Create and Test Forex Strategies
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eas-guide:monte-carlo [2018/01/09 13:04] – yavor | eas-guide:monte-carlo [2018/02/01 09:57] – yavor | ||
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- | Monte Carlo is the best tool for testing the strategy robustness. When you create a strategy, you see its backtest statistics. However, there is a problem - the strategy might be over-optimized (a.k.a curve fitted). The goal of the Monte Carlo tool is to verify that the strategy is not over-optimized. This tool allows you to randomly change | + | Monte Carlo is the best tool for testing the strategy robustness. When you create a strategy, you see its backtest statistics. However, there is a problem - the strategy might be over-optimized (curve fitted). The goal of the Monte Carlo tool is to verify that the strategy is not over-optimized. This tool allows you to apply random changes to the market data, the execution of the strategy and the numeric parameters of the strategy indicators. |
If you make minor changes to the strategy and its environment, | If you make minor changes to the strategy and its environment, | ||
- | On the other hand – if you make some minor changes and the strategy' | + | On the other hand – if you make some minor changes and the strategy profits crumble – it means that this strategy is over-optimized and thus, it is a bad choice to trade. |
<WRAP center round tip 60%> | <WRAP center round tip 60%> | ||
- | When you run the Monte Carlo tool, you actually do not run a single test but 20 (by default) tests. Each test is random can use one or more simulations. | + | When you run the Monte Carlo tool, you actually do not run a single test but 20 (by default) tests. Each test is random. It can use one or more simulations. |
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**Market variations** | **Market variations** | ||
- | * **Randomize history data** - This will change the bar range of a certain number of bars. It can change the bar’s Low and High values in both directions. This will result in having higher or shorter bars. | + | * **Randomize history data** - The tool will take a certain number of random |
- | * **Randomize spread** - If this is enabled EA Studio can set the spread to a different value. It might vary within the borders set in Options. | + | * **Randomize spread** - If this option |
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The first column shows the percentage of tests that showed results better than the current row. “Confidence” column shows the probability for the profit to be higher than the “Net Balance” value. | The first column shows the percentage of tests that showed results better than the current row. “Confidence” column shows the probability for the profit to be higher than the “Net Balance” value. | ||
- | For example in the screenshot above, you see the lowest row shows 100% confidence. This " | + | For example in the screenshot above, you see the lowest row shows 100% confidence. This " |
The tool is only named " | The tool is only named " | ||
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**Execution problems** | **Execution problems** | ||
- | * **Maximum slippage (points)** - how much can the maximum Random slippage be in points | + | * **Maximum slippage (points)** - how much can the maximum Random slippage |
* **Skip entry probability %** - For each new entry there will be a probability (default 2%) to skip opening the position. | * **Skip entry probability %** - For each new entry there will be a probability (default 2%) to skip opening the position. | ||
- | * **Skip exit probability %** - For each exit there will be a probability (default 2%) to skip closing | + | * **Skip exit probability %** - For each exit there will be a probability (default 2%) to skip exiting |
* **Close position probability %** - What is the chance to close a position in each bar. | * **Close position probability %** - What is the chance to close a position in each bar. | ||
**Strategy variations** | **Strategy variations** | ||
- | * **Indicator change probability %** - chance to change an indicator parameter value. By default only 20% of the parameters will be changed and 80% of the parameters will remain unchanged | + | * **Indicator change probability %** - chance to change an indicator parameter value. By default only 20% of the parameters will be changed and 80% of the parameters will remain unchanged. |
- | * **Indicator max change %** - shows how much the changed parameter’s value can fluctuate. | + | * **Indicator max change %** - shows how much a changed parameter's value can deviate from the original value. |
* **Minimum deviation range** - by default 20 steps. This setting is meant for indicators that have parameters with very low values where changing the value by 20% won't do much difference. In such cases the **Minimum deviation range** will be used and the indicator will be changed by 20 steps (by default) or however much you set. | * **Minimum deviation range** - by default 20 steps. This setting is meant for indicators that have parameters with very low values where changing the value by 20% won't do much difference. In such cases the **Minimum deviation range** will be used and the indicator will be changed by 20 steps (by default) or however much you set. | ||
- | * **Reset** - resets all the fields within Simulations and Options to their default values. | + | * **Reset** |
===== Validation ===== | ===== Validation ===== |