Get Back Your Money

Sunday, October 3, 2010

Finding Optimal Value without Optimization (Part 1 of 2)

When a trading system suffered a drawdown phase, mostly what we do is performing optimization on a few variables to make adjustment to market condition. I do not want to debate whether the optimization will guarantee profitability or not. But one thing is for sure, do the optimization would take its own time in making trading system. But depending on a trading system that we make, sometimes there are some variables that we can actually know their optimal value without performing optimization.
In recent months I forced myself to complete an EA who worked on the USDJPY pair. This is based on several requests from my friends who came from Japan, and in general most of the visitors of this blog in recent months came from Japan.
I also get some input on the settings used on my EA, both vs_eurocross or on vs_eurchf. Actually I was a little worried about seeing their courage to use my EA on USDJPY pair, especially if they use vs_eurocross. But despite it all, what my concern is how they do the optimization in several variables, especially the trading time.
Finally I got the idea to create a function that analyzes the trading results as a whole when we make the process of backtesting. I think this should be better if the developer of MetaTrader include this report in a detailed statement. What I want from MetaTrader developer, as appropriate, we can get a detailed statement of profit / loss based on the hours or days. Isn't it interesting one?
Now to see how the script / functions work, I insert this function in the EA that I have just created. Then the functions / scripts will work right when EA completes an backtest. Or in other words, this function will be called from deinit functions in MQL4. As an experiment, I arranged for this EA to work from 19 o'clock until 4 o'clock. I do not want to mention the time zone, but for the record I always use data from Alpari broker. Apart from all the other variables, I do backtest from the period January 2010 to August 2010 and it's equity curve looks like the picture on the following image:
Befor OptimizationAh .. I do not think anyone wants to invest his money in the system like this. But maybe the person will change his mind after seeing the optimal value of the trading time that obtained without optimization.

0 komentar:

Post a Comment

Risk Warning

Please note that Trading in the Foreign Exchange market might carry potential rewards, but also potential risks. You must be aware of the risks and are willing to accept them in order to trade in the foreign exchange market. Don't trade with money you can't afford to lose.