this is my first post here, although I am a quite addicted reader of this forum, and I cannot wait longer for expressing my appreciation and many thanks to Funyoo to have founded it. I feel quite comfortable here in comparison to other cyberplaces, because I find a quite good match, as a convinced “systematic” trader, with the philosophy.
I want to make some proposal and ask some questions.
If I have not counted wrongly (a little index number, maybe?) in the “Top Free Expert Advisors” section of the site, just looking at the systems with a ratio > 1, there is a list with about 200 experts.
To be clear: again congratulations and thanks for all this work, shared with the public! It is really rare finding a so well referenced and ranked list, and this forum, much better than others, contains usually very nice descriptions of the mechanisms behind the various scripts, besides the code. And a lot of testing. But I have some improvement to propose.
First I am a bit concerned that the “ratio” used for ranking these systems ((Total net profit/Balance)/RDD) is not the best measure. Especially because it doesn’t really account for the difference between profitable systems and “suckers”. In addition, a simple average of such ratio over different testings, each one with its own set of parameters, currency, even TF, length and period of time tested… doesn’t make much sense, to myself.
One observation (and see below for how I would select a system, now) is that probably a unique variable for ranking EA’s is not sufficient-meaningful. If this must include a mix of profitability and risk (and this can be a first approximation of a “good” ranking parameter), then we can discuss how to produce the better metric.
And the second observation is that I think it should be better, for such a comparison, adopting very standardized testing procedures, such as a portfolio of some defined “model instruments/pairs”, a basket of defined time periods (depending on the “speed” of the system, but anyway consistent for similar systems), and a defined set of parameters. This can well be the best found after different approaches of optimization, but must be clearly defined, and, instead of making averages of different sets of parameters, it is probably better to keep just the best one.
What I think it could be nice to do, as a collaborative work, is to help Funyoo in collecting and ordering data is some meaningful form. I started yesterday, just for fun, making an excel file. I attach it, but, please, it’s really just a draft and very very far from being complete. For each script I would include, besides the “metric” that can be chosen as the more representative for a ranking, also some other essential parameter useful for ranking and choosing a script, such as for instance profit factor, frequency of trading, maximal drawdown, and the like, but also kind of money management, kind of indicator/pattern/strategy used, risk factors (e.g. the absence of a stop loss), the "category" of the system (e.g.: trend-following, countertrend, channelling-ranging, breakout, adaptive...).
This as far as the information is amenable to standardization across different systems. This list could then be linked also to single “EA reports” where more details can be included, always in standardized form. Good candidates are currency tested (each with their results), more analytical quantitative parameters (max profit/max loss…), some more information about mechanics, a description of options/parameters, some notes about the code (availability of source, easy/difficult to understand/modify) and everything that can be useful.
My experience of yesterday is that, there is so much information about some of these systems, that compiling such a report alone would prove quite impossible. Together, with all the “experts of the experts” (LOL) contributing a bit, could become quite easy.
Good. I go on in separate messages with the other topics.
Hope this is useful for discussion. Hope not to hurt anybody and if I am to invasive I will go back to my reading chair!