Create and Test Forex Strategies
This shows you the differences between two versions of the page.
Both sides previous revisionPrevious revisionNext revision | Previous revisionNext revisionBoth sides next revision | ||
eas-guide:acceptance-criteria [2018/01/10 09:39] – yavor | eas-guide:acceptance-criteria [2019/03/05 13:34] – Balance Stability vini | ||
---|---|---|---|
Line 4: | Line 4: | ||
===== Introduction ===== | ===== Introduction ===== | ||
- | The **acceptance criteria** are widely used in EA Studio (in the [[eas-guide: | + | The **acceptance criteria** are widely used in EA Studio (in the [[eas-guide: |
- | The acceptance criteria | + | EA Studio applies the acceptance criteria to the backtest result stats. There are three zones of the backtest the acceptance criteria applies to (see the picture below) |
* Complete backtest | * Complete backtest | ||
Line 14: | Line 14: | ||
{{: | {{: | ||
- | If we have Out of Sample | + | If we have OOS enabled all three zones will be used. |
- | If Out of Sample | + | If OOS is disabled only the first (Complete backtest) part will be used. |
{{: | {{: | ||
- | Acceptance | + | The acceptance |
<WRAP center round tip 60%> | <WRAP center round tip 60%> | ||
- | If you find a strategy with the Generator that you like you can set the acceptance criteria so the generator will find similar strategies. Just go to the **Strategy > OOS Monitor** and see the results of the backtest. Then enter them in acceptance criteria settings. For example if you liked a strategy that has a drawdawn of 8% in the acceptance criteria settings enter a number that is a little | + | If you find a strategy with the Generator that you like you can set the acceptance criteria so the generator will find similar strategies. Just go to the **Strategy > OOS Monitor** |
</ | </ | ||
Line 35: | Line 35: | ||
**Reset** - resets the acceptance criteria for this zone of the backtest to it's default values. | **Reset** - resets the acceptance criteria for this zone of the backtest to it's default values. | ||
+ | |||
===== Acceptance Criteria Metrics===== | ===== Acceptance Criteria Metrics===== | ||
+ | {{ : | ||
- | {{: | + | ==== Max./Min. Average position length ==== |
+ | Average position length where is expressed in bars. | ||
- | ==== Minimum backtest quality | + | ==== Max./Min. Bars in trade % ==== |
- | + | Bars in trade where is expressed | |
- | EA Studio backtesting engine | + | |
- | + | ||
- | ==== Maximum balance deviation ==== | + | |
- | + | ||
- | {{: | + | |
- | + | ||
- | The Reference line is an ideal line, which represents how the strategy' | + | |
- | + | ||
- | + | ||
- | ==== Maximum consecutive losses ==== | + | |
+ | ==== Max. Consecutive losses ==== | ||
How many consecutive losing trades can the strategy have. | How many consecutive losing trades can the strategy have. | ||
- | ==== Maximum count of trades ==== | + | ==== Max./Min. Count of trades ==== |
+ | Set the maximal number of trades to make sure the strategy is not over-optimized or to trade less often to avoid losing money on the spread. | ||
+ | This is important for the Generator and Optimizer in order for their backtest results to be trustworthy. If there are too few trades, the parameters below might have good-looking values, but in the same time harm your profits. For example if you have a win/loss ratio of 1.0, it is great, but if the trade count is only one, this strategy not one you can rely on. | ||
- | Set the maximal number of trades to make sure the strategy is not over-optimized. Also trade less often to avoid losing money on the spread. | + | ==== Max. Equity drawdown |
- | + | The maximum drawdown is the largest cumulative decline in a equity curve. | |
- | ==== Maximum equity drawdawn % ==== | + | |
+ | ==== Max. Equity drawdown % ==== | ||
The account equity should not go below the given percent value. | The account equity should not go below the given percent value. | ||
- | ==== Maximum stagnation | + | ==== Max. Stagnation |
+ | Set the maximum amount of consecutive days in which the strategy is not making profit. | ||
+ | ==== Max. Stagnation days ==== | ||
Set the maximum amount of consecutive days in which the strategy is not making profit. | Set the maximum amount of consecutive days in which the strategy is not making profit. | ||
- | ==== Minimum average | + | ==== Min. Average |
Set the minimum average Holding Period Return in percent. | Set the minimum average Holding Period Return in percent. | ||
- | ==== Minimum count of trades | + | ==== Min. Backtest quality |
+ | The EA Studio backtesting engine is very fast because it operates with bar data. Very rarely however this leads to ambiguities in trade execution. For example if there are protections like Stop Loss or Take Profit it might be important if the price went to bar high or bar low price first. For such bars the backtest engine cannot tell which happened first so it marks the bar as " | ||
- | Defaults to 100. At least that much trades should happen in the backtest. This is important for the Generator and Optimizer in order for the backtest result to be trustworthy. If there are too few trades, the parameters below might have good-looking values, but in the same time harm your profits. For example if you have a win/loss ratio of 1.0, it is great, but if the trade count is only one, this strategy not one you can rely on. | + | ==== Min. Balance Stability ==== |
- | ==== Minimum net profit ==== | + | Balance Stability is a performance metric develop to be as a combination of R-Squared, correlation and better scaling for a strategy. |
- | The strategy should make at least the set amount in your account' | + | [[https:// |
- | ==== Minimum | + | ==== Min. Months on profit |
+ | Shows how stable the profits are over time. Imagine we have a strategy with minimum months of profit equal to 60%. This means that if the strategy backtest was for 10 months of trading we can see that the strategy was profitable for 6 months and in the other 4 months it didn't make any profits. | ||
+ | ==== Min. Net profit ==== | ||
+ | he strategy should make at least the set amount in your account' | ||
+ | |||
+ | ==== Min. Profit factor ==== | ||
Set the minimum profit factor i.e. gross profits divided by gross losses. | Set the minimum profit factor i.e. gross profits divided by gross losses. | ||
- | ==== Minimum profit | + | ==== Min. Profit |
+ | The strategy should make at least this amount per day in your account' | ||
- | The strategy should | + | ==== Min. R - Squared ==== |
+ | The strategy should | ||
- | ==== Minimum profit | + | ==== Min. Return |
- | + | The strategy should have at least this this [[https:// | |
- | The strategy should have at least this this [[https:// | + | |
- | + | ||
- | ==== Minimum Sharpe ratio ==== | + | |
+ | ==== min. Sharpe ratio ==== | ||
The strategy should have this or a higher [[http:// | The strategy should have this or a higher [[http:// | ||
- | ==== Minimum | + | ==== min. system quality number ==== |
The strategy should have this or a higher [[http:// | The strategy should have this or a higher [[http:// | ||
- | ==== Minimum | + | ==== min. win / loss ratio ==== |
The win/loss ratio is: | The win/loss ratio is: | ||
Line 106: | Line 108: | ||
Its value might vary between zero and one. We advise that, if you are using this requirement, | Its value might vary between zero and one. We advise that, if you are using this requirement, | ||
- | ==== Minimum months on profit % ==== | ||
- | Shows how stable the profits are over time. Imagine we have a strategy with **minimum months of profit** equal to 60%. This means that if the strategy backtest was for 10 months of trading we can see that the strategy was profitable for 6 months and in the other 4 months it didn't make any profits. | + | ~~DISQUS~~ |