Create and Test Forex Strategies
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eas-guide:acceptance-criteria [2019/03/05 13:14] – vini | eas-guide:acceptance-criteria [2019/03/05 16:21] – max/min to Min. / Max. vini | ||
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- | ==== Max./Min. Average position length ==== | + | ==== Min. / Max. Average position length ==== |
Average position length where is expressed in bars. | Average position length where is expressed in bars. | ||
- | ==== Max./Min. Bars in trade % ==== | + | ==== Min. / Max. Bars in trade % ==== |
Bars in trade where is expressed as percentage. | Bars in trade where is expressed as percentage. | ||
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How many consecutive losing trades can the strategy have. | How many consecutive losing trades can the strategy have. | ||
- | ==== Max./Min. Count of trades ==== | + | ==== Min. / Max. 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. | ||
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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 | + | ==== Min. Balance |
+ | 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 on profit % ==== | ==== Min. Months on profit % ==== | ||
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==== 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 / Drawdown ==== | ==== Min. Return / Drawdown ==== | ||
The strategy should have at least this this [[https:// | The strategy should have at least this this [[https:// | ||
- | ==== min. Sharpe ratio ==== | + | ==== Min. Sharpe ratio ==== |
The strategy should have this or a higher [[http:// | The strategy should have this or a higher [[http:// | ||
- | ==== min. system quality number ==== | + | ==== Min. system quality number ==== |
The strategy should have this or a higher [[http:// | The strategy should have this or a higher [[http:// | ||
- | ==== min. win / loss ratio ==== | + | ==== Min. Win / Loss ratio ==== |
The win/loss ratio is: | The win/loss ratio is: |