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Okay, so your main concern seems to be how different your live trading results are from your EA studio comparison during the same period.
Firstly I suggest the following:
Take a single EA from EA studio and compare the results with a backtester using Mt4 backtester using open prices. Petko has a video on doing this which I am sure you can find easily on youtube. In doing this compare the trading journal of each and look at the times of opening closing trades etc. Things should match really well and if not then you have made a mistake somewhere for sure.
After this is done with a single EA feel free to repeat the exercise with a portfolio EA and again things should match fairly well. They wont be exact and in my experience EA studio is cleverer than Mt4 in calculating drawdowns etc even though both are using open prices, however it is an important check and should help build your confidence in the system.
Also note that the MT4 backtester does not include commission but thats not important at this stage, just make sure you are content that both your EA studio trade journal and Mt4 backtester match in terms of times of opening and closing trades (and also method of closing such as stoploss, take profit or exit signal).
Then you can run the EA on demo for a week and compare the MT4 backtesting report, EA studio journal and the actual trade log made on demo to see how things are comparing before finally adding live with smallest trade size to compare also if you really want.
So in a nutshell:
Step 1 – For a single EA compare EA studio trade journal with MT4 backtester report
Step 2 – Then repeat this exercise in a weeks time but also include the EAs trades on Demo as a comparison
Step 3 – Repeat step 2 but include live as a comparison
Step 4 – Can also do this with a portfolio EA but start by keeping things simple
Once you have done all this you will learn a lot and have your faith restored :-)
Hi David,
First of all let me assure you without any doubt whatsoever that EA studio is exceptional software and highly accurate. I can guarantee you that the mismatches are your mistakes and not the software’s, which I hope is comforting :-). Early days I remember having similar frustrations but it was always my mistake.
I will get to addressing your main issue in a second but first there is a far bigger issue to address. This is the fact that you are not ready to be trading live yet and certainly not with a meaningful amount of money. I think its good to have a live account and you can reassure yourself how things will compare between demo and live by uploading data from both the demo and live server from the same broker and comparing backtest results etc. BUT besides that you should not even think about trading live until you have had consistent success in demo.
As a rule I think only when you are happy with your demo results over three consistent months should you move to live. Of course that doesn’t mean every month should be great but the aggregate should be and the poorer performing months should be controlled (I.e Month 1 = +15% profit, Month 2 = -5% profit and Month 3 = +10% profit would be a good result in my opinion).
You have made no real mention to how you are using EA studio and how you are generating and selecting your EAs. How many of Petkos courses have you watched and what general guidelines are you following may I ask? Your approach seems pretty brute force from what I have read above?
Its great that you enjoy the process though, this to me is an extremely important indicator of your likely success in the future. But its not as easy as just generating loads of strategies with good looking equity curves and throwing them on a live account unfortunately :-(
So my first recommendation is stop the live trading account trading immediately and start practicing on a demo. I hope you agree?
I’ll let you’s know how this one trades in a months time and share another strategy if this thread is getting some interest :-)
Hi, as promised this strategy is a bit more exciting :-). It traded last month making 7 profitable trades and no losers which is a great result (although may mean that it could be due a less good month up coming but I’m gonna leave it running).
I created it using the reactor with all the principles learned from Petkos courses applied.
It has a higher stop loss than take profit which I like (As I find the same thing as Petko in that this often results in a better strategy closing more profitable trades than the reverse), the trading logic is reasonable to me, it has a nice equity line both in IS and OOS (10%) and has made lots of trades with an excellent return/drawdown ratio.
I also like that it is a simple strategy with 2 entries and a single exit condition. Last month 2 of the trades hit the take profit and 5 used the exit condition to exit the trade for a profit so also has sensible take profit level :-)
As to the parameters:
– The CCI entry period is 48 and level is 195 (Apply to Typical)
– Envelopes Period is 28 and deviation is 0.56 (Apply to Close and use simple MA method)
– Awesome Oscillator level = 0.00
Good luck to anyone who wants to trade it, let me know how it goes (On demo first of course!)
Hopefully this thread picks up and we can all get some good strategies shared around and see and discuss what’s working well for each other.
Hi Selim,
Sounds good and looking forward to results.
Regarding your question. I personally didn’t trade this strategy last month so I can’t answer but I would like to suggest how you can get a sense of how trading this system would have performed so that you can actually answer your own question :-)
1. Open up a spreadsheet and a copy of EA studio.
2. Upload your broker data to EA studio using the export from MT4 script. (I am assuming that you are using a raw spread account so this will give the broker swaps and you can set the spread and commission appropriately)
2. For your each pair and period run your validations on whatever collections you are using but do this not to trade from this point forward but a month in the past. (I.e. Check your 6 months and 1 month performance but offset these dates a month in the past)
3. Then instead of downloading the EAs and trading them on demo for a month you can simple check how they would have performed last month and record all the net profit values in the spreadsheet and then sum the totals. Then you will know if you would have been profitable or not if you had traded this way last month.
Of course this will take a bit of work but you will learn much more in my opinion running tests and checks like these ongoingly.
The spread on demo is variable so results will be a bit different but if you have set up EA studio to match your broker data well then generally you should get an accurate indication of how you would have performed.
Also when you say you are currently making losses on your demo how long has your demo been running? Remember these could easily be reasonable drawdowns that are going to occur so make sure you allow the demo to run according to your plan (i.e a month) before deciding how your strategy performed.
Also don’t be disheartened by the initial losses (even if it is for the whole month). It is very reasonable to make losses starting out on demo, but with the mindset of wanting to be the best at this and the willingness to put in the time and effort to achieve this you will ultimately be successful in time :-). You will get out what you put into learning and testing and persevering!
Hi Petko,
I traded the strategy on a dukascopy demo account for a month along with many other strategies (Dukascopy demos expire after 2 weeks but I requested one that doesn’t expire, when I opened a live account with them :-).
It only made a single trade for a small profit but that was to be expected from the numbers shown in my previous post (Average trade of 483/108 = 4.47). Reading this into EA studio also confirms that this profit was made with very little drawdown as shown below (No doubt there was a bit of intrabar drawdown but EA studio shows zero drawdown which is good).
Yeah gave it a large stop loss level as you say. I just wanted to give the indicators room to do their job and from looking at the journal really there were very little trades closing via stop loss or take profit but rather just from the indicator signals which was the intention (and also what happened with the trade on demo).
I’m no expert on all the indicators but I do like to have a very quick scan to make sure there are no super obvious red flags in the strategy, like buying long when it looks to me like the entry rules would better suit a short position for example (for ranging strategies). EA studio of course generates sensible strategies but sometimes I like to just target ranging strategies so like to remove anything that obviously looks like a trending strategy and vice versa, also if a strategy is too complicated or doesn’t make sense to me at a reasonably quick glance I’d rather avoid it even if it probably is fine.
As I said this one was a super simple un-exciting strategy created manually. But this week I will add one that is showing a much more impressive equity curve and has been generated and tested though the reactor that can hopefully result in a few more trades and a larger profit.
Of course there are never any guarantees especially with a signal strategy as it could be a great strategy but just going though a losing phase for a few weeks, that’s why trading lots of strategies is so important.
Exactly Petko :-),
If its clear that I am getting more and better EA’s for certain pairs and timeframes and it makes sense to play to that!
Glad to hear you feel similar about not being too pedantic about keeping things perfectly balanced in this way.
Likewise if a certain asset always seems to be performing poorly generally in backtests compared to others then its seems okay to leave it out of the portfolio rather than include it just the sake of maintaining the pair balance, provided there is not too much exposure to a single asset and also enough diversity in assets.
At the end of the day the goal is to include a wide range of uncorrelated strategies over several assets in order to increase my chances of a smoother equity curve with more controlled account drawdowns.
That’s been my learning too Petko.
Aiming to keep things simple is always best and if what ever you are trying starts to feel too complex then take a big step back and do some thinking!
Also fallen victim to trying to manage far too many demo accounts. Finding the golden middle ground as you say with regards to simple systems and the amount of tests you are running at once is really important otherwise it can all get too messy and its easy to end up learning nothing because the lessons are all to jumbled. Less haste is more speed as they say :-)
Hi Mario,
What reason have you decided you need so much data? Is there a specific type of strategy that you are targeting?
From above my understanding is that you are playing around with just the stop loss and profit taking ranges in order to obtain strategies that trade only a few times a month?
Presumably your logic is that in doing so you are targeting better entry and exit points that happen more rarely? Are you trying to target trend following strategies?
As Petko says with what you are doing you can easily experience long stagnations or losing periods. If you are determined to stick with such a long time frame and low frequency trading strategy then I would definitely suggest doing so on many assets (30+). I also think its sounds like an unnecessary amount of data though.
I agree with Petko that 1-100 is a pretty wide range for the Reactor/Generator to do its work, would be interesting to understand more about what exactly you are targeting though?
It definitely sounds like you have something clearly in your mind of what you want which is a good thing!
Hi Dirk and Burak,
Good to see you have joined the forum, looking forward to seeing how your results go!
Happy to help how I can Petko :-), and couldn’t agree more about continually trying to improve with testing and experimenting!
Hi Ekene,
This is copied form an earlier post in this topic:
”Hello, you are absolutely right, Jacpin. The best thing would be to test a Demo account with higher leverage, and you can do it 100% same as your live account. This way you will see what will be the different. basically as Petko said, there will be no difference in the performance, but you will see more free margin to trade with.”
On a 25k account with 100 leverage you have 2.5 million dollars of total buying power but you don’t have to use all that buying power (and definitely shouldn’t), but there is nothing wrong with having it and not using it.
Opening for example 20 0.1 lot positions simultaneously requires 200k of buying power. So on a 25k account you could open all these orders with 1:8 leverage and would have zero free margin remaining (ie you couldn’t open any more trades) but with 1:100 leverage you will still have over 90% of your free margin remaining to open more trades with if you wanted to.
Bottom line 1:100 leverage isn’t risky but trading without good money management is.
I’ll add one, see if I can get the ball rolling ;-)
Its a SUPER simple one, I created it manually (i.e. no generator) and each indicator setting has default settings. Optimization didn’t result in huge improvement so I left it unoptimized.
I ran a monte carlo with 40 tests on changing indicator parameters only and they all passed (Repeated this 3x), I also checked that it performed well on several uploaded data from different brokers over the period above which it did.
I created it using the end date of about 6 months ago (Doing the steps described above) and then tested it on the most recent 6 months that I had kept up my sleeve and again it performed well on all the brokers data (5 other brokers data including Premium and Metatrader data).
Its definitely not making loads of trades but I think since its been checked on several different brokers data that can consider the trade count in term of how many trades it performed well on, considerably higher then the 108 over the 5 years as shown?
For the premium data shown spread is 10, commission is 7 and swap is -5 and -2.
I’ll aim to add something more exciting soon, just thought I’d try and kick things off. Looking forward to seeing some strategies others have created :-)
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!
