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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>Also lots of other strong voices in here that haven’t been heard from in while (Andi, Haliffa, Roman, Jaquin2002).
Anyone about, how have your results been going?
Hey Richard,
Been reading through this thread and really resonated with your posts. Are you still on here? Sounds like you were honing in on success for sure to me so expect you are too busy enjoying your millions.
If not then it would be great to hear how you are getting on, especially with regards to getting stable results that stay within the strict guidelines of the prop challenges?
From what I have read my approach and use of EA Studio is very much aligned with yours so I really do hope we haven’t heard from you because you are too busy enjoying your profits!!
Hi Petko,
Thanks for taking the time to review this.
Yes I just used the reactor but it seems that the strategies are quite selective with their entry conditions and this can result in even a whole month of no trades at times.
It was primarily the process of walking forward through the months results and using an IS of months results to then decide how to trade the future few months that I was curious of your opinion so I am glad you agree that it is a sensible approach.
I’ll be doing a bit of work to run through this again but with some higher frequency strategies and aiming for around 6 pairs using a couple of different timeframes. I’ll keep you posted on how the results look :-)
Hey Petko,
I didn’t explain myself well there.
It’s fine that the portfolio EA is for one asset (which I agree is a MT4 limitation anyway).
More what I thought would be a good feature would be if EA studio could simply allow us to see the backtesting results for a combined portfolio of assets? That way we would get a better idea of how our portfolios on different assets are complimenting each other.
But of course we can only download a portfolio EA for a single asset and timeframe but that’s probably best for tracking purposes anyway.
I’m pretty sure it’s a feature that Miroslav could implement. It’s not critical, but would be nice.
Hope that makes sense. And I agree MT4 is the best in my opinion also