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