Attachments: Back Test vs Forward Test

Back Test vs Forward Test

#1
First Post: Aug 9, 2016 4:44am Aug 9, 2016 4:44am

SingYeh
| Joined Nov 2014 | Status: Trader | 19 Posts

As the title of this thread suggests, I'm going to forward test a system that I've developed using a paid 3rd party EA builder. Nope, I'm no programmer and neither am I a good trader. Just happened to 'create' a system which, to me at least (remember I said that I am not a good trader?) looks too good to be true based on the back testing results. Well, here goes.

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#2
Aug 9, 2016 9:59am Aug 9, 2016 9:59am

MasterGuru
| Commercial User | Joined Jan 2015 | 968 Posts

It might be interesting to see the backtest performance without profit reinvestment as it would give a more linear visual impression of the long-term performance.

My only concerns with the shown performance is a 1.5 years flat period and a DD period with approx. 6 months recovery time. In backtest these are "OK", however, in live trading they may be worrisome (i.e. without seeing in advance how the P/L curve continues).

#3
Aug 9, 2016 3:27pm Aug 9, 2016 3:27pm

SingYeh
| Joined Nov 2014 | Status: Trader | 19 Posts

Quoting MasterGuru

Disliked

It might be interesting to see the backtest performance without profit reinvestment as it would give a more linear visual impression of the long-term performance.

Ignored

Well, if you insist

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#4
Aug 9, 2016 3:34pm Aug 9, 2016 3:34pm

SingYeh
| Joined Nov 2014 | Status: Trader | 19 Posts

Quoting MasterGuru

Disliked

My only concerns with the shown performance is a 1.5 years flat period and a DD period with approx. 6 months recovery time. In backtest these are "OK", however, in live trading they may be worrisome (i.e. without seeing in advance how the P/L curve continues).

Ignored

Yeah.... Must agree with you, especially if I'm trading the system manually. And I must admit I could never have achieved such result if I trade manually. I'm the type of trader who tend to switch systems everytime I'm experiencing a short period of drawdown. Hence, I'm never successful in trading.

I'm hoping that I could withstand the emotional roller coaster now that I'm using an EA to fully automate my trading.

#5
Aug 9, 2016 4:27pm Aug 9, 2016 4:27pm

MasterGuru
| Commercial User | Joined Jan 2015 | 968 Posts

Thanks for the non-exponential backtest report. The overall results look good.

Just an additional observation to what has been altready mentioned: The max. DD was -$555 with a $1000 initial deposit, which means -55.5% DD in case the backtest had been started at the time of the max. DD. In other words: a real live account might also encounter a -55% DD.

Now here come two real emotional questions:

1. Would I invest $1k with -55% potential DD...? Possibly, in which case I would profit about $700 a year (i.e. about $60 a month)...

2. Would I invest $100k with the possibility of a -$55k DD...? I doubt... Probably I would pull the plug at -$30k DD... But it is me...

#6
Aug 10, 2016 7:12am Aug 10, 2016 7:12am

SingYeh
| Joined Nov 2014 | Status: Trader | 19 Posts

Quoting MasterGuru

Disliked

Thanks for the non-exponential backtest report. The overall results look good. Just an additional observation to what has been altready mentioned: The max. DD was -$555 with a $1000 initial deposit, which means -55.5% DD in case the backtest had been started at the time of the max. DD. In other words: a real live account might also encounter a -55% DD. Now here come two real emotional questions: 1. Would I invest $1k with -55% potential DD...? Possibly, in which case I would profit about $700 a year (i.e. about $60 a month)... 2. Would I invest...

Ignored

I would have thought that my max DD is around 44% (Relative Drawdown in the 1st report, where position sizing is 1 lot for every $10K).

Still, thanks for pointing that out. Perhaps I should take some time to look into that matter. I'm sizing my position so that I can expect a DD of around 45%. A DD of 55% is over what I can tolerate.

#7
Last Post: May 11, 2020 1:19pm May 11, 2020 1:19pm

martexx
| Joined May 2020 | Status: Trader | 1 Post

hi all, i seem to have a similar problem and i think im doing smth wrong, or will be a miljonair soon ))))

I have made this back test on a EA and it seems to good to be true

Im testing on mt5 and have set commisions and such

I have run the test with reinvest and without

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