Topic: Differences in results of strategies developed with FSB and FSB Pro
When I will develop a strategy (in FSB Pro or FSB) I will test it with the program I didn’t developed it with, i.e. if I developed a program with FSB Pro I will tested with FSB, and vice versa). Of course, I am testing with same historical period and all other parameters equal in both cases. What is interesting, I will often (not always) get very different results under both tests.
As the FSB have been under development under a longer period then FSB Pro, I probably should trust the results of FSB more. But the discrepancy, if it will appear, tells something and should be followed up. There is of course one thing which differs in both those cases – indicators. As I understand, indicators for FSB Pro has to be rewritten in some cases. But the question is still there – which version shows the correct results (but, of course, both results can be also erroneous).
Following up the different results can be helpful to find bugs in both programs. This strategy gives such results for the period from 2013-01-01 to (approximately) few days ago – other periods will give different results.
Another explanation is a possibility of “butterfly effect” – small changes in any parametric start condition will give large changes in end result. But this sensitivity is also an quality indicator – a strategy will only survive “out there” if it is robust, and not too sensitive to initial conditions.
Here follows an example of such strategy. This strategy gives different results for the period from 2013-01-01 to (approximately) few days ago – other periods will not behave in same way. I also used FSB Pro data downloaded from FSB Pro History Center. The strategy gives positive results under FSB (which I used to develop it with) and bad results in FSB Pro. I check controlling parameters in both programs (FSB and FSB Pro) throughout to be sure that they are exactly same.
Strategy name: EurUsd_1d_PivotPoints-SteadyBands
Forex Strategy Builder v188.8.131.52
Exported on: 2014-07-07 22:39:58
Automatically generated on 2014-05-29 16:22.
Out of sample testing, percent of OOS bars: 30%
Balance: 1934,98 EUR (2014-01-08 00:00 Bar: 215)
Market: EURUSD 1 Day
Spread in points: 20,00
Swap Long in Points: 2,00
Swap Short in Points: -2,00
Commission per lot at opening and closing in Points: 0,00
Slippage in points: 0
Use account % for margin round to whole lots
Maximum open lots: 20,00
Entry lots: 3,00% of the account for margin
Martingale money management multiplier: 2,00
Intrabar scanning: Accomplished
Interpolation method: Pessimistic scenario
Ambiguous bars: 0
Tested bars: 350
Balance: 39230 points (3193,98 USD)
Minimum account: -1426 points (191,21 USD)
Maximum drawdown: 1426 points (108,79 USD)
Time in position: 97 %
A same direction signal - Does nothing
An opposite direction signal - Does nothing
Permanent Stop Loss - None
Permanent Take Profit - None
Break Even - None
[Opening Point of the Position]
Enter the market at the Pivot Point
Base price - One day
Vertical shift - -512
Use previous bar value - Yes
[Closing Point of the Position]
Exit long at Upper Band
Smoothing method - Simple
Base price - Open
MA period - 30
Margin in points - 1539
Use previous bar value - No