Backtesting opinion

[Dua Yong Rew]

In your opinion, if a EA is profitable in the 10 years backtest,

1. would it be profitable when it goes live? If not why? What are the reasons?

2. the EA is not optimize to the recent market changes and if it is profitable with 10 years data, isn't it very robust? 

[Sergey Golubev]

good backtesting results are not guarantee the future profit because market is changed all the time. Besides, good backtesting results are not guaranted against forex scam.

Backtesting is just an instrument only for coders and traders. Just my opinion sorry.

[Sergey Golubev]

Forum trading, automatic trading systems and testing trading strategies

scalpers on MT5

Renat , 2014.01.06 18:38

Requotes and delays are modeled upon a time in the tester MT5. And it is very good sobering scalping strategy.

take a closer look.

Just for information - read above

[Simon Gniadkowski]

doshur:

In your opinion, if a EA is profitable in the 10 years backtest,

1. would it be profitable when it goes live? If not why? What are the reasons?

2. the EA is not optimize to the recent market changes and if it is profitable with 10 years data, isn't it very robust? 

If your Backtest is marginally profitable,  few trades on a very low spread Broker then no it probably won't be profitable on a Broker with slightly higher Spread,  for example.  Try it on other pairs, does it compound ?  or is it fixed lots ?

[Ronnie Mansolillo]

From the data published by major financial newspapers but also from the major brokers indicate a substantial increase in volumes on forex in recent years. This growth also linked to the increasingly widespread use of trading robots, you think is not influencing significantly the cyclical nature of prices of the majors? If so aren't more reliable the setting parameters of an expert over the last 3/5 years?

[Ubzen]

Rosiman: From the data published by major financial newspapers but also from the major brokers indicate a substantial increase in volumes on forex in recent years. This growth also linked to the increasingly widespread use of trading robots, you think is not influencing significantly the cyclical nature of prices of the majors? If so aren't more reliable the setting parameters of an expert over the last 3/5 years?

If we're going to follow this logic, then, why not use parameters from the last 3->5 days .... instead of last 3->5 years?

[Ronnie Mansolillo]

Ubzen :
If we're going to follow this logic, then, why not use parameters from the last 3->5 days .... instead of last 3->5 years?

I hope your answer is a provocation. I believe that in 3/5 years occur several primary trends on which to set the parameters of an expert seriously and  these parameters can be tested quarterly and possibly subjected to  changes. For this reason I just believe that a 3/5 year backtets is more reliable than a 10 one.

[Ubzen]

Rosiman: I hope your answer is a provocation. I believe that in 3/5 years occur several primary trends on which to set the parameters of an expert seriously and  these parameters can be tested quarterly and possibly subjected to  changes. For this reason I just believe that a 3/5 year backtets is more reliable than a 10 one.

Given the information provided by You and doshur there's no way of telling which system would out-perform the other in the Future. Both traders must assume the risk of losing some amount of their deposit in the Future. I would personally trust a system which performed well over 10-years vs 5-years (only).

Again there's no additional details like #-of-Trades || Return on Investment || Drawdown .. etc. So the way I look at it is ... not only can it handle conditions within the last 5-years ... it can also handle conditions before than. I really cannot see how recent parameters trumps the all-time parameters unless it somehow have additional benefits.

[Ronnie Mansolillo]

Ubzen:

Given the information provided by You and doshur there's no way of telling which system would out-perform the other in the Future. Both traders must assume the risk of losing some amount of their deposit in the Future. I would personally trust a system which performed well over 10-years vs 5-years (only).

Again there's not additional details like #-of-Trades || Return on Investment || Drawdown .. etc. So the way I look at it is ... not only can it handle conditions within the last 5-years ... it can also handle conditions before than. I really cannot see how recent parameters trumps the all-time parameters unless it somehow have additional benefits.

Thank you now for your answer. Mine was exactly a question to understand other experienced traders opinion.

https://en.wikipedia.org/wiki/Foreign_exchange_market#Market_size_and_liquidity :

 "Foreign exchange trading increased by 20% between April 2007 and April 2010 and has more than doubled since 2004.^[64] The increase in turnover is due to a number of factors: the growing importance of foreign exchange as an asset class, the increased trading activity of high-frequency traders, and the emergence of retail investors as an important market segment. The growth of electronic execution and the diverse selection of execution venues has lowered transaction costs, increased market liquidity, and attracted greater participation from many customer types. In particular, electronic trading via online portals has made it easier for retail traders to trade in the foreign exchange market. By 2010, retail trading is estimated to account for up to 10% of spot turnover, or $150 billion per day (see retail foreign exchange platform).

Foreign exchange is an over-the-counter market where brokers/dealers negotiate directly with one another, so there is no central exchange or clearing house. The biggest geographic trading center is the United Kingdom, primarily London, which according to TheCityUK estimates has increased its share of global turnover in traditional transactions from 34.6% in April 2007 to 36.7% in April 2010. Due to London's dominance in the market, a particular currency's quoted price is usually the London market price. For instance, when the International Monetary Fund calculates the value of itsspecial drawing rights every day, they use the London market prices at noon that day."

I believe that the bigger amount of liqudity today inside forex market influences prices differently from many years ago so once a build an expert I give more importance to the parameters that have given better results in recent years than those of decades ago.

[Ubzen]

doshur:

In your opinion, if a EA is profitable in the 10 years backtest,

1. would it be profitable when it goes live? If not why? What are the reasons?

2. the EA is not optimize to the recent market changes and if it is profitable with 10 years data, isn't it very robust? 

I would second RaptorUK's comments.

I'll recommend testing it upon other pairs. If nothing else, just to get an idea of its Robustness. While trading live, your EA will encounter a variation of different levels of Trends vs Range. The results from this shouldn't dis-courage you from demo-live-testing on primary symbol. But to cover your eyes and say "I do-not want to see ... this" is to deny yourself information.

[Ubzen]

Rosiman: Thank you now for your answer. Mine was exactly a question to understand other experienced traders opinion.

...............................

I believe that the bigger amount of liqudity today inside forex market influences prices differently from many years ago so once a build an expert I give more importance to the parameters that have given better results in recent years than those of decades ago.

You are not alone. Theres allot of people who share your view. And theres nothing Right || Wrong about it. All traders have to choose their Logic and Live with the future results.