1 (edited by torinfx 2017-01-08 01:47:15)

Topic: How to solve: EA goes good in 12 years data but goes bad next 3 years

Hello everyone,
I used EaStudio to create strategy on time frame H4, from period 2001-01-02 to 2013-12-30 20:00.

It seems to me (but if I'm wrong please tell me :-)) that it's a good EA by looking at SQN, Sharpe Ration, Return/Drawdown, %Drawdown etc..

Optimization was initially made with no OOS, after a first backtest I changed to 50% OOS, but future results didn't change.

In the image attached you find the report.

Montecarlo Test (the one with 50% OOS) gave what follows:

Confidence      Profit    Profit / day    Max DD %      Return / DD    Trades    SQN           Win / loss
Original              17191    3.64                    8.37                8.39             118            4.53             0.75
10  %              17710    3.75                    8.14                8.64             116            4.72             0.76
95 %                      15134    3.20                    9.31                7.39             116            3.97             0.73
100 %              14913    3.15                    9.61                5.73             110            3.92             0.73

Then, even if maybe mr McKay wouldn't agree :-), I went on MT4 for backtest until dec2013 and to see how it behave in the next 3 years after the period test.

Backtest results was inside EAstudio Montecarlo range, but next 3 years was a completely loss: he lost 4.500$, 18/27 operations in loss, only 9 won.

Please, what are the conditions an EA must have in order to perform well in the period after the test too?

Thank you very much!
Angelo

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