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 [2019/03/05 13:10] – metrics updated vini | eas-guide:acceptance-criteria [2019/03/05 13:39] – R - Squared vini | ||
---|---|---|---|
Line 38: | Line 38: | ||
===== Acceptance Criteria Metrics===== | ===== Acceptance Criteria Metrics===== | ||
+ | {{ : | ||
- | {{: | + | ==== Max./Min. Average |
- | + | ||
- | ==== max./min. average | + | |
Average position length where is expressed in bars. | Average position length where is expressed in bars. | ||
- | ==== max./min. bars in trade % ==== | + | ==== Max./Min. Bars in trade % ==== |
Bars in trade where is expressed as percentage. | Bars in trade where is expressed as percentage. | ||
- | ==== max. consecutive | + | ==== Max. Consecutive |
How many consecutive losing trades can the strategy have. | How many consecutive losing trades can the strategy have. | ||
- | ==== max./min. 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. | 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. | 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. | ||
- | ==== max. equity | + | ==== Max. Equity |
The maximum drawdown is the largest cumulative decline in a equity curve. | The maximum drawdown is the largest cumulative decline in a equity curve. | ||
- | ==== max. equity | + | ==== Max. Equity |
The account equity should not go below the given percent value. | The account equity should not go below the given percent value. | ||
- | ==== max. stagnation | + | ==== Max. Stagnation |
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. | ||
- | ==== max. stagnation | + | ==== Max. Stagnation |
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. | ||
- | ==== min. average | + | ==== Min. Average |
Set the minimum average Holding Period Return in percent. | Set the minimum average Holding Period Return in percent. | ||
- | ==== min. backtest | + | ==== Min. Backtest |
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 " | 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 " | ||
- | ==== min. balance stability | + | ==== Min. Balance Stability |
+ | |||
+ | Balance Stability is a performance metric develop to be as a combination of R-Squared, correlation and better scaling for a strategy. | ||
+ | [[https:// | ||
- | ==== min. months | + | ==== Min. Months |
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. | 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 ==== | + | ==== Min. Net profit ==== |
he strategy should make at least the set amount in your account' | he strategy should make at least the set amount in your account' | ||
- | ==== min. profit | + | ==== Min. Profit |
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. | ||
- | ==== min. profit | + | ==== Min. Profit |
The strategy should make at least this amount per day in your account' | The strategy should make at least this amount per day in your account' | ||
- | ==== min. r - squared | + | ==== Min. R - Squared |
- | The strategy should have at least this this [[https:// | + | The strategy should have at least this this R - Squared value. You can read more about this performance metric at [[https:// |
- | ==== min. return | + | ==== Min. Return |
The strategy should have at least this this [[https:// | The strategy should have at least this this [[https:// | ||