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Posts: 4

1 (edited by qattack 2017-08-03 10:40:09)

Topic: Bug in EA Studio Net Profit Calculation?

Hi Popov,

I'm using the EA studio demo on forexrobotacademy.com.

I am using 50% OOS.

Each time that a strategy hits a new Net Profit high in the OOS and subsequently encounters a large decline, the "Net Profit" is shown as the highest point (before the decline). All stats are then calculated based upon this erroneous Net Profit. (Yesterday, I found a system with over 18 SQN, even though the graph was all over the map through the entire period. This has got to be the Holy Grail!)

Also, the "Stats Info" on these usually reads one or two Max Consecutive Losses.

Attached is an example.

ThanX,
John

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Re: Bug in EA Studio Net Profit Calculation?

There is no problem.

The stats covers only the closed deals. The goldish line on the chart is the equity line. It just happens that the last positions is still open and is not considered.

However it is clear that this strategy is not good because of the Drawdown.

It is also visible that this strategy closes only on profit. You probably use Take Profit enabled in the Generator and it is "so clever" to overuse it that produces strategies like the one you have attached.

The solution is simple. Set the Generator to "Do not use" Take Profit.

3 (edited by qattack 2017-08-04 02:36:29)

Re: Bug in EA Studio Net Profit Calculation?

Sorry, I'm not trying to be difficult; I just don't understand how those stats are ever possible, much less considering the volatility of this equity curve.

If the stats disregard the last trade (if the last trade never occurred), we would have a SQN of 17.91 over 377 trades, during which we never lost more than one trade in a row?

I guess it would have been helpful to me if I would have examined the underlying strategy of the system to figure out what was going on. The win/loss ratio is even, so I guess that the TP is extremely small compared to the SL, the SL is huge (or non-existent and there is no exit strategy when losing?), the strategy trades at break-even when it comes back from a loss, and a break-even amount counts as a loss? But that would still require wins and break-evens to alternate for 377 trades.

EDIT: I found another strategy (actually several--still saved) that did essentially the same thing. It pretty much follows what I wrote above. And the reverse long/short strategy accounts for the alternating win/loss. That's sort of interesting to me. Here is that strategy's properties. (Sorry if this is basic, but it's a discovery for me! smile

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Re: Bug in EA Studio Net Profit Calculation?

If the stats disregard the last trade (if the last trade never occurred)

EA Studio (as well as FSB Pro) takes into account all trades. The programs close trades when the closing conditions are satisfied. It is MetaQuotes design decision to make MT closing the current position at the end of the backtest. I don't think this is correct. However it is very easy to me to make such behavior in EA Studio. Then we will have complete match between the stats. I'll add this very soon.

...we would have a SQN of 17.91 over 377 trades, during which we never lost more than one trade in a row?

The SQN formula is written by Dr. Van Tharp (http://www.vantharp.com/tharp-concepts/sqn.asp) and implemented in EA Studio and in FSB Pro. I'm not discussing the formula, it is what it is.

Please note that SQN 17.91 is not a big deal. We can go a wayyyyy better. It was easy to fix the TP to 5 pips,to disallow SL and EA Studio easily generated a strategy with SQN = 90. The result is confirmed in MT4. Consecutive wins 113, consecutive losses 1. Unfortunately MT4 doesn't show SQN.

Of course, this is a complete curve-fitting.


http://s2.postimg.org/o2ewwytqh/screenshot_359.png

http://s2.postimg.org/z0q6f5ibt/screenshot_358.png


I guess it would have been helpful to me if I would have examined the underlying strategy of the system to figure out what was going on. The win/loss ratio is even, so I guess that the TP is extremely small compared to the SL, the SL is huge (or non-existent and there is no exit strategy when losing?), the strategy trades at break-even when it comes back from a loss, and a break-even amount counts as a loss? But that would still require wins and break-evens to alternate for 377 trades.

I think your misunderstanding comes from this the strategy trades at break-even. There is no break-even. There is a Take Profit of 5 pips.


..

EA Studio makes what you say to it. When you set that you want it to find the best strategy with TP = 5 pips, it makes it.

If it sounds weird to you now, please leave it for 2-3 days.

If you think there is a bug in the program, please explain what do you think it is wrong and what do you think must be. We will analyze the problem and will find a solution.

You can also export the complete journal to a csv and you can make the stats calculations in Excel. If you find a difference, please report.

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