Would you use this optimization this month?

EA skeptics, whom I respect, please don't post

I'm looking for advice from experienced traders who smartly use optimizations to make profit on specific periods using EAs

So would you use this EA+Optimization this month?

1- jMasterRSXv1C [attached] with DC-Set [attached]
Pair: EURUSD
Time Frame: M15
Results:
APR10: 504 pips
MAR10: 517 pips
FEB10: 242 pips
JAN10: 482 pips
DEC09: 539 pips

Thanks for your advice
TheDC

Please post at least the total number of trades the EA took during this period, the winning/losing trade percentage, what was the average win, what was the average loss and what was the maximum drawdown.

Also, why did you tested only until Dec 09? Can you test it all the way back to Jan 2009?

Hi Adal,
I have an very unfair attachment size restriction being a junior member but here are the numbers tested on 1 min data from FXDD 90% modeling:

I'm working on a number of other EAs that do very well back until 2007 if you like and I'll be posting them as soon as my attachment restrictions are lifted.
The reason I only posted back to DEC09 for this one is that I'm trying a new short term approach.
You see I have my own way of testing: I test each month individually for a long period of time 2-3 years. I do this to break the long ordered sequence of events and make the sampling better.
But in doing so, I've noticed that a good number of optimizations have certain periods where they seem to be in trend: 3, 4, 5, 6 months it depends of successive wins.
In this thread I'm trying to gathering advice on how to work in such a short-term strategy, as opposed to finding an EA that works all the time [which I beleive somehow to be possible].
This optmization fails before DC09 and I'm posting to see who would be willing to take the risk and ride this wave and why or why not.
Hope this explains.
Thank you for your input.



Bars in test 11101
Ticks modelled 3490164
Modelling quality 90.00%
Mismatched charts errors 0
Initial deposit 500.00
Total net profit 2077.00
Gross profit 3116.00
Gross loss -1039.00
Profit factor 3.00
Expected payoff 34.62
Absolute drawdown 76.00
Maximal drawdown 420.00 (36.40%)
Relative drawdown 36.40% (420.00)
Total trades 60
Short positions (won %) 33 (42.42%)
Long positions (won %) 27 (51.85%)
Profit trades (% of total) 28 (46.67%)
Loss trades (% of total) 32 (53.33%)
Largest
profit trade 373.00
loss trade -96.00
Average
profit trade 111.29
loss trade -32.47
Maximum
consecutive wins (profit in money) 6 (788.00)
consecutive losses (loss in money) 5 (-262.00)
Maximal
consecutive profit (count of wins) 788.00 (6)
consecutive loss (count of losses) -262.00 (5)
Average
consecutive wins 2
consecutive losses 2

I suggest multi-year optimizations so you can at least try and find some sort of annual cycle. I generally find certain times of year favor certain systems.

Thank you Ronald, I appreciate your input

I would not trade it because of these two statistics:
Total trades: 60
Maximal drawdown: 36.40%

60 trades in 5 months is too little for such a drawdown-ish EA. I would not risk my money on it. If it were 60 trades in 1 month I would test it more thoroughly.

But I believe that your approach is sound, I also think that you can do much better optimizing for shorter periods, especially if you trade more frequently (which this EA does not). People will scream that you are overfitting, but things are more complex than that.

I found these two books about analyzing and optimizing a system very useful: http://www.amazon.com/dp/0470008741 http://www.amazon.com/dp/0470128011

Learn about cross-validation if you don't know already. The basic idea is that you optimize your system on December and Februrary for example, and test on January. You skip from the optimization each month (or week) in turn and then you test with that week and your other test data. This will allow you to find more robust parameters. http://en.wikipedia.org/wiki/Cross-v...8statistics%29

Just the kind of insightful answers I was looking for
Thanx Adal

By the way Adal, I found that the Maximal drawdown: 36.40% is due to my very low initial deposit: 500$
For 1000$ intial deposit, I get 25.39%
For 3000$, I get only 11.49%
Cheers