1 (edited by hannahis 2015-05-25 18:16:32)

Topic: Using MyFxBook to analyse strategy entry and exit accuracy

Hi I am sharing the advantages i get from using MyFxBook to analyse my strategies performance.

Using MyFxBook advantages when u enter your MT4 account details (investors password) into your portfolio

it has extensive tools to analyse your trading account and what i liked best is the features that can analyse trade
or strategies (using magic number) according to entry and exit accuracy (under the "more" option, you can select to add or delete which features you want.  entry and exit accuracy and magic number are not in the default list, so you need to "tick" and select these features.

analysing strategies entry and exit accuracy help me to

1.  identify good strategies from the bad ones
2. identify the weakness of the strategy eg bad entry (bad FSB opening conditions) or poor exit (poor FSB closing conditions)
3. assist me in knowing which strategies to discard (those with low entry accuracy) and which strategies to improvise (high entry accuracy but poor exit accuracy).

in the past i select or discard strategies based on overall profitability but now at least i can pinpoint better why my strategies worked or didn't work.  Without entry or exit accuracy analysis, I could have discard strategies (in the past) that were not profitable due to poor exit accuracy but high entry accuracy.  Now, I know which strategies to keep and work on to improve over trade performance.

Currently most of my strategies have high entry accuracy between 70%-100% and i need to work on the closing conditions to improve the exit accuracy.  if anyone has any suggestions or tips or general rules of thumb on how to improve closing conditions, do share your expertise.

It's easier to set high accuracy opening conditions than closing conditions.

Opening conditions - I try to be as "strict" as possible so that when it enter into a trade, higher accuracy.
However, I can't apply such "strict" rules to closing otherwise, by the time all the "strict" conditions are met, the market has turned around hundreds of pips and the strategy isn't "responsive" enough to close with high accuracy.  Too "sensitive" or laxed closing conditions would result to pre-mature closing and losses.

Hannah

Re: Using MyFxBook to analyse strategy entry and exit accuracy

Excellent ideas.!

Thank you.

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

3 (edited by hannahis 2015-05-25 18:04:28)

Re: Using MyFxBook to analyse strategy entry and exit accuracy

Attached is the screen shot for those who may not understand what I'm saying.

www.myfxbook.com

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MyFxBook.png 233.59 kb, 5 downloads since 2015-05-25 

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Hannah

Re: Using MyFxBook to analyse strategy entry and exit accuracy

I also agree that this is an excellent idea. I may add such report directly in FSB Pro.

Re: Using MyFxBook to analyse strategy entry and exit accuracy

Do you know how the accuracy parameter is calculated? Does it combine predetermined amount of initial profit or predetermined amount of drawdown or both?

Re: Using MyFxBook to analyse strategy entry and exit accuracy

footon wrote:

Do you know how the accuracy parameter is calculated? Does it combine predetermined amount of initial profit or predetermined amount of drawdown or both?

I have no idea. Any inside info on the topic is highly welcome.

Re: Using MyFxBook to analyse strategy entry and exit accuracy

We can theorize on this.

Firstly, what defines accuracy? Minimal drawdown and defined amount of profit. Trade gets opened and it goes in profit in reasonable time without producing heavy DD irrespective of any closing point. There you have it, another variable - time! So, for example, a trade going <-5points + spread and >5points+ spread in 15 minutes could be defined as highly accurate. Personally I don't like this approach, too much discretionary input needed to set the "right" amount for points and time.

Another idea - lets look the chart as a series of up and down swings. If entries cluster at turning points, entries are accurate, aren't they? I like this idea. Defining swings is actually pretty easily done, I think (a note to Ahmed: we can forget ZZ because it needs a period setting, therefore another "bad" input needed).

Re: Using MyFxBook to analyse strategy entry and exit accuracy

However, we have to not forget that a higher accuracy means a higher curve-fit.

Re: Using MyFxBook to analyse strategy entry and exit accuracy

I like the test of actual trading on a live account using very small amounts of money.

All the ratios etc are quite helpful, however tha rubber meets the road when trading for real.

I did use a few tools and found that I could recognize problems more quickly when an unexpected loss appeared on a real account.

I am just starting to place 26 copies of an ea on live charts.... I will know very quickly the merits and bad points of that EA when my equity gets hit too hard.

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

Re: Using MyFxBook to analyse strategy entry and exit accuracy

How the Entry and Exit Accuracy Calculated?

I can't be certain how but from what I observed, here may be the pointers that I think it is based on:

The data collected based on historical data whether:

1. When trade opened (long or buy), was it at the lowest point?  Entry Accuracy

2. When trade closed (for a long position), was it at the highest peak?  Exit Accuracy

3. MyFxBook also have features such as Profit Missed (the highest peak minus your exit point)

4. Another feature is the Time Profitable that measures from the time you entered the trade, how long it stayed profitable.

4a) If poor Entry Accuracy, then most of the time it was not profitable and market turned around and trade because profitable, hence Time Profitable allows you to know that despite a profitable trade, your entry accuracy is poor because it entered pre-maturely (time profitable).

Of course MyFxBook also have DD and sharpe, Z score etc. 

But personally, I find
1. Entry and Exit accuracy
2. Profit Missed
3. Time profitable

These 3 features make most sense to me as I could use these features to improve on my opening and closing condtions in the FSB Pro.

Thanks Popov, I do certainly hope such features are added into FSB Pro.  That would help provide immediate input why a trade is profitable or why it isn't and not just based on overall profitability which cannot pinpoint whether it is due to good opening or good closing.

Hannah

Re: Using MyFxBook to analyse strategy entry and exit accuracy

Profit missed and Time in profit in bars is easy.

Entry and Exit accuracy looks very ambiguous to me to the degree that they sounds like marketing tricks.

12 (edited by hannahis 2015-05-26 10:39:19)

Re: Using MyFxBook to analyse strategy entry and exit accuracy

Popov wrote:

Profit missed and Time in profit in bars is easy.

Entry and Exit accuracy looks very ambiguous to me to the degree that they sounds like marketing tricks.


If you looked at the screen shot I uploaded, you can see the graph depicted with dots, showing the entry, exit and highest peak (profit missed = highest peak - actual exit). 

Based on this illustration, I could see how well my trade (or strategy) performed.  I also compare it based on my observation of my trades and realised that some opened well but closed badly but without the MyFxBook analysis, I wouldn't know how well or badly and also it's hard to collate this information from my own MT4. 

Try upload your MT4 account into MyFxBook and it would "crunch" out the statistics (in a few seconds) for you based on your past trades.  And you can see for yourself how your strategies perform and whether it "coincide" with your observations.

Whether it's a market "trick" or not, the information definitely did provide me vital information about my strategies and helped me zoom into those particular strategies that need improvement in their opening or closing conditions. 

I'm not a mathematician, hence I can't tell how "accurate" these statistics are (whether just a marketing tactics, I'll leave it to the experts like Popov to decide) but still without them, I would be even more clueless about how well are my opening and closing strategies.

Hannah

Re: Using MyFxBook to analyse strategy entry and exit accuracy

The accuracy stuff is very similar to my swing high/low theory, it's not marketing gimmicks. I've seen quite remarkable probabilistic calls on forecasting future swing highs and lows, it just might provide a good edge. A good objective way to identify swing highs and lows is all that's needed. Then if trade is opened at the swing bar or one bar before or after, it counts as an accurate entry!

14 (edited by hannahis 2015-05-26 13:28:13)

Re: Using MyFxBook to analyse strategy entry and exit accuracy

footon wrote:

The accuracy stuff is very similar to my swing high/low theory, it's not marketing gimmicks. I've seen quite remarkable probabilistic calls on forecasting future swing highs and lows, it just might provide a good edge. A good objective way to identify swing highs and lows is all that's needed. Then if trade is opened at the swing bar or one bar before or after, it counts as an accurate entry!


The MyFxBook entry and exit accuracy is not based on any theory but is calculated at the point of trade entry, how much DD before it begin to be profitable.  Hence, if a trade is opened and it was negative and then turned positive, then it would be reflected in Entry Accuracy as low depending on how large is the DD.  But if a trade entered and didn't have any negative or very low DD, then it would be reflected as high Entry accuracy.  The calculation is based on the pips your missed or DD, not by bars.

Hannah

Re: Using MyFxBook to analyse strategy entry and exit accuracy

For me 100% accuracy means that you have caught 100% of the possible profit on the given time frame. All other is not 100%.

But if a trade entered and didn't have any negative or very low DD, then it would be reflected as high Entry accuracy.

If the market started an uptrend from 1.2 to 1.6 and you have entered on 1.4 to 1.5 on profit with zero DD is it 100% accuracy?

I see it as long entry at 1.2 = 100% acc., long at 1.4 = 50% acc. and long at 1.6 = 0% accuracy.

But what about previous swings?

If the market was 0.8 -> 1.3 -> 1.2 ->1.6 then is long at 1.2 = 100% acc. or 50% acc.?

Then is long from 0.8 to 1.6 = 100% accuracy?

What about long 0.8 to 1.3. Short from 1.3 to 1.2 and long from 1.2 to 1.6?

Re: Using MyFxBook to analyse strategy entry and exit accuracy

hannahis wrote:
footon wrote:

The accuracy stuff is very similar to my swing high/low theory, it's not marketing gimmicks. I've seen quite remarkable probabilistic calls on forecasting future swing highs and lows, it just might provide a good edge. A good objective way to identify swing highs and lows is all that's needed. Then if trade is opened at the swing bar or one bar before or after, it counts as an accurate entry!


The MyFxBook entry and exit accuracy is not based on any theory but is calculated at the point of trade entry, how much DD before it begin to be profitable.  Hence, if a trade is opened and it was negative and then turned positive, then it would be reflected in Entry Accuracy as low depending on how large is the DD.  But if a trade entered and didn't have any negative or very low DD, then it would be reflected as high Entry accuracy.  The calculation is based on the pips your missed or DD, not by bars.

Please note the difference between my theorization and the actual implementation MFB has or might have. I'm just trying to give a vision for FSB's development, using ideas presented here.

17 (edited by hannahis 2015-05-26 15:15:21)

Re: Using MyFxBook to analyse strategy entry and exit accuracy

Popov wrote:

For me 100% accuracy means that you have caught 100% of the possible profit on the given time frame. All other is not 100%.

But if a trade entered and didn't have any negative or very low DD, then it would be reflected as high Entry accuracy.

If the market started an uptrend from 1.2 to 1.6 and you have entered on 1.4 to 1.5 on profit with zero DD is it 100% accuracy?

I see it as long entry at 1.2 = 100% acc., long at 1.4 = 50% acc. and long at 1.6 = 0% accuracy.

But what about previous swings?

If the market was 0.8 -> 1.3 -> 1.2 ->1.6 then is long at 1.2 = 100% acc. or 50% acc.?

Then is long from 0.8 to 1.6 = 100% accuracy?

What about long 0.8 to 1.3. Short from 1.3 to 1.2 and long from 1.2 to 1.6?


It is good to start with the right definition of 100% accuracy.  Because different people has different expectations or definition.

If we are to measure how accurate a trade is then, my opinion it is how well the trade entered with right "bet" (accuracy) and hence it's call entry accuracy.

If we are to measure how accurate a trade can capture the "whole upward trend" and hence, how near it entered at the right pricing, then that can be named as Price or Profit accuracy?

I can't say for sure how MyFxBook measures entry accuracy but I do know that exit accuracy is how well it exit at the lowest price within the trade time frame. 

For eg, if the trade exit with the lowest price "recorded" during the entire trading period, it's 100% but if the price continue to go up (for a buy position) and the trade lost the extra 150 pips from closing too early, it's still considered at 100% exit because at that point of closing, the system cannot calculate future prices or data. 

From a FSB Pro point of view, everything is of "hindsight" hence, we already have all the historical data to do the kind of 100% accuracy that you mentioned Popov.

Popov, if you are going to include this Entry Accuracy and/or Profit Accuracy, can the calculation be separated for Opening conditions and Closing conditions?

Eg.  Since your definition of 100% accuracy is based on how well the opening conditions enter as near as the start of an upward trend, then it doesn't matter at this point of time how well or what are my closing conditions.  Thus the 1st objective or aim is to develop strategies with as good a opening conditions as possible (using the start of an upward trend as the point of reference or calculation).  Once, this 1st objective is done, we can move on to focus on developing a good set of closing conditions.  In this way, we have a better chance of improving and making profitable strategies.

Currently, the strategies are calculated based on profitability and often I want to work on my opening conditions and tweak them here and there but this can't be done because as long as I haven't determine the closing conditions, the system can't calculate how well the strategy is. 

Hence, if you can separate the calculation into 2 parts, Opening conditions Accuracy and Closing Conditions Accuracy.  That would be awesome.

Hannah

Re: Using MyFxBook to analyse strategy entry and exit accuracy

Point based "accuracy" is already in FSB, it is permanent SL. It doesn't offer stats (we are after stats after all as entry accuracy cannot be defined as a opening condition???), but points out bad strats with not so good entries.

Re: Using MyFxBook to analyse strategy entry and exit accuracy

Hence, if you can separate the calculation into 2 parts, Opening conditions Accuracy and Closing Conditions Accuracy.  That would be awesome.

This was something I had in mind from the first day of FSB.

To test the entry, set the exit on Bar Closing and "Random Filter" as a Closing logic condition. After that press F5 to recalculate the strategy. It will give different performance on every hit.

Other option is to use "N bars exit". You need to preset it for 5 or 10 bars and to work on your entry rules. Or just change the number of bars by scrolling with the mouse wheel.

You can do the same with the exit rules. Set Bar Opening and Random Filter for entry and you'll see how good is your exit on a random entry.

From a FSB Pro point of view, everything is of "hindsight" hence, we already have all the historical data to do the kind of 100% accuracy that you mentioned Popov.

If we figure out a proper formula or method, I'm able to implement it in the program. Probably you can ask in the MyFxBook forum for clarification on the topic. I can add all info you find useful in MyFxBook in FSB Pro in next releases.

Re: Using MyFxBook to analyse strategy entry and exit accuracy

Currently, I'm using MyFxBook to analyse my Opening and Closing conditions. 

i.e.  I would use the Entry Accuracy to filter out the good EA from the not so good ones.  Then those EA with high Entry accuracy but low exit accuracy, I would then use the FSB to re-work on the closing conditions and then trade it again and analyse whether the closing has improved.


If FSB can calculate the strategy into 2 separate components, that would be what I'm trying to do with MyFxBook.

Hannah

21 (edited by hannahis 2015-05-26 15:45:34)

Re: Using MyFxBook to analyse strategy entry and exit accuracy

Popov,

The Random filter isn't a good idea.  It's give random exit signal and hence, the measurement of the strategy performance is based on that random exit signal as a point of reference or measurement, it like shooting blindly.

Your idea of 100% accuracy, using a trend movement as the reference point is a better idea.  It's like looking at the 4 hour time chart and we can see when the upward trend begin and see how well we can set an opening conditions based on that reference point.

That's what I'm doing right now with my own strategies.  I put all the various indicators on my MT4 different time charts and I change the parameters here and there to see which set of indicators over many up and down trends are able to have "crossings" that consistently predict or signal the start of a trend.  I guess with this method I am able to get 70% to 100% entry accuracy for my opening conditions.  Now my challenge is to work on a "dynamic" closing that I mentioned early in previous discussion thread.   http://forexsb.com/forum/topic/5305/dynamic-closing-condition/

Hannah

22 (edited by hannahis 2015-05-26 18:32:02)

Re: Using MyFxBook to analyse strategy entry and exit accuracy

Popov,

You mentioned Profit missed is easy.  So can we start from here, using the Profit missed as the entry accuracy measurement?

Another method or formula to use for measuring when is the start of a trend.  Sounds a bit simplistic or crazy but can it be...in this method, whereby the system calculates at each point the pips difference from one bar to another.  If the bars continue to increase in a significant manner, the system can recognise that there is a start of a trend.

Eg.  The values below shows the pips difference from one bar to another, based on the values below, trend begins at Bar 7 as prices begin to pick up significantly (sorry, I'm not a math genius, so I hope u understand what I mean). 

Pips Difference 3, 5, 10, 2, 7, 20, 42, 50, 24, 60, 70, 130, 40, 100, 40, 70,
No of Bar          1  2   3  4  5   6   7    8    9    10   11   12   13   14   15  16


Basically, it's just like looking at the MT4 chart H4 and we usually noticed that there is sideway trending and then "suddenly" price hike.  Hence, during the sideway trending period, that pips difference from Bar to another aren't significant.  But when the trend begins, the next Bar would record a significant higher pips and the next bars continues.  Hence, if the system can then "trace" back to where there is a flat curve (sideway trending) and then identify where the trend started, we can use that as our measurement of Entry Accuracy.

I'm not quite sure whether you understand what I'm saying...but I'm just trying to think of a method of calculation from a lay person (novice) point of view.  I know I may sound so ridiculous and such method is too simplistic that you definitely has a better way to calculate...but i'm just throwing in my 2 cents worth of opinion especially when it comes to technical or mathematical arena, it's beyond me.  I'm the creative person...who likes to think out of the box smile

Hannah

23 (edited by hannahis 2015-05-26 18:46:52)

Re: Using MyFxBook to analyse strategy entry and exit accuracy

Two types of Profit Missed calculation.

Method 1.  The profit missed earlier.  When the trade enters, did it enter at the lowest possible point?

Method 2.  The profit missed after trade closed, how much potential profit missed for premature exit, from the highest peak.

Since you said calculate Profit missed is easy.  Let's use it to measure Entry/Exit Accuracy, if we can't find a better method or formula to measure Opening conditions and Closing conditions accuracy.  And we can measure opening condition or entry accuracy independently from closing condition. or exit accuracy.

For measuring opening condition or entry accuracy, we use the profit missed in method 1.

For measuring closing condition or exit accuracy, we use profit missed in method 2.

Hannah

Re: Using MyFxBook to analyse strategy entry and exit accuracy

This is a screenshot of NinjaTrader 8 closed beta. They show something named Average Efficiency.

http://s11.postimg.org/csgbuuhcf/screenshot_924.jpg

http://s11.postimg.org/beoozji33/screenshot_925.jpg

http://s11.postimg.org/64jq88xu7/screenshot_926.jpg

I'm going to find what does it mean.

Re: Using MyFxBook to analyse strategy entry and exit accuracy

This is quote of the NinjaTrader help guide:

Following are the formulas for the calculation of some of the efficiency performance graphs.

Assume the following:
- Enter long at price of 100
- Market moves down to a price of 90
- Market moves up to a price of 130
- Exit at a price of 110

Entry Efficiency is Calculated as:

(maximum price seen - entry price) / (maximum price seen - minimum price seen)
= (130 - 100) / (130 - 90)
= 75%
= The entry took 75% of the trade range

Exit Efficiency is Calculated as:

(exit price - minimum price seen) / (maximum price seen - minimum price seen)
= (110 - 90) / (130 - 90)
= 50%
= The exit took 50% of the available trade range

Total Efficiency is Calculated as:

(exit price - entry price) / (maximum price seen - minimum price seen)
= (110 - 100) / (130 - 90)
= 25%
= The trade represented only 25% of the trade range

   • The formulas are reversed for short
   • The blue line on any efficiency graph represents the average