It's a long road but got the time
Backtesting programs 20 replies
Best backtesting Period 3 replies
good backtesting software 5 replies
Custom backtesting code 9 replies
Backtesting vs. Thought Process 10 replies
Disliked{quote} In my years of experience I believe for a correct evaluation of a system in back testing, one must follow these rules: 1. Always use 3 different years for back testing. 1 year of downtrend, 1 year of uptrend, 1 year of sideways trend. 2. Check how the system copes with all these conditions. 3. Never use a trailing stop for back testing. MT4 does not process real ticks, so the trailing stops are always simulated, most of the time giving artificially positive results. The only trailing stop you can use would be large trailing stop, like 50...Ignored
Disliked{quote} Frank, In my trading place of work, I have a trading pin-board, which may even be similar to the one Copernicus has hanging on the wall of his trading place of work Pinned to my board is a quote from Mark Douglas that along my own journey has become what I consider to be one of the most, if not the most important trading quotes of all. In the very first pages of Trading In The Zone, Mark Douglas says, "I assume that you already have your own system, your own edge." Personally, my own debt of gratitude to Mark Douglas lies in that sentence...Ignored
DislikedThis is a great thread. Very useful commentary. Frank asked whether an EA version of a strategy would be helpful and i would reply with a resounding "yes", even if it is just for your testing phase. Because with a customisable EA as I have, coded by FerruFX, you can explore so many more options while either forward or back testing. The EA also has slippage and max spread control so at least when trading live we avoid taking trades when spread mushrooms or slippage is unacceptably high. Which results in forward tests more closely responding to back...Ignored
Disliked{quote} Well TS of 4 pips will execute correct in live trading. Why don't you back test the same period with same trades using 4 pip TS? You will see that in back testing 4 pips TS will give totally different results... Good luck..Ignored
DislikedHi everyone! I wanted to start my first thread about the question that i'm facing right now, The question after how long do you think a ''system'' is worth calling a system. How long backtesting do you consider necessarily before you decide if the system WORKS To place this to my own perspective, i've been working for months on my own way of trading and i finally seem to get somewhere, i've been backtesting for one month straight and picked the days that seemed the best for the testing (all in this month!!!) with a in my opinion good result for...Ignored
Disliked{quote} I think forward testing is most important as market condition changes all the time.Ignored
Disliked{quote} Yes, forward testing is the ultimate test but how long are you going to persevere with forward testing? And so if market conditions change all the time, what will you do? Keep adjusting your strategy and keep testing? In that case what is the point of learning to trade? You are in danger of never actually trading. (Unless of course you mean forward testing on a live account trading very small lots.) Apart from back testing with Strategy Tester you can also learn a lot by visual back testing. Place your indicators on the chart and scroll...Ignored
Disliked{quote} Hey mate, it was just my opinion. I'm just trying to help. It's up to you to agree or not. Check out my profile you'll see that I'm not in danger of never actually trading. Good luck!Ignored
DislikedI personally think that trading without extensively testing is a really unwise move. For example, as a matter of due diligence it is incumbent on a fund manager to fully understand the intricacies of their system and it's performance across as wide a variety of market conditions as possible, before taking the plunge and risking client money.Ignored
Disliked{quote} Seconded. The hostile sentiment towards backtesting has always puzzled me on this forum when you really have nothing to lose by performing an extensive historical simulation. The common excuse is that future market conditions are always changing and that past results do not accurately indicate future performance. These posters then champion the idea of forward-testing instead of backtesting which is actually a logically inconsistent position to hold because the same limitation of historical testing also applies to your period of live forward...Ignored
Disliked{quote} Seconded. The hostile sentiment towards backtesting has always puzzled me on this forum when you really have nothing to lose by performing an extensive historical simulation. The common excuse is that future market conditions are always changing and that past results do not accurately indicate future performance. These posters then champion the idea of forward-testing instead of backtesting which is actually a logically inconsistent position to hold because the same limitation of historical testing also applies to your period of live forward...Ignored
DislikedNot sure how one does 10 year back tests since good tick data is only available since 2007 as far as i can tell. But there is no need to rant. :-) We are all just sharing. I restrict my back testing and optimisation to 5 years since that shows me that most of my SET files/strategies have good times and bad times over such a longish period. I sometimes re-optimise over the bad periods and see how that works out over the full period. But I am under no illusion that I can prepare an EA that performs brilliantly all the time over 5+ years. Because of...Ignored
Disliked{quote} If you are trading intraday then tick data is essential and your range of data availability will be limited. It is not the years of data per se but the sample size of the finest grained available data that is important and whether it is sufficient to capture as greater variety of different market conditions as possible. Anyway, the rant is over.....I think.......can I take a rain check? :-)Ignored
Disliked{quote} Thanks. I appreciate your insights and sharing of your knowledge. And yes, you can take a rain check; hopefully the rain has set in for a long time, so no rants, just plain informative and lucid contributions as always! :-)Ignored
DislikedBut you could have added Ed's evil demonic image from the other night to add to the gravitasIgnored
DislikedNow that we are on the bandwagon, to add to your rant A, the cynic in me says that those who deride the backtest over extended periods are those who find that when they test out their favourite whim of the day and see that it fails probably within 1 or 2 years duration assume that the back-test is wrong as opposed to taking the reality pill and recognizing that their strategy has been curve fitted for current conditions. No wonder that there is so much derision over back-testing in this forum. Reality is a hard pill to swallow. Here is a test. How...Ignored