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Thread: Best method to perform backtest/optimization

  1. #1
    Junior Member
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    Default Best method to perform backtest/optimization

    Funyoo, first of all, thank you for your wonderful site and for all of the work that you do to support your members and the forex market overall. I have been an elite member now for about 6 months now, and I find myself continually coming back to your site for new and fresh ideas about how to approach the forex market using both automatic trading and manual trading.

    One of the areas of interest for me is how to effectively perform back-testing and optimization of an ea using the mt4/mt5 platforms. I have come across several versions or methods, with which I have had various levels of success. My guess is that you are probably the expert when it comes to "How best to perform these activities?", and I would greatly appreciate your help in understanding your specific approach. Thank you in advance for your help and consideration.

    PS. I suspect that you have already done this for someone else, so if you could just get me going in the right direction, I will certainly appreciate it. Thx PetroB

  2. #2
    Administrator funyoo's Avatar
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    Quote Originally Posted by petrob View Post
    Funyoo, first of all, thank you for your wonderful site and for all of the work that you do to support your members and the forex market overall. I have been an elite member now for about 6 months now, and I find myself continually coming back to your site for new and fresh ideas about how to approach the forex market using both automatic trading and manual trading.

    One of the areas of interest for me is how to effectively perform back-testing and optimization of an ea using the mt4/mt5 platforms. I have come across several versions or methods, with which I have had various levels of success. My guess is that you are probably the expert when it comes to "How best to perform these activities?", and I would greatly appreciate your help in understanding your specific approach. Thank you in advance for your help and consideration.

    PS. I suspect that you have already done this for someone else, so if you could just get me going in the right direction, I will certainly appreciate it. Thx PetroB
    Hi petrob,

    Each EA will have different way to be optimized. Always optimize first the entry logics, the time filter, the sl/tp, then ts/be, and finally the mm.

    When the backtesting is fast you can optimize the main entry logics parameters at the same time (the periods).

    To save time, you can optimize with open price only mode, then activate the firstticks option to get similar results with the each tick mode.

  3. #3
    kevinjones
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    Back testing software is an integral cog in the process of analyzing trading systems. Back testing is the process of testing a trading strategy using historical data rather than testing it in real time with real money. The metrics obtained from testing via back testing software can be used as an indication of how well the strategy would have performed had it been applied to past trades. Interpreting these results then provides the trader with sufficient metrics to assess the potential of the trading system.

  4. #4

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    I believe optimizing with a day filter if using a day trading system is also important. Sometimes removing fridays (and even mondays) can greatly improve results.

  5. #5
    kevinjones
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    Back testing and auto trading are two important components of implementing trading strategies that generally do not rely upon the trader’s judgments or discretion. These types of strategies are primarily technical in nature, and they must necessarily have rules and criteria that are unambiguous.
    Back testing allows the trader to determine if a given strategy would have been profitable using past price data, which is an indication of how it might potentially perform in the future. In contrast, auto trading actually executes real trades automatically according to a pre – programmed set of instructions that sets trade entries, stop losses, and profit limits.

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