That's what I've been dreaming for.
Steve, is there a way to increase the number of metric options with check boxes for one to choose how many options to use as trading criteria?
1) Win loss ratio - is not a good criteria for a "normal" breakout EA cos it tends to have a lower win ratio (though not all Breakout EA has that limitations)
2. Max DD - Two schools of thoughts To have the choice to either 1) turn OFF EA when reached max DD or 2) Turn ON EA when reached Max DD
a) 1st School of thoughts - Conventional method is to turn off EA when it reached it's max DD
Firstly, if we were to use this conventional method, we will be constantly throwing away EA whenever they reached their max DD cos if we were to turn off when reached DD, then when will we know when to turn on?
Picture this - imagine your EA's performance cycle is like Stochastic, do you buy (turn on EA, during max DD) when the market hit rock bottom (max DD) or do you buy (enter long, turn on EA) when market reached it's peak's performance? When a EA reached it's max DD, what is likely to happen? The EA continue to worsen or the EA will start to pick up in it's performance?
Secondly, we need to look at market cycle or market situations instead of purely statistics as our decision making. For example, if our EA is a Breakout EA and the past few days have been a prolonged ranging, unclear market trend direction, it is expected that the EA will be losing over the past few days/weeks and hence reached or even exceeded it's max DD.
Question - when we have a prolong ranging days, what do we expect at the end of the ranging days?
Which is more probable/likely to happen next? 1) The ranging days will continue further and hence incurred more DD, or 2) There is going to be a breakout soon? So each time we turn off the EA near the end of ranging days (becos our EA hit it's max DD), we will be missing out on the coming opportunity when the Breakout is going to happen at the "end" of ranging days.
2) Second school of thoughts - turn on EA when ever it reached it's max DD
This school of thoughts (which I propose) fall in line with how market cycle or EA life cycle behaves. A breakout EA will have it's peak and then followed by it's DD (because between each breakout, there are a number of ranging days and hence EA will likely reach a certain level of DD). Hence, it is wise to turn on EA after a certain number of ranging days or when EA reached a certain level of DD. Cos we are expecting a breakout is about to happen so it's about time to start trading a breakout strategy.
3) What is the reason the EA reached it's max DD?
a) It's part and parcel of the market cycle of the EA (as explain above)
b) The EA trading strategy isn't based on any sound trading theory and hence, it will keep deteriorating.
Thus it is important to understand whether...
a) What type of EA are you using, Ranging EA or Breakout EA so that we will understand the trading patterns, market cycle and hence equity curve and it's performing metric indications.
b) Whether the EA is a profitable one in the 1st place.
3). PF value - Turn off EA when PF is below certain value or turn off when PF started falling and turn on when PF started to rise.
It's like the PF is an indicator. When PF started to fall, turn off and when PF started to rise, turn on.
a) Does the EA has a Trading Edge?
A good EA will tend to increase in it's PF value over time (after the "incubation" period such as 1 to 2 months, cos during this incubation period, the EA may have extremely high PF and then start to decline and then it will begin to "settle" at it's "performance" marker, it's "usual" performance standard, from here onward the PF will then fluctuate according to the market cycle as explain above).
A good EA with a trading edge tend to show (sometimes small depending on the EA's trade frequency) incremental rise over time. In another words, a Breakout EA need to earn more than it loses during ranging period. Hence, it's PF has to increase over time but if a Breakout EA tend to lose more (during ranging times) than it earn (during breakouts), then it's PF value will decline over time.
So if you want to know whether to "throw" away an EA, look at it's PF value changes. Does it increase over time or decline over time. Then you will know whether your EA has a trading edge (advantage).
b) PF changes signify market changes
If I'm using a Breakout EA and now it's ranging times, my EA will start to lose money and hence the PF value will start to decline. Hence, turning off my EA with PF value starts to decline (over 2 to 5 days or over a number of trades, if we can specify how many days/trades to calculate the rate of changes), is like turning off a Breakout EA in ranging times. And when PF starts to increase, turn off (this is tricky cos if we waited too long for PF to rise then turn on, we may miss the breakout instead).
4) Net Profit % change
Likewise, all the above performance metric ultimately is to measure how well an EA make money and hence another "easier" method is to use the Net Profit % change cos it comprise of all the mentioned metrics
Win loss ratio - means that EA started to lose more than it win (when does that happen? For an Breakout EA, it's during ranging times)
Max DD - means EA is having a streak of losing trades and hence reached max DD (when does that happen? Reason same as above for a Breakout EA)
PF value - Declining means the same as above
Hence, I would like to have
1) Turn off EA when it's Net Profit decline at certain %
2) Turn on EA when it' Net Profit begin to rise at certain % or
when EA reached Max DD or
when EA win loss ratio begin to increase or
when EA PF value begin to rise.
Steve, above are just some of the suggestions, of cos it's in your prerogative to decided ultimately what you would like to add in etc. Whatever it is, this tool definitely will help to improve one's trading results when used in the most appropriate manner. Looking forward to hear more of your progress in this project. It's a very promising tool to have.
RJ - These past few weeks have been really tough for a Breakout EA to do well (unless one has some good filters for the Breakout EA to avoid multiple false signals during these periods). Hence, it is "normal" if your EA is experiencing bad results these past few weeks. Unless you think your EA doesn't have a trading edge (whereby it is able to sustain those loses during ranging times because it will win more than it lose at each Breakout).