try reach 99% model.

My current broker spread is 25 which is so high, I have another broker at 15, I will try to test on better broker after 2-3 months test with hardest broker (lol). If the result still promise, then it will even better with 15 spread broker !
No emotion
  • #19
  • Oct 26, 2017 6:01am Oct 26, 2017 6:01am
Quoting htuanfx
{quote} Thank you. I'm downloading the tick data to try reach 99% model. My current broker spread is 25 which is so high, I have another broker at 15, I will try to test on better broker after 2-3 months test with hardest broker (lol). If the result still promise, then it will even better with 15 spread broker !
When you say the spread is 25 is that in pips or points?
If it's 25 points that's pretty reasonable if you don't have to pay a commission that is.
If it's 25 pips then just switch brokers entirely. A 25 pip spread on average is insane. (I doubt that's actually the case though)

Now if you do pay a commission then spreads are usually lower.

Keep that in mind.
  • #20
  • Oct 26, 2017 6:04am Oct 26, 2017 6:04am
Quoting AntiVi
{quote} When you say the spread is 25 is that in pips or points? If it's 25 points that's pretty reasonable if you don't have to pay a commission that is. If it's 25 pips then just switch brokers entirely. A 25 pip spread on average is insane. (I doubt that's actually the case though) Now if you do pay a commission then spreads are usually lower. Keep that in mind.
As you mention, I think it is 25 points
No emotion
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