How to test expert advisors portfolio on historical data?
Posted by Boris F at 6/10/2010 12:13 PM 
Categories: Forex Software
Tags: forex software metatrader metatrader back test forex tester
Categories: Forex Software
Tags: forex software metatrader metatrader back test forex tester
It is very important to choose a portfolio of expert advisers in such a way to get the minimum drawdown for equity curve. Each expert advisor in the portfolio should reduce drawdown and protect the deposit from the margin call. This can be achieved by selecting the right combination of expert advisers and the correct lot size for each of them. It is difficult to implement, because build in metatrader 4 tester doesn’t support multi strategies testing.
I would like to explain how to receive summary back test for several expert advisors and calculate summary drawdown and other important parameters.
First, I would like to explain what mean each parameter in the strategy tester’s report.
Bars In Test – Displays the depth of the history on which the modeling was based.
Ticks Modelled – Displays the size of the modeled sequence. Every record of the sequence represents the bar state (OHLCV) at one or another moment. Different bar states can be modeled depending on the timeframe, modeling method, and presence of history data from smaller timeframes within a bar.
Modelling Quality – Calculated according to the following formula. This should be 90%. If not, read the article on downloading and setting up history data.
ModellingQuality = ((0.25*(StartGen-StartBar) +0.5*(StartGenM1-StartGen) +
0.9*(HistoryTotal-StartGenM1)) / (HistoryTotal-StartBar))*100%;
Gross Profit – The summed up profit for all profitable transactions;
Gross Loss – The summed up loss for all unprofitable transactions;
Total Net Profit – The Gross profit minus the Gross loss.
TotalNetProfit = GrossProfit – GrossLoss
Profit Factor – Profit factor, shows the ratio between gross profit and gross loss. The larger this number is, the better.
ProfitFactor = GrossProfit / GrossLoss
Expected Payoff – Calculated as follows:
Expected Payoff = (ProfitTrades / TotalTrades) * (GrossProfit / ProfitTrades) –(LossTrades / TotalTrades) * (GrossLoss / LossTrades)
Absolute Drawdown – Absolute drawdown is the difference between the initial deposit and the smallest value of balance within testing:
AbsoluteDrawDown = InitialDeposit – MinimalBalance
Maximal Drawdown – The highest difference between one of local upper extremums of the balance graph and the following lower extremums:
MaximalDrawDown = Max of (Maximal Peak – next Minimal Peak)
You can make back tests for each expert advisor for same period and merge all reports with excel, but we have developed forex tool “MT4ReportParser”. This forex software allows merge several back tests into one result, which looks identical to the standard metatrader 4 report.
MetaTrader MT4ReportParser usage
1.Run MT4ReportParser.exe file
2.Press "Add reports to merge" button and select all the back tests (html format) that you want to merge in the resulting report (back test)
3. Press "Result report filename" button and select file name and destination folder for the resulting report (back test)
4.Press "Merge reports" buttom
Example:
We have merged back tests (metatrader strategy tester reports) for our expert advisor MarketUniverse
source files (back tests for 10 currencies):
GBPUSD strategy tester report ,
EURUSD strategy tester report ,
USDJPY strategy tester report ,
USDCAD strategy tester report ,
GBPJPY strategy tester report ,
GBPCHF strategy tester report ,
EURCAD strategy tester report ,
EURGBP strategy tester report ,
AUDUSD strategy tester report ,
EURJPY strategy tester report
result:
Click to view the resulting report (was generated with MT4ReportParser)
Learn more about MT4ReportParser...
BJF Trading Grpup inc.
http://iticsoftware.com
I would like to explain how to receive summary back test for several expert advisors and calculate summary drawdown and other important parameters.
First, I would like to explain what mean each parameter in the strategy tester’s report.
Bars In Test – Displays the depth of the history on which the modeling was based.
Ticks Modelled – Displays the size of the modeled sequence. Every record of the sequence represents the bar state (OHLCV) at one or another moment. Different bar states can be modeled depending on the timeframe, modeling method, and presence of history data from smaller timeframes within a bar.
Modelling Quality – Calculated according to the following formula. This should be 90%. If not, read the article on downloading and setting up history data.
ModellingQuality = ((0.25*(StartGen-StartBar) +0.5*(StartGenM1-StartGen) +
0.9*(HistoryTotal-StartGenM1)) / (HistoryTotal-StartBar))*100%;
Gross Profit – The summed up profit for all profitable transactions;
Gross Loss – The summed up loss for all unprofitable transactions;
Total Net Profit – The Gross profit minus the Gross loss.
TotalNetProfit = GrossProfit – GrossLoss
Profit Factor – Profit factor, shows the ratio between gross profit and gross loss. The larger this number is, the better.
ProfitFactor = GrossProfit / GrossLoss
Expected Payoff – Calculated as follows:
Expected Payoff = (ProfitTrades / TotalTrades) * (GrossProfit / ProfitTrades) –(LossTrades / TotalTrades) * (GrossLoss / LossTrades)
Absolute Drawdown – Absolute drawdown is the difference between the initial deposit and the smallest value of balance within testing:
AbsoluteDrawDown = InitialDeposit – MinimalBalance
Maximal Drawdown – The highest difference between one of local upper extremums of the balance graph and the following lower extremums:
MaximalDrawDown = Max of (Maximal Peak – next Minimal Peak)
You can make back tests for each expert advisor for same period and merge all reports with excel, but we have developed forex tool “MT4ReportParser”. This forex software allows merge several back tests into one result, which looks identical to the standard metatrader 4 report.
MetaTrader MT4ReportParser usage
1.Run MT4ReportParser.exe file
2.Press "Add reports to merge" button and select all the back tests (html format) that you want to merge in the resulting report (back test)
3. Press "Result report filename" button and select file name and destination folder for the resulting report (back test)
4.Press "Merge reports" buttom
Example:
We have merged back tests (metatrader strategy tester reports) for our expert advisor MarketUniverse
source files (back tests for 10 currencies):
GBPUSD strategy tester report ,
EURUSD strategy tester report ,
USDJPY strategy tester report ,
USDCAD strategy tester report ,
GBPJPY strategy tester report ,
GBPCHF strategy tester report ,
EURCAD strategy tester report ,
EURGBP strategy tester report ,
AUDUSD strategy tester report ,
EURJPY strategy tester report
result:
Click to view the resulting report (was generated with MT4ReportParser)
Learn more about MT4ReportParser...
BJF Trading Grpup inc.
http://iticsoftware.com
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