Posts made by Abade69

@roar Every trader I know relies on historical data one way or another. Backtesting, optimization, technical analysis and indicators use it, even if the trader claims to use "pure" price action, "logic", fundamentals or "projections", they all use something that is in the past to give them confidence or making trading decisions , that's just fact.

Furthermore, if there was no relation between price series we wouldn't be able to exploit their movement at all, could we? (referring to the efficient market hypothesis).

And yes, only out-of-sample / live results matter, but I am not willing to share as I don't want any unwanted attention, already shared a lot (may do a full disclosure later).

You can easily replicate my experiments with any strategies you've got. Re-adapt them every month with the most recent data and you'll see an increase of performance.

BTW There is a lot of crap on YouTube, don't trust it.

@tec-nacks That depends. You should place anything that must be done inside that time-window under the block and everything else outside of it or during its OFF condition.

@roar I like when people use critical thinking.

Of course there is no 100% guarantee that the selected parameters will perform well in the next set of "unseen" data (A.K.A the future). What is implied here is that there are far better chances of getting good out-of-sample/live results if we pick these parameters based on most recent data, rather than chosing a VERY large sample of trades, conditions and a larger time-span far away in the past that is no longer relevant.

Walk Forward Analysis simulates a rolling process of re-optimizations where you get a series of in-sample and out-of-sample cycles. When going live you are just doing one more of these re-optimization cycles, like the ones you do in the "testing" phase. Validation comes from the fact that MOST of your out-of-sample cycles were profitable, break-even or small losses. You can do 10, 24, 50, or 100 to gain such confidence.

It's not perfect, but it's much better than using a single stage optimization, a backtest with no out-of-sample or without backtesting at all.

@tec-nacks Sure friend, here it is:

https://fxdreema.com/shared/j3RUeWNX

Check if it is set to "true" or "false" whenever you want it to.

Don't be afraid to experiment yourself, FxDreema makes EA coding very easy

@tec-nacks Looks alright to me!

You could use a simple "Modify Variables" block that turns a variable ON or OFF depending on the filter status and a "Comment" block to visualize it in the backtester.

@roar Here is a visual example:

It's the same strategy, same data-set and same instrument. The only difference is the in-sample (training) period.

The first row shows the out of sample results for each month when using a whole year (more trades) for in-sample training. As you can notice it loses -29.22 in 10 months. When using 4 months for in-sample (less trades) it increases performance, even if the parameters that used are always different (inconsistent) for each month. Adapting to current market conditions is x100 times more important than the number of trades used for training.

I know this will be a useful insight for a lot of traders.

@roar

Although, I was not referring to "statistical proof" (numbers and/or metrics used to validate a strategy), I was referring to the "statistical significance" that is used for a "training" period (A.K.A the number of trades that is supposedly needed to increase the predictive value of a strategy).

Walk forward analysis is perfect for getting that "statistical proof" for a strategy validation as long as you focus in the out-of-sample periods. However, you would need to abandon the idea of getting perpetual "stability" out of the strategy or the parameter ranges. It's best to imagine that you are testing the adaptability and consistency of the process itself.

@roar That's a very good question. I have completely ditched the idea of "stability" in my trading strategies and/or "parameter range stability". I have also ditched the idea of "statistical significance" (the idea that you requiere X number of samples for any configuration to have any predictive value).

The matter of fact is that trading strategies don't have any "memory" of the market and cannot "learn", be "fed" or "trained" data to be consistently profitable in the future, it just doesn't work that way. I focus on increasing the degrees of freedom and make it adapt to the current market conditions as best as I can.

I know the strategy has predictive value because it is able pass an extended walk forward test with multiple steps (more than 10). I register the out of sample results and compare the relative effectiveness of each signal and I usually get the most adaptable and fastest signal for the most recent history.

I use 4 or 3 month in-sample and 1 month out-of-sample for the tests. The more you increase the in-sample window the worse it will perform out-of-sample. I use Profit Factor to pick the best performer per cycle, I don't mind if it's an "outlier".

Try it out! It works.

@sktsec I use signals from different indicators to trigger my entries, then add a TP that is equal to the current x1 ATR (10). Most of the times it will hit thanks to the current momentum or even the brownian motion of price itself.

If the TP is not hit then a market exit will be triggered when the indicator signal switches. Risk-reward is "negative skewed" because most of the time a loss is x2 or even x3 times the size of a win. It may sound like a bad idea, however the high win-rate will off-set this negative skew.

Some signals have better adaptability and faster response than others, I have a collection of 278 different signals.

@NZEFILI You could check the MQL5 market, but I don't recommend it. Most of the strategies are overfitted, use martingale or only work in "special" brokers that have no commission, spread or slippage.

you should learn to create your own strategies and build a portfolio of them.

What works?

1. Diversification (a bunch of strategies with little or no correlation working together).
2. Walk Forward Analysis (re-adapting your strategy to changing market conditions). No strategy in the world works perfectly for extended periods of time.
3. Money management that allows the use of compounding (risk adjusted to 1% or 2% of your current equity).

I don't use a fixed stop-loss but include a market exit when things go wrong (it's a negative skewed risk-reward), and re-adjust my strategies in a monthly basis. It's a lot of work but I don't have to worry about my account blowing up overnight.

@NZEFILI You can trust me, I have backtested hundreds of martingale-grid-cost averaging free and commercial strategies and I would never put money into any of them. They got a bad reputation for a good reason.

If you are willing to share your strategy logic I can tell you exactly why it's not such a good idea.

Watering down the x2 multiplier of the martingale doesn't fix the main issue, you are still over-leveraging.

@gery That's strange, can I have a link to the indicator? I will try directly.

BTW I always use an integer type for "AppliedPrice", never had a problem with hundreds of free indicators:

Edit: You also need to change the value of "TimeFrame" to a number if you want to use as integer.

As a matter of fact, you could use "int" for "appliedPrice" and numbers (i.e 0,1,2,3,4,5...) for each item in the menu.

This is a good way to avoid compiling errors when using multiple indicators within the same EA.

@NZEFILI "Martingale: One of the best money management strategies", that's a good one. I guess some people only learn the hard way.

Hi! But martingale IS a losing money management strategy. Why would anybody risk 10,000$ to get back 10$? That's just insane.

Two more facts:

1. No amount of backtesting and historical data will save you from a future string of losing trades, even if you make it run for 50 years in the past.
2. You won't be able to use compounding for exponential growth, which is also insane.

Just a friendly warning.

If you cannot see your TP levels you may want to check your default chart properties and colors.

Hint: Once you have found the problem you can save the template as "tester" or "default" so the platform loads it automatically.

Hope this helps.

Hi! I appreciate your input.

Gonna check the tutorials, perhaps I missed something important.

Will share the solution here (if any), as I think other people are struggling with the same problem in MT5.

Hi! It's actually not that hard to create an automated strategy with 100% win rate:

The system "scalps" daily bars when a long-term signal is achieved. It uses a fixed TP, and the SL is activated when an opposite signal appears (it's a market order). You have to:

1. Optimize over a 10 year period with in-sample and out-of-sample periods to validate.

2. Optimize a fixed TP and indicator periods so it gives you a result with a minimal drawdown (don't even look at the profit yet). The parameters with the least Drawdown have the highest chance of performing well in the future without overfitting (i have tested this concept over and over with satisfying results).

3. Look at the trades and your indicator to ensure it gives you a "tight" enough stop-loss signal (remember that you close a losing trade when the indicator tells you to do that, never use a fixed stop loss level). I like the Gann Hi-Lo Activator SSL because it gives you this type of signal with a relatively tight stop loss.

4. Once you have validated your parameters you can Increase the risk of the system until you reach an acceptable drawdown level (less than 20% works for me). You can also activate compounding at this point.

5. Repeat the process with another market and/or time frame to create a respectable portfolio of non-correlated signals.

This is my current project, and I believe it really leverages the high-win rates by taking full advantage of intra-day volatility (even noise). There are some issues with it:

1. Small sample of trades. You have to wait months for signals, so you have to create dozens of uncorrelated systems to make it worth your time.

2. It has a negative risk-reward ratio, so you have to pick the type of signal (indicator) very carefully as some can let losers run forever when you pick longer periods.

A more mainstream option is to look for an expert on mean reversion systems as these have better winning chances than trend systems! Hope this helps, i keep on experimenting

Hi there!

I get these compiling errors:

But I already declared all types:

This only happens with indicators that use the SmoothAlgorithms MQH library (MT5).

I had a workaround for this problem, but it is not working anymore (changing it for an "int" class and use numbers as inputs). When i try to do that "fix" i get the same error.

Some notes:

1. The indicator compiles flawlessly and shows in the platform.
2. The enumeration is declared in SmoothAlgorithms.mqh, not inside the indicator script.

I attached the indicator and the library can be found here:

https://c.mql5.com/3/293/SmoothAlgorithms.mqh

0_1627842721558_i-CAi_Digit.mq5

Any insights and/or solutions are welcome, thank you!

@fxdreema Thanks, i am going to try out renaming the input. For the other indicators (on which i don't plan to Shift) i already found a very simple solution, i'm just using the current open instead of last close as reference so shift and candle ID remain as 0. BTW i am having some conection problems with the builder and the forums.

@l-andorrà I noticed i can just remove shift from the inputs and the problem is "solved" .. Sadly i found a very good indicator that requieres to shift, so i won't be able to automate it.

And yes MT5 can be buggy as hell (specially in Win7) . But it has very good value for: Lot of free good (new) indicators, multi-currency testing, infinite custom symbols , realistic testing using the broker's data feed (although there is some annoying stuff aswell).

I hope the admin can shed some light into the issue