Portfolio Backtesting | Forex Factory

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Portfolio Backtesting

  • #1
  • First Post: Nov 1, 2019 11:45pm Nov 1, 2019 11:45pm
Hello,

I am looking for a way or tool that allow me to backtest my EA on multiple pairs on the same time so DD for all pairs are calculated and summed for the same one account.
... since each pair alone has a reasonable DD but I am not sure how it goes if multiple pairs have Accumulated DD.

Thanks in Advance
  • #2
  • Nov 2, 2019 2:51am Nov 2, 2019 2:51am
Quoting Dashnewbie
I am looking for a way or tool that allow me to backtest my EA on multiple pairs on the same time so DD for all pairs are calculated and summed for the same one account.
You need to develop EA that is able to do that.
regards
And you will leave pain to take care of itself.
  • #3
  • Nov 3, 2019 5:22am Nov 3, 2019 5:22am
you might find this useful:

Inserted Video
" check out The Traders Outpost "
  • #4
  • Nov 3, 2019 7:15am Nov 3, 2019 7:15am
Quoting RedLineFred
you might find this useful: https://www.youtube.com/watch?v=rKvt-2MGsZc
Thanks for reply. I am looking for Backtesting way to run EA on all pairs on same time & for same period so it will imitate real account DD, equity or Balance.
  • #5
  • Nov 3, 2019 9:18pm Nov 3, 2019 9:18pm
If you re running MT4 you will only be able to run one pair at a time.
However, by taking the results of your trades into a spreadsheet you can simulate the portfolio result.
Other platforms allow multi market testing, but i have no experience in this space.
" check out The Traders Outpost "
  • #6
  • Nov 4, 2019 8:58pm Nov 4, 2019 8:58pm
There is an old free/share/paid version of Sq EA Analyzer out there, not sure if it's still actively distributed. It can merge different mt4 results to simulate a portfolio. However, if you try to trade the portfolio in a single account with multiple EAs or multiple symbols in one EA beware that mt4 and the Sq EA Analyzer will not be able to compensate for total equity draw down in live trading which could blow a highly leveraged account or if one of more of the EAs or symbols used in the portfolio are highly leveraged.

I hear that MT5 could handle multiple symbols in an EA test but this needs to be confirmed.

I would also be interested in ways to accurately backtest a multiple symbol EA.
  • #7
  • Edited Nov 5, 2019 7:03am Nov 4, 2019 10:19pm | Edited Nov 5, 2019 7:03am
Quoting Pipologist
There is an old free/share/paid version of Sq EA Analyzer out there, not sure if it's still actively distributed. It can merge different mt4 results to simulate a portfolio. However, if you try to trade the portfolio in a single account with multiple EAs or multiple symbols in one EA beware that mt4 and the Sq EA Analyzer will not be able to compensate for total equity draw down in live trading which could blow a highly leveraged account or if one of more of the EAs or symbols used in the portfolio are highly leveraged. I hear that MT5 could handle...
To my - limited - knowledge the only way to perform proper portfolio testing for people with the skills of and used to MetaTrader is a software called ForexTester. It intentionally has a syntax very similar to MQL4 and supports access to the history (it's possible to import your own data). The latest version - which I haven't yet tested - also features a converter tool from MQL4 experts to ForexTester experts.

There is a thread here at FF discussing the old version 3 but many comments are misleading. Especially it's a wrong believe that one has to test with the data of the broker the EA is later supposed to run with. On clean and accurate data a properly coded expert will produce the same results at any brokerage account assumed spread and execution quality are comparable and the broker is not a bucket shop. The differences people usually experience originate from the fact that their testing approach is not valid and/or the strategy is not profitable in the first place. They experience differences in execution, spreads and transaction costs which overlay the actual test results and differ everywhere. Those issues need to be addressed and accounted for first before proper testing can take place.
It takes blood, sweat and enough tears to wash away the blood.
  • #9
  • Nov 5, 2019 12:04pm Nov 5, 2019 12:04pm
Quoting emmzett
{quote} To my - limited - knowledge the only way to perform proper portfolio testing for people with the skills of and used to MetaTrader is a software called ForexTester. It intentionally has a syntax very similar to MQL4 and supports access to the history (it's possible to import your own data). The latest version - which I haven't yet tested - also features a converter tool from MQL4 experts to ForexTester experts. There is a thread here at FF discussing the old version 3 but many...
I will try it
  • #10
  • Nov 5, 2019 12:04pm Nov 5, 2019 12:04pm
Quoting emmzett
{quote} To my - limited - knowledge the only way to perform proper portfolio testing for people with the skills of and used to MetaTrader is a software called ForexTester. It intentionally has a syntax very similar to MQL4 and supports access to the history (it's possible to import your own data). The latest version - which I haven't yet tested - also features a converter tool from MQL4 experts to ForexTester experts. There is a thread here at FF discussing the old version 3 but many...
I will try it
  • #12
  • Nov 5, 2019 12:10pm Nov 5, 2019 12:10pm
I am really surprised that no one in FF has ever discussed this topic..I mean what people are usually do if they want to apply an EA to multiple Pairs? If they have backtested in every single pair ..still very risky to do it for real money portfolio..
  • #13
  • Nov 6, 2019 1:59am Nov 6, 2019 1:59am
Quoting Dashnewbie
I am really surprised that no one in FF has ever discussed this topic..I mean what people are usually do if they want to apply an EA to multiple Pairs? If they have backtested in every single pair ..still very risky to do it for real money portfolio..
Nowadays people program such portfolio EAs for MT5 platform... old days there exist some Python scripts that the user had to export the history data of all symbols to an external file and then the Python scripts do the math!
Trading is the hardest way to make easy money...
  • #14
  • Nov 6, 2019 5:13am Nov 6, 2019 5:13am
Quoting MathTrader7
{quote} Nowadays people program such portfolio EAs for MT5 platform... old days there exist some Python scripts that the user had to export the history data of all symbols to an external file and then the Python scripts do the math!
No question about that, I agree with you ("you can program such an EA with MT5"). But with broker data the result will be meaningless or even useless. That's what people find out after they programmed the EA.
It takes blood, sweat and enough tears to wash away the blood.
  • #15
  • Last Post: Feb 27, 2020 2:01pm Feb 27, 2020 2:01pm
Hi, traders !

I would like to share a Python client for Spotware Connect Open Api 2 which I just launched.

It is open source (GNU GPL-3) and very simple to use.

With it you can code in Python to interact with brokers operating in cTrader platform.

More information: https://github.com/marcus-santos/spotware_connect

If you enjoy, give it a star!
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