How to compare tester result

[hakita]

Hi all,

I am new to MQL5 and have a devlopper profile. 

I have written & test a few EAs.

But i am not sure on how to read the result as my financial background is weak.

For now, i am focusing on ProfitFactor & SharpeRatio, is that the right method ?

 

Which one of the following is best result:

Profit factor : 1.23  SharpeRatio  17.79

OR

Profit factor : 1.20  SharpeRatio  17.01

 

 

Another question:

Does  "Profit factor : 1.20"  means that a over a considered period:

->a trade has 60% probability to be a winning trade ?

OR

-> winning trade a gainning  20% more money than loosing trade a loosing money ? 

 

Regards all 

[Rashid Umarov]

hakita:

Another question:

Does  "Profit factor : 1.20"  means that a over a considered period:

->a trade has 60% probability to be a winning trade ?

OR

-> winning trade a gainning  20% more money than loosing trade a loosing money ?

Both wrong.

Profit factor =(General Win/General Loss)

See the terminal help, please.

[hakita]

Thank Rosh,

 

Ok, more generally, how do you compare test result and select the best one ?

I am seeking for a strategy with the higher number of winning trade, and good stability in time. What are the report panel 's indicator to reflect that ?

 Also, i am lost about Sharp Ratio, i did read the manuel, but di not understood what it means...  is the "Sharp Ratio" the ability of a trade to show consistent behavior in time ? 

[hakita]

Is 10.73 Sharpe Ratio over 2507 total trade a good ratio ?

[Rashid Umarov]

You should read article Mathematics in Trading: How to Estimate Trade Results. There I tried to explain some criterias.

[jcarrion]

Question :

 

Is it geneally safe to assume that the tested would indeed simulate the actual earnings ?

i.e. .. If I -say- got a EA that with the tested makes 23489 (whatever) % in a year -say 2009 -

 

is it safe to assume that I would have made the same profit should I had invested in 2009 with the same EA ? 

Is the tester using the same spreads , buy lacencys ,etc.. as the real time thing ?

 

Cheers

J

*PS, Congrats for the version 5 thing  . I was just reluctlant to get to MQL4 for the language syntax , but as soon as I saw MQL5 in C++ I have just been converted. Congratulations .  Also , very robust -hardly any bugs- for a fresh release version . Good job!