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| MULTI-PAIRS BACK-TEST LAB PROJECT. https://www.stevehopwoodforex.com/phpBB3/viewtopic.php?t=257 |
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| Author: | Jeuro [ Mon Jan 16, 2012 11:25 am ] |
| Post subject: | MULTI-PAIRS BACK-TEST LAB PROJECT. |
Hello.. Coders, Traders, Strategists, Math wiz, and Geniuses with no title. I am looking for a few willing member to embark in a project to achieve the best quality possible back-tests for strategies that involve 2 or more pairs. Something similar or equivalent to the “99% quality” we talk about obtained in Empty4 using tick data. My partner (in forex) , a software engineer and me, a professional manual trader joined forces a couple years back in strategy automation for our personal use. .. his goal, to quit his demanding full time job, for me to “sort of” get a life, not having to spend 10-12 days in front of the screen. The last 6 months our focus has been developing concepts and ideas around hedging 3 or more pairs based in equations that occur 100% of the time.. like EUR/USD*USD/CHF=EUR/CHF. We incorporated renko charts to our concepts as they suit better for this math type systems. Many sets using the concept show great potential in forwards test, but it is a very slow process.... Thus creating a need for quality BTs. We are willing to contribute time and knowledge to the project. Here are some proposed steps to the project: 1.. Discuss and choose the Platform that would be the focus of attention. Jforex, NinjaTrader, MT5, Start from scratch, other not mentioned...etc? 2.. Do the work, create the tools, test, done. 3.. Write a detailed guide for future users, like Birt did for tick/Empty4. I am sure many here have knowledge in different programing languages and difference experiences, but perhaps working together with a common goal reduce the time that one person would incurred by taking the task alone. Next , I will post next some stats from forward test that show the potential of the concept and the Need expressed here. Please, no discussion of a specific system in this thread as this is intended to develop a Multi-currency Back-test lab. . |
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| Author: | Jeuro [ Mon Jan 16, 2012 11:59 am ] |
| Post subject: | Re: MULTI-PAIRS BACK-TEST LAB PROJECT. |
This was a 30 days Forward test. From December 5th 2011 to January 4th 2012. Using EUR/USD, USD/CHF and EUR/CHF . Lot 0.30 for all 3 pairs. Using 11 pips renko for EUR/USD, USD/CHF and 5 pips renko for EUR/CHF . 15 pips TP and 15 pips SL (1/1 r/r ratio) for EUR/USD, USD/CHF and 7pips TP No SL for EUR/CHF . All 3 pairs triggering trades only with "up bars closed" EUR/USD Longs only, USD/CHF longs only, EUR/CHF shorts only. Used a GlobalEquityGain of $20 to Close all open positions and start new. It made 781 trades for a total of 234 full round lots traded. $5000 account made $2761.56/55.23% . Max DD was 7.83%. Main purpose to run a few year of BT for this specific combo would be to establish a safety net. Like a Max EquityLoss to close all trades and start new. If that could be around a 10%, then this would be an excellent system. |
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| Author: | magft [ Mon Jan 16, 2012 1:26 pm ] |
| Post subject: | Re: MULTI-PAIRS BACK-TEST LAB PROJECT. |
Interesting topic. I have looked into this but other things cropped up. I take it you will have seen this article at mql4.com that uses csv files. Google has lots of entries on the matter and a few suggest using Empty4 and csv files with the back tester. Other point to MT5 but that is still so buggy might not be any good either. I did try a demo of Forex Tester 2, this allows strategies to be written in delphi or c++ and compiled into dlls for use. This works on multi pair strategies, though the demo was limited to 1 month of data a couple of years ago! Good luck with this, i will be following closely as i think there is great potential here. Regards Mike |
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| Author: | Jeuro [ Mon Jan 16, 2012 2:40 pm ] |
| Post subject: | Re: MULTI-PAIRS BACK-TEST LAB PROJECT. |
Thank for the input Mike. I have read that article and also tested strategy tester2 for the 30 days. Both way would do, but none have renko incorporate Like ninja and Jforex (also with some problem in the renko part). For now we are using a simple mql EA, like a tool, that execute trades at close of bar, and we simple use different renko size in the pairs to achieve the desire math effect. So we never have to code anything new... we just play with TP, SL, renko size global profits, etc. The ideal would be to code a similar tool, say in C++ or delfi only once, and then just apply to renko charts in BT as we do on forward test. We have manage well to create renko bars with tick data for Empty4 , so I am guessing that is possible for other platfors. Anything path we take will bring challenges, and a learning curve.. that is ok, but trying to avoid to have it go thru twice. So any comments welcome. . |
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| Author: | aacd_1 [ Wed Feb 01, 2012 8:53 am ] |
| Post subject: | Re: MULTI-PAIRS BACK-TEST LAB PROJECT. |
Do you know forex tester V2? That can solve your problem. |
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| Author: | animal20 [ Tue Aug 06, 2013 1:10 am ] |
| Post subject: | Re: MULTI-PAIRS BACK-TEST LAB PROJECT. |
Forex tester is very poor software. It can only be used to visual backtest manual trades in my opinion. There are some resuloutins. Jforex - multicurrency supported but special coding neeeded mt5- multicurerency supported but 99% tick data cant be loded Empty4- multicurenncy not supported normaly BUT there is a way to make Empty4 test multicurency strategys + U can uplaod tick data etc. In my opinion its the best solution to test it. |
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| Author: | phil_trade [ Tue Aug 06, 2013 6:31 am ] |
| Post subject: | Re: MULTI-PAIRS BACK-TEST LAB PROJECT. |
??? Could you explain why ? I'm using in extensively and for very complex projects and have some successful results. What are your grievances? Philippe |
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| Author: | thuythuyyen [ Fri Jan 10, 2014 9:23 am ] |
| Post subject: | Re: MULTI-PAIRS BACK-TEST LAB PROJECT. |
How about your EA now ??? can you share it ???, thank . |
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| Author: | Jeuro [ Tue Sep 09, 2014 7:58 am ] |
| Post subject: | MULTI-PAIRS BACK-TEST LAB PROJECT. |
Message to Raptor6. I got your PM and try to answer but your PM is disable... Maybe because you don't have any posts J. |
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| Author: | raptor6 [ Wed Sep 10, 2014 7:40 am ] |
| Post subject: | MULTI-PAIRS BACK-TEST LAB PROJECT. |
Hi Jeuro, Oh ok, I try again. |
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