Would like some opinion on the result of the backtest...

#1
Hey everyone, I have modified some afl.... One of them seems to be giving an ok result...

Here are the results:











So... is this afl practical in the real market? Or is it still need more adjustment?

Thanks for your opinion
 

ram2010

Well-Known Member
#2
Hey everyone, I have modified some afl.... One of them seems to be giving an ok result...

Here are the results:











So... is this afl practical in the real market? Or is it still need more adjustment?

Thanks for your opinion
without the afl, how to give opinion?,

post the afl
 
#3
Hi

Not seen everything in details . . . but

Draw down seems to be too high . . . that's why all ratios like CAR/DD; RAR/DD are unacceptably low

Even if you are Ok with that the Payoff Ratio is just 0.88
and Profit Factor is 1.68

I won't trade a Swing/Positional system that has Profit Factor anything below 2


Anyway, just check the transaction cost, seems some error in coding/settings seems it is too high to me.

As the exposure is abt 60%, so maybe u r using too big a size or your MM rules are undefined, if so . . .

for a start try inserting this line in your code and see how it goes

Code:
SetPositionsize(1,4);

Happy :)



Edit: Seems a system with No Stop loss :D
 
#4
I did put stoploss in the system with portfolio management...

The Transaction fee is 0.25% with each trade... The purpose of that fee is to weigh in the real world situation during trading
 
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alokdaga

Active Member
#5
Run code check and see.
It seems that the formula references FUTURE quotes.
If you backtest this system you may receive outstanding results
that CAN NOT be reproduced in real trading.
 
#6
Run code check and see.
It seems that the formula references FUTURE quotes.
If you backtest this system you may receive outstanding results
that CAN NOT be reproduced in real trading.
There's no such warning when i backtest the formula... Could you please show me the screenshot perhaps?

Thanks
 

djsinha

Active Member
#8
Are the performance stats a result of working with optimized parameters? The backtested results somehow look like such. Did you consider the entire period 2008 - 2016 for optimizing your system? If so, you can try running walk forward estimation and see the results because systems optimized on a particular time period often times fail miserably on out-of-sample data.

Once you are done with walk forward estimation, try running Monte Carlo Analysis, just to ensure the system is robust. If your system passes the above tests, you know it can be taken live.
 
#9
Are the performance stats a result of working with optimized parameters? The backtested results somehow look like such. Did you consider the entire period 2008 - 2016 for optimizing your system? If so, you can try running walk forward estimation and see the results because systems optimized on a particular time period often times fail miserably on out-of-sample data.

Once you are done with walk forward estimation, try running Monte Carlo Analysis, just to ensure the system is robust. If your system passes the above tests, you know it can be taken live.
Yeah i did optimized using 2008-2016 market data. Could you guide me how to do walk forward and monte carlo analysis? thanks


Btw which version of amibroker that features monte carlo?
 
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