Just gone through your Algorithmic Backtesting and Optimization playlist for the second time. I can see this overview being incredibly handy for going straight to specific areas in the future. Thanks again for the work you put into these Martyn.
Excellent material. Regarding a comment you made - you said for a currency based system, you back-test "against a basket of 28 pairs". My question is, once you have the back-test data for the 28 currencies, how do you decide whether it is worth trading? So for instance if 10 of the currencies performed brilliantly but 18 were poor, do choose to go with the 10 good ones and ignore the 18? Alternatively if the 28 performed very average, but after analysis in a spreadsheet you found that a simple 'tweak' could make the performance very good, do you then make that tweak and go with the 28? There are clearly other scenarios which could occur when you make your final selection, and obviously going live with the final 'combination' would be after a satisfactory walk-forward analysis. It would be good to know how you make that final selection/elimination/tweak from the initial 28 currency basket. Thank you for this work.
Have you ever experienced getting 2 totally different looking graphs when backtesting an EA in MT5 using the exact same settings? One can look like a great strategy with a smooth slope, while the other a completely different jagged unprofitable graph. Exact same settings and everything else. The bad looking graph would appear randomly.
Hi Martyn, there are many parameters need to optimize (i.e parameter in trend filter indicator, opening/momentum indicator, closing indicator, etc). There will be a huge combination if we combine all parameters in a single step and therefore will consume huge RAM and also take long time to finish. Do you have any recommendation what steps I should do to do optimization in a well-structured step? For example, should I begin testing the parameter sets on opening indicator alone, or should I combine at least a set of opening indicator along with closing indicator? Or how? Thanks a lot, Martyn.. God bless you..
Hi Subarkah. Generally you should try to keep the number of parameters to an absolute minimum. I suggest you watch the whole of the backtesting series where I answer many of the questions you have. But also in terms of the order of system development, I recommend you watch this video which is in a different series: ua-cam.com/video/O7Uv8LQMjf4/v-deo.html Hope this helps.
Hi Rain. Martyn here. My 'personal' opinion is that 3 is the maximum you should usually consider. That's certainly the maximum I use. But only if there is a sufficient sample size (number of trades). To optimize 3 parameters I would be looking for at least 2-3 thousand trades. If there are less than this then I would feel I needed to reduce to 2 params, in order to avoid over-fitting. Hope this helps.
Hi Martyn, do you know how to filter the paramenters before submiting the set of variables to perform the testing during the optimization? What I want to remove are conditions like BreakEven trigger < BreakEven profit... Do you have any video explaining how to do that by internal coding on EA?
Just gone through your Algorithmic Backtesting and Optimization playlist for the second time. I can see this overview being incredibly handy for going straight to specific areas in the future. Thanks again for the work you put into these Martyn.
Good resume Martyn. I am really impatient to watch the series about Institutional-grade risk Management Techniques.
Very important checklist I never knew I needed. Thanks.
Great to hear I've been able to help :)
thank you coach. the series are so helpful and I could skip all the guessing work
Very useful video guide Martyn, thanks for posting it!
Glad you enjoyed it
Excellent material.
Regarding a comment you made - you said for a currency based system, you back-test "against a basket of 28 pairs". My question is, once you have the back-test data for the 28 currencies, how do you decide whether it is worth trading? So for instance if 10 of the currencies performed brilliantly but 18 were poor, do choose to go with the 10 good ones and ignore the 18? Alternatively if the 28 performed very average, but after analysis in a spreadsheet you found that a simple 'tweak' could make the performance very good, do you then make that tweak and go with the 28?
There are clearly other scenarios which could occur when you make your final selection, and obviously going live with the final 'combination' would be after a satisfactory walk-forward analysis.
It would be good to know how you make that final selection/elimination/tweak from the initial 28 currency basket.
Thank you for this work.
Have you ever experienced getting 2 totally different looking graphs when backtesting an EA in MT5 using the exact same settings? One can look like a great strategy with a smooth slope, while the other a completely different jagged unprofitable graph.
Exact same settings and everything else. The bad looking graph would appear randomly.
Hi Martyn, there are many parameters need to optimize (i.e parameter in trend filter indicator, opening/momentum indicator, closing indicator, etc). There will be a huge combination if we combine all parameters in a single step and therefore will consume huge RAM and also take long time to finish. Do you have any recommendation what steps I should do to do optimization in a well-structured step? For example, should I begin testing the parameter sets on opening indicator alone, or should I combine at least a set of opening indicator along with closing indicator? Or how? Thanks a lot, Martyn.. God bless you..
Hi Subarkah. Generally you should try to keep the number of parameters to an absolute minimum. I suggest you watch the whole of the backtesting series where I answer many of the questions you have. But also in terms of the order of system development, I recommend you watch this video which is in a different series: ua-cam.com/video/O7Uv8LQMjf4/v-deo.html
Hope this helps.
@@TradeLikeAMachine Great, Thanks Martyn. I will pay attention to the series
Hi Darwinex, in you opinion what is a good amount of parameters a strategy should have for optimization?
Hi Rain. Martyn here. My 'personal' opinion is that 3 is the maximum you should usually consider. That's certainly the maximum I use. But only if there is a sufficient sample size (number of trades). To optimize 3 parameters I would be looking for at least 2-3 thousand trades. If there are less than this then I would feel I needed to reduce to 2 params, in order to avoid over-fitting. Hope this helps.
@@TradeLikeAMachine I see! Makes sense! Thanks for the reply
@@TradeLikeAMachine Hi Martyn, I’m using the new DWXConnect repo, what do you recommend for backtesting, BackTrader or another one?
Hi Martyn, do you know how to filter the paramenters before submiting the set of variables to perform the testing during the optimization? What I want to remove are conditions like BreakEven trigger < BreakEven profit... Do you have any video explaining how to do that by internal coding on EA?