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Hi Ricky,
You should use a longer period such as 3 to 5 years to generate strategies so as to cover multiple trending and ranging periods. In my opinion the OOS period should be longer than the future time frame you wish to trade before updating EAs. For example if your strategy is to update EAs on a weekly basis then make the OOS period at least 2 weeks. I would also suggest selecting strategies in the Collection that are moving upward on the right edge of their balance line charts. I also suggest using more entry and exit indicators so the strategies generated will execute better trades such as 4 entry indicators and 2 exit indicators. Experiment, try different combinations, see what works best for you.
Alan,
Hi Ricky,
Finally what I did was to generate strategies from October 2018 through October 2023, 5 years for EURUSD. I set the OOS to 30% to see profit for last one year of trading. By using 5 years of data the indicators used have settings that generate profits over the long term which then includes many periods of trending and ranging periods. This is why Petko uses 5 years of historical data when generating strategies. I then looked at profits generated while trading during the month of November 2023. Results show a profit of $188.75 for the month of November 2023 with 13 trades.
What all this testing shows is when generating strategies you need to include multiple periods of trending and ranging markets to create strategies that will work well in future market conditions.
Also by using an OOS equal to one year shows how well the indicators work when actually trading over a future one year market conditions.
Alan,
If you are evaluating EA Studio and have not purchased it yet but has decided to purchase it please use this link to give me credit for your order. Thanks! Alan–
Hi Ricky,
Yesterday I tried many times to generate strategies that would show profit in November 2023 but could not find any. I then sat out to determine why. I finally decided to look at the Indicator chart for EURUSD for the complete year of 2023. I found the date period of June 1, 2023 through October 31, 2023 to be mostly during the period in which EURUSD was trading in a range. So what happens is EA Studio then creates strategies that work good in trading ranges. However, the test period of the whole month of November was in a trending period of the market. The problem is strategies that are generated during trading ranges do not work well during the period of time when the markets are trending. I was able to find one or two strategy that did manage to show profit during the month of November but I could not find 5 or more strategies to add to a portfolio that would show profit during the month of November. I then generated strategies for the first 3 months of 2023, added the top 5 to a portfolio and then looked at how they performed during the month of April. During these four months the market was trending. I found the portfolio did result in nice profit during the month of April.
Note: I used OOS = 30% for January 1, 2023 through March 31, 2023 to have out of sample equal to one month.
Alan,
I see what I did. I collected the strategies using Blackbull and then somehow switched to Eightcap to select the top 5. When I do this again I get positive profit for the portfolio in November. However, if I use Eightcap to generate the strategies in the collection and then select the top 5 making sure I am still using Eightcap I do show a loss for the portfolio in November. I will have to start all over again. Sorry for the confusion!
Alan,
FXIFY 50K One Step Challenge
This week I learned Infinity Forex Fund (IFF) is switching from using the MetaTrader trade terminals to using the DXTrade terminal. So I will not be able to use the MT4 terminal in IFF to copy trade to my FXIFY 50K One Step Challenge. As a result I will now continue with my FXIFY prop firm trading account by copy trading from my forex broker account using my MT4 terminal to the DXTrade terminal. I will start posting trade statistics next week.
Alan,
November only has 30 days so I set it to 30 Nov 2023 :o)
Here is Month of December
Here is link to my Dropbox where you can download the settings file:
Click on link, click on file, click on download
Alan,
Now I want to see what the portfolio profit was for just the out of sample / the next month was so I change the data horizon from September 30, 2023 to October 31,2023.
I then added the top 5 to a portfolio. The last 30 days of the balance line is the out of sample part or as you call it “the last month”.
Great! I am now running the reactor without Monte Carlo so strategies will be generated faster for testing purposes. I will run the reactor for 3 minutes to collect strategies.
Alan,
Let me run the reactor. Is your dates from June 1, 2023 through October 31, 2023? If so then OOS of 20% would be one month not 40%. Sorry if I gave you the wrong OOS percentage number earlier. I will now run the reactor with these numbers.
Alan,
No! If you set the historical data to 1/6/2023 to 30/10/2023 and select OOS equal to 40% it will use the 1/6/2023 to 30/9/2023 (the sample historical data) to find strategies with profit factor of 1.2 or greater. It will then take these strategies and trade them from 30/9/2023 to 30/10/2023 (the out of sample historical data time period/the next month). The strategies with profit factor of 1.2 or greater in the out of sample time frame will show profitable traded strategies during the next month. When you look at the strategies in the Collection tab the green area is the performance of the traded strategies over the next month (from 30/9/2023 to 30/10/2023). You can then add the best ones to the portfolio.
Alan,
Hi Ricky,
In Generator use Out of Sample Testing. Historical data set for last one year including the current date. In the Acceptance Criteria make the out of sample and in sample white fields to have a profit factor of 1.2. This should get you going in the right direction.
Alan,
