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Hey Jaroslav,
Great to hear form you 🙂
It definitely sounds like things are improving a lot which is great!
Your first question is around the timings. I personally think the more the better if you have time to update the EAs so if you can make it a quick and easy daily task to do then why not. Its important to tweak your system around your current schedule and make it manageable. BUT how often is necessary is dependent on the timeframe and frequency of how often the EAs trade. For example if your EA’s are H1 and M30 and typically opening trades 1-2x a week then changing a couple of times a week is likely to work well, but if you have M15 and M5 that are trading say 3 or more times a week typically then I would probably favor updating every day or two.
What broker are you using? Demo and live should be very similar so to check this for yourself why don’t you try the following:
1 – Upload the live data and demo data to your EA studio account and then see how the results compare when you switch from using the live to demo data. Also you can check with Mt4 back tester.
2 – If you want to convince yourself of how live and demo compare then why not pick a few single EA’s each for a different pair and trade them each with the smallest lot size on both the demo and live account to compare the results. Of course this could cost you a small amount if they lose but it really shouldn’t be a costly lesson (You could even cheapen the lesson by reducing the stop loss and profit taking from typical max=100 to 50 when generating EA)
Definitely a smart move to run more than one demo at once, just make sure to track everything properly so you learn from all the things you are trying but will hugely speed up the learning.
Keep doing what you are doing. I really think you are going in the right direction, just keep doing what you are doing and learning from the results.
I can understand wanting to get onto live as soon as possible but once you have sufficiently consistent demo results then this will translate to good live results. Whenever you go live, to start you could also put the same EA’s on a demo initially to further build your confidence in this “live ~= demo” equation.
Hi Guys,
First of all I like what you are doing in collaborating and learning together as a group of 3!
In a nutshell what is seems you are doing is the following:
1. Using Petkos approach presented in the Professional Course but with some modifications
2. Rather than using Petkos pool you are looking to generate your own pool and apply the approach to that
This sounds like a sensible enough starting point to me.
I am guessing that you have formed a collective in order to both share costs such as software, hardware and trading capital etc as well as knowledge and effort?
I’ll try to answer a few of your questions below but first off I would like to ask what type of timeline and progress path do you intend to take towards trading with live funds and what checkpoints along the way seem sensible?
These are my thoughts on some of your questions, will be interesting to hear from Petko also for sure (The website is going through some work and he is no doubt swamped so I expect he will be a little later to respond than usual due to that btw)
3.How can you avoid that a strategy in LIVE goes directly into a loss phase.
You cant 100% avoid this this only becomes a big problem depending on the profit window you are aiming at. For example if you have a strategy that has ups and downs tending to last about a week but is generally going up over the course of a month say, then if you start it during a drawdown but keep it on for a month then likely all is well. Of course if you are changing robots weekly then you may just get the drawdown for a week and then remove the EA and never get the profits that were coming. It sounds like you are aiming to change robots monthly which is sensible so take a look at how long the drawdowns tend to last I suppose and wether it starts in a drawdown or profit is partly down to luck but be more concerned with not how it starts but how it finishes if you give it appropriate time.
So simply put if a strategy looks good but it has had long stagnations lately or drawdowns lasting more than a month then I would try to pick a strategy that has shorter stagnations and drawdowns lately, that way at least if you do hit a drawdown initially it is less likely to last long. Also at this point of refinement I’d personally always favor a small sample of most recent data only (i.e. the most recent couple of months)
4.When the trend changes, our strategies are also adjusted. Or do we stick to a 1 month rhythm?
Create a plan and stick with it. A month is a sensible rhythm if you interfere and try to adapt too much then this is gonna get harder and harder to backtest.
5How often do you add new strategies to the pool? And how do you avoid duplicate strategies in the pool itself.
You can add strategies to the pool as much as you want. Duplicates are not a problem in the pool as when you pass them through the validator any duplicates will be removed. If the pool seems to be getting too large then you can easily put them through the validator with to strip some out. For example lets say you grow your pool to 3000 over 6 months or so but you would rather trim that back to 500 you could just load half of your collections to the validator and rerun with your preferred settings and then save the new collection and repeat for the other half. That way you can get the top 300 according to what you prefer (profit factor, nett profit, R/D for example).
If there are a lot of strategies being discarded purely because excessive strategies are passing the criteria but the collection only holds 300 then you can rerun the validator with an either an increased criteria (say increase pf>1.2 to pf>1.4 for example), or a stricter robustness test such as increase monte carlo for 80% to 90% or reduce the correlation coefficient from 0.98 to 0.95 for example to give less correlated strategies.
There is a lot to learn and it take time, so get lots of practice using demo accounts until you are ready for live. You can also of course try several different systems on several separate demo accounts to save time in learning. Make sure to keep track in a spreadsheet you can can learn from what you have already done
Keep us posted on progress, I’m sure others will chime in soon 🙂
Sounds good,
I still think the calculated risk is a little low, you are essentially expecting a Return/Drawdown of 8 (Nothing wrong with being optimistic though!). But your time in demo trading will give you more of a feel for what to expect (which is one of the reasons its so important).
I would definitely recommend you keep close track and record these important parameters in your demo trading to build a ‘feel’ for things (which really only comes with time and practice). Don’t be too surprised or disappointed if your drawdowns are more than expected and you can adjust for the next month with new insight (continually :-).
Also you say you are always searching for lowest drawdown, just make sure this doesn’t mean lowest profits also! The return/drawdown may be more appropriate I think.
Happy trading, looking forward to seeing upcoming results and discussion!
Hi guys,
Well done on your selection of software and community btw. It took me a while to find EA studio and this community and I strongly feel it is the best software out there and the best place to learn it.
So in a nutshell you are using a modified method of Petkos Professional Course using a a self generated pool of EAs?
I’ll give my thoughts on some of your questions and definitely look forward to hearing from Petko also. There is actually so much information in your above post it almost opens up too many questions. I’ll take a look tomorrow and add a few extra points but for now I’ll just stick to answering a few below.
3 – How can you avoid that a strategy in LIVE goes directly into a loss phase.
There is always going to be a risk of this happening. However its significance depends on your trading rhythm (as you put it). For example, say you are trading an EA for one month that typically has shown in backtesting to have waves lasting about a week but generally trending up. If you are trading this EA for a month then starting on a loss is not so much of a problem, however if for example you EA has shown to have waves lasting a month or more then that could be a problem.
You are going to be trading 36 EAs so make sure as a final check to have a look at the typical cycles in the last 6 months and favor ones that have shorter stagnations and drawdown periods to lower the risk. You can take other measures such as taking a look at what factors might typically lead to the reversal of a drawdown but I’d say starting on drawdown or not can just come down to luck sometimes but it is not how the month starts that is important or skillful but how it finishes.
4 -When the trend changes, our strategies are also adjusted. Or do we stick to a 1 month rhythm?
Don’t interfere with your EA’s based on emotion. You should decide on a rhythm and a plan and stick to that. Backtesting a system based on a 1 month cycle of changing EA’s is a good timeframe and once you have decided on a good system you need to stick to the plan and keep emotion out of it. Always on demo of course until you are consistently profitable.
5 – How often do you add new strategies to the pool? And how do you avoid duplicate strategies in the pool itself.
Don’t worry about duplicate strategies in the pool as when you run the validator they will be filtered out. This can be reduced by decreasing the correlation coefficient though.
New approaches:
1 We have chosen to reach the 20% target. we have chosen 3 strategies instead of 2. The risk is still within limits. How many strategies per time unit and asset do you use? (See table below)
This sounds fine and is only a small tweak to the system in my opinion. Just lower the lot size traded as you increase the number of strategies. Is your calculated risk simply a sum of the drawdowns given by EA Studio? Over what period was this risk and profit shown in the table calculated (OOS, IS, COMPLETE?). For any of these taking these values seems very optimistic to me and looks like you have simply taken an average for the drawdown risk? For example if EA studio has calculated the OOS max drawdowns to be 2% for 10 EAs on different pairs then I would be expecting a risk of at least half of those experiencing a drawdown at the same time which would be 10% but it looks like you are just taking an average and assuming a risk of 2% for the portfolio of 10 EAs?
2 We are currently testing with 1 strategy, with 7 weeks instead of 4 weeks, on the grounds that we think the performance is more stable if we choose a wider time period for filtering. We tested this and found that the sweet spot is somewhere between 6 – 8 weeks. What are your experiences with rebalancing the portfolio, what intervals do you have? (See table below)
This seems a little bit narrow in terms of testing and I think you need to increase your sample size significantly before deciding that this is the sweet spot, its simply the sweet spot for this particular strategy over the trading period you have chosen. its highly likely if you repeat the exercise for a few different strategies a different sweet spot will appear.
One last thing is a big apology if I seem over critical in my thoughts and super to the point. I actually think you’s are getting off to a GREAT start and am very interested in seeing how you guys progress :-). Its just late here and I am tired but I wanted to reply. (Also I know Petko is very busy as the site is going through some big updates at the moment and so I expect he wont be as quick to respond as normal right now).
Keep us posted with your progress 🙂
Hi Selim,
About your 20% monthly target. I think it is a good target. For reference, on my first month of demo after taking the professional course I increases a 3000 account to 4500, so a 50% increase. I used Petkos pool and just followed his instructions as closely as possible. Easy to then rush into live trading due to impatience but consistency is everything!
A good rule of thumb is make sure you are happy with your profits and consistency over a 3 month period before moving to live.
The great thing about EAs (Or one of the many great things) is that emotion should be removed. So more than manual trading it should be manageable to remain consistent if you follow your system with no interference. Even so if that first month of live the first week starts with a drawdown emotions can be tough to handle when its real money so build your confidence and understanding in demo. If you have three months of profit in demo then you would have been profitable in live also with the same broker if you did the same thing (The results wont be identical but they will be very similar).
Also, why don’t each of you three get on here as a separate voice? You could each post your individual results and discuss with each other and Petko and the community can join in? I think you would each learn more that way and get more benefit from the forum.
You could also each try a slightly different approach inline with your overall philosophy too and see what works best over a couple of months (For example one of you could run the system using Petkos pool, one with your own pool and one with say M30 and M5 from either Petkos pool or your own) OR even just all generating your own different pool with identical settings and identical approach OR each using the same pool (either Petkos or you own) but using different brokers. Can be a definite BIG benefit to a team of 3, use it to its full potential 🙂
I can see three separate fxblue account links but not much is happening on them? Its not very clear to me what is being shown here? Is the intention to each run the system separately and share results in this way?
I’d personally love to see this topic progress on the forum and hope you’s stick with it. I like the organization and planning even if I don’t fully understand 100% of it, its definitely a big key to success in this so off to a good start.
That sounds like a pretty good plan forward Matthew. I’d say increase the number of bars to around 35000 for the H1 timeframe though which is about 5 years. Maybe try the same for the M30 or M15 timeframe also for 4-5 years.
15 months is too short for H1 period.
Also do this using several pairs as discussed. This is also going to be important in limiting your account drawdown.
Keeping track of everything in a spreadsheet is a really good idea also, not just a quick sheet but something that you will maintain for months.
“I’d like to find a way to make consistent profits every month with this and I’m gonna get there!” With this attitude you WILL get there!! Keep pushing, every time you try something and if it doesn’t work you will learn something and develop deeper insight and this will lead to success over time. Fall 7 times get up 8 as they say – I’ve fallen a hell of a lot more times than 7 but I never stop getting up;-).
Enjoy the challenge 🙂 Looking forward to hearing how you get on.
Hi Petko,
I am wondering how long you intend to pause trading?
I have paused also but my plan is to run some backtests over the past 2-3 weeks soon and see how things would have performed and then provided results are okay then start again, does that seem a sensible approach?
Also 100% agree with your advice above, definitely a rough patch for trading but regardless Jarolsav it sounds like you have been stung by being impatient (as I have been several times so not a criticism at all :-).
BUT you clearly said that you traded demo and lost 20% and then moved straight to live from that point? That is the main issue I see really, take more time to practice and once you have made some profits in your demo account then that is a sensible point to try moving to live (start with small money though)
Can’t think of many things worthwhile that take only 2 weeks to master, keep practicing and I’m sure your results will improve though 😉
Yeah my original thought re generating for complete but then normalizing for 30% was as you say, optimization has changed the strategy and then you check it’s still okay OOS.
But if you want more bars for generation then I think just set the bars higher, but keeping the OOS completely reserved for a final check so that it hasn’t been used at any point in the strategy development is the way to get the most out of this robustness check.
Hi Matthew,
The optimization settings seem fine to me, of course you can try experimenting with changing search search best Net balance to perhaps R/D or Maximum drawdown for example to help for the rules of FTMO challenge but for now if stick with what you have rather than changing too much at once.
Ah yeah, I have the same issue so yeah can’t check 1 week but can do 2 weeks as I mostly favour H1 timeframe also currently.
Additional detail with this is that EA Studio won’t make any trades in the first 100 bars of data, so if you want to check 2 weeks which is 240 bars for H1 then set the bars to 340 bars, you can check this is the journal and also will see the setting in the tools page. So if you put 300 bars in for H1 you are actually checking about 12 days.
One other suggestion is dont change everything at once but rather make a change and try to get a feel with some tests of how that single change has affected the results. Obviously more time consuming to start but in the long run I think you will win faster.
Hopefully your results start improving soon, let us know 🙂
Ah hold on it IS a big deal that you are generating IS, definitely change that to be 30% OOS. You have changed the strategies by normalizing them but it definitely still takes away from the value of the OOS check considerably.
ONE last thing Matthew (Things keep popping into my head haha). Have a good read of some of the other forum threads even if they are a bit old, there’s lots of great information especially coming from Petko (It’s all here it just takes a bit of time and practice to assimilate)
‘what acceptance criteria do you use’ is a really good one for example.
One last point also, is that we are discussing obviously just one pair and timeframe and it could just be a bad month for that pair, so definitely a good idea to do some backtesting tests on the spare months day for say three well balanced pairs and them sum the results of the combined portfolio. Say EURGBP, EURJPY and GBPJPY for example.
It sounds like you are doing well to me btw, like you say theres perhaps just a few subtleties missing I think.
Plenty to chew threw from last post but small additional point is check what your acceptance is in the Monte Carlo, I am taking a complete guess that you are running indicators and backtesting date tests and that your acceptance criteria for the Monte Carlo is set to profit factor > 1??
If this is the case for example, I expect you might get a similar amount of strategies passing if you reduce the 90% to 80% and increase the profit factor to 1.1 or even 1.2 which may be worth a try, just a side suggestion/food for thought comment though 🙂
Also my approach is generally similar and I have mixed results so I don’t claim to have everything figured out at all (but the harder I work the more things improve). I have been at it a while though and certainly tried and pondered lots for sure though so hopefully some of what I have said helps give you some ideas to move forward 🙂
Hi Matthew,
It will be interesting when Petko responds which I am sure he will soon but here are some of my thoughts and suggestions.
First sticking with FTMO free trials is smart because you can do them as many times as you want with good metrix information but also just regular demos are obviously great too.
1. Why have you chosen to generate using the complete sample and then normalize only on the 30%, that is not logical to me (It’s not a huge deal but is there a reason?)
2. Your acceptance criteria looks fine to me although the complete pf>1.2 is redundant since you have it in both the IS and OOS but 1.2 for both is a good target in my opinion.
I totally understand the problem of the losing ones killing the overall portfolio, this is where running some tests will be really useful.
I don’t think there are any hard and fast rules as to how many trades etc, strategies generated are random in nature and so each sample of say 300 reactor results with same settings is gonna be a bit different.
Therefore, 1.2 for 10 trades may work great sometimes but not others. To counter this I would suggest holding a Month of data or so back when you run the reactor, then using once you have a collection of 300 test this filter criteria to see if it would have worked.
What will be easier than a count of trades to test will be a time period, so if for example you used the validator to see what would have happened if you traded only strategies that had a pf>1.2 for both a week and a month prior to your reactor end date then how would your results have been if you traded on the month of data that you held back?
<p style=”text-align: left;”>I hope this makes sense, your approach is close from what I can see. You are creating and robustness testing strategies to target a pf>1.2 and then only accepting ones that also stay true to this profit factor in the OOS, but then you are kind of randomly just selecting a filter criteria whereas I believe if you run some reasonably quick tests then you could give much more confidence to your filter criteria of over what periods you want to see a strategy stay true to this profit factor before you move it to live(or mock live demo in this case :-)</p>