YES! That was it! Thank you for refreshing my memory.

(binned per thread starter's request) Researching and testing

The approach by @neurotrader was a bit different from @W0lfram's candlestick patterns. But if we use different numbers instead of O, H, L, C we could try the same. In post #2 @W0lfram described the rules for a Hammer. Also in the paper linked by ...

(binned per thread starter's request) Researching and testing

It appears to be possible to have an edge by comparing OHLC prices of the recent bars. A person named @neurotrader did some experiments: video Although very educational, you can skip the section about the genetic algorithm and jump to the Walk ...

(binned per thread starter's request) Researching and testing

Thanks! That was interesting to read. However, their conclusion is not useful for practical applications. They tested two cases. When a Hammer forms, then... 1. price often still drops below the close-price of the Hammer bar -> no significant effect ...

(binned per thread starter's request) Researching and testing

As a proper scientist I tried to reproduce the results of a peer... (Well, actually I was just curious ;-)) I get the same results on GU. Another way to look at the data is to plot the minimum/maximum excursion of both a random sampling and the ...

(binned per thread starter's request) Researching and testing

I believe commonly used names for this are: Maximum Adverse Excursion (MAE) and Maximum Favorable Excursion (MFE). EDIT: Uh, no my bad. Since we are looking for both long and short opportunities there is no "favorable" direction. So maximum/minimum ...

(binned per thread starter's request) Researching and testing

Can you please elaborate on that? Based on your graphs there doesn't seem to be SL/TP levels that on average give a profit. I love your systematic detailed analysis! No gut feeling but exact science. What is not to love? ;-) Looking forward to your ...

(binned per thread starter's request) Researching and testing

Usually the cost of spread, slippage & commission of closing your position at the end of the day and reopening the next day is higher than the swap. Perhaps except on Wednesday when you pay tripple swap.

Swap Fees - Why do we keep trade overnight?

I found this article interesting: “All that Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms”. They studied a huge amount of strategies. Two remarkable statements they make: Commonly ...

Curve fitting vs optimization

Sorry if I misunderstood, but like I wrote: I think you can expect to get the same performance as you are seeing in a WFO. In fact, you can measure the difference in performance between In-Sample and Out-of-Sample during the WFO. You might for ...

Curve fitting vs optimization

Lets assume your backtests matches the live execution at your broker in terms of spread, slippage, delays, etc. For strategies that keep their positions open for hours that is usually the case, for scalping strategies that keep positions for a few ...

Curve fitting vs optimization

Just based on the equity curve of an optimization there is nothing you can say about the forward test. It is not hard to find beautiful equity curves with optimization, but that says nothing about the profitability of your strategy or whether it ...

Curve fitting vs optimization

Usually I have two settings: Number of lookback months (e.g. 30 months) -- the EA will only use the trading results of the last 'x' months when calculating the performance of each strategy. This ensures we look at recent data, not old data. ...

Monte Carlo Simulation on Portfolio of Multiple Strategies

It doesn't matter. Your equity probably changes a few percent in 3 weeks interval you use in your backtest. That only means the most recent trades weigh a few percent heavier in the optimization, but that is a neglectible effect. If you are really ...

Curve fitting vs optimization

I don't know if there are any products out there. I embedded a Walk Forward Optimization in the code of my EA so it updates itself automatically during backtesting, and most importantly: during live trading. My EA reoptimizes itself automatically. I ...

Monte Carlo Simulation on Portfolio of Multiple Strategies

I think he refers to compounding. The MT5 strategy tester calculates KPIs assuming fixed risk. Profit is absolute profit. Drawdown is absolute drawdown. Profit factor is absolute profits over absolute losses, etc. Not a problem if your strategy uses ...

Curve fitting vs optimization

Optimization in MT5 tries to maximize profit, maximize Sharpe Ratio, minimize drawdown, etc. All these KPIs are calculated over the entire equity curve in your backtest interval. There is no way that the profit of the last week is weighted heavier ...

Curve fitting vs optimization

Hi Alex, Sorry for the slow response. I have been very busy lately. I am surprised you only look at the last 3 weeks which is a very short time! I see in the screenshots you still have about 60 trades in that time, so your strategy must be a quick ...

Monte Carlo Simulation on Portfolio of Multiple Strategies

In the meantime I changed the way I construct the portfolio. Instead of selecting the top 'x' best performing input parameters, I now compile a portfolio of strategies of which the Pearson correlation between any two is less then 0.5. This gives a ...

Monte Carlo Simulation on Portfolio of Multiple Strategies