EA Studio updates: Backtesting trading strategies


Hello, dear traders! Its Petko Alexandrov
speaking from EA Forex Academy and today I will talk about the update that we
have in the report when we are backtesting trading strategies with EA Studio
or when we are generating strategies. So if I go to collection, I have some
collection here for EURUSD on M15 chart, and I will click on any of the
strategies. So far, when we were backtesting trading strategies in the
backtest output, we were having exact statistics and we were not able to
change it. But now if I go to tools and below you will see back test output
metrics. So here you can select which metrics you want to see in your strategy.
You can see they are 5. So you can change it to any other metrics that you want to
have while backtesting trading strategies. For example, the first one I
will leave it to net profit but then instead of profit per day I can select
maximum drowdown in percentage then instead of maximum drowdown I can have
the R-squared. This is a new feature in EA Studio which I will explain in
some of the next videos about the EA Studio updates. It is very nice and by
using it we can have very very nice equity line with the strategies. And for
example, I can change return to drawdown, I can change it with maximum
stagnation in percentage, ok? And instead of count of trades. Even I really like to
see the count of trades. I will select win/loss ratio. Alright and if I go now
to the strategy you will see that I have the net profit, the maximum drawdown,
R-squared, maximum stagnation and win/loss ratio. So depending on which
ones you want to see you can change them from here from the
backtest output metrics. Now if I go to the strategy one more time and I go to
report you will see very very interesting charts here. Which help us to
have a better idea when we are backtesting trading strategies, when we are
generating strategies or when we are going to optimize strategies. So here we
have more information and more visual outlook of the strategy and I will
explain each one along the video. So on the left side we have the backtest
output. Here we have some updates as well. We have backtest quality, which before
was called to be maximum ambiguous bars. And for the new traders with EA Studio:
“What that means?” The ambiguous bars or the backtest quality is when we
have a trading strategy that uses stop loss and take profit and the stop loss
and take profit is within the range of one bar. So let’s say on the backtest of
the trading strategy we have the trade open somewhere here and then we have the
stop loss and take profit within the range of this bar. So the program cannot
decide which one was first. Did the price reached first the take profit? Was it
stop-loss? And it’s normal because what we have from the historical data is the
open, the high, the low and the close. This is all the information we receive when
we export historical data from MetaTrader. And here the MetaTrader
backtest gives you result which is better for you. So it will show you that
the take profit was hit but this is not the reality we don’t know if first was
the stop-loss or first was take profit. While EA Studio uses account protective
algorithm. Meaning that when there are such bars it will take it as a negative.
If there are such situations or such bars, while back testing the trading
strategy, it will show you the more negative result. So this way it will show the more
secure result for the user, okay, for the trader. It will avoid showing over
estimated results. So one more time here about the backtest quality, which before
was known as ambiguous bars. This is when we have a huge bar and our trading
strategy has a stop loss and take profit within the range of this bar and EA
Studio, just like MetaTrader, doesn’t know which one was hit first the take
profit or the stop loss. And EA Studio will show always the stop loss. So it
will show you the more secure results, okay?
Going down to the backtest output we have bars in trade this is update as
well. Which is very interesting! We can see how active is our strategy. So here
we have 56% meaning that the strategy is trading nearly half of the time. We have
the R-squared, which as I said I will dedicate a whole video in the next days
and I will explain what exactly that means and how you can use it while
optimizing the strategies or while you’re generating strategies.
Alright, so now on the right side we see the balance chart and then what we see
is count of entries by weekdays, okay? So this is count of entries. So please pay
attention to the names above the charts! It is set there exactly what it is. So
this one shows the count of entries, okay? This is not the profit but this is count
of entries by weekdays. As you see with this historical data we have some
trading on Sunday. So there are some trades over there. And then during Monday,
Tuesday, Wednesday, Thursday you can see it is most active. So here you can see if
your strategy is balanced and if it opens trades every day during the week.
Alright, now the next one is profit and loss in currency by weekdays.
So here we have the actual result. The green one shows the profit, the red one
shows the loss. And the first thing I see here is that this strategy on Tuesday
makes more losses than profits, okay? So here is in currency. So we can say this
is profit and loss, okay? Now going down we have profit and loss in currency by
entry hour. And on the right side we have profit and loss in currency by exit hour.
So here we see during which hours this strategy makes more profit, when it makes
more losses and here obviously the strategy makes more profit during the
first half of day. And in the afternoon the trades that were opened in the
afternoon, they are making more losses. So here one more time please carefully read
what it says profit and loss in currency by entry hour. This means that we see the
entries of the positions during which hours the entries are leading to a
profitable trade and during which hours the entries are leading to losing trades.
And here we have the exit hour. So here we can see between midnight and 6:00 we
really don’t have exit, very small exits here. Then we have good exits at 8:00-
9:00 and then we have great exit at 2:00 p.m. and then we have smaller results by
exit hour. Allright and let’s see here what will happen if I go to tools and I
set Monday till Thursday. So let’s change just the hours and see how the graph
will change. So let’s make it from 10:00 trading till 14:00 hours, okay? And I will
do the very same thing for Friday I will do it from 10:00 to 14:00 hours and I
will go to strategy you see it changed I go to report and you will see exactly
here I have trading only between 10:00 and 2:00 p.m. but I have exits all the
time, okay? Because this is only the entry and the exit could be at any time. And
there is some trading over here at 10:00 and 11:00 p.m. I think this is just
because of the trading on Sunday. Because this broker has some trading on Sunday
and I didn’t eliminate it. If I eliminate it I will go back to the strategy and I
will go to report and you see there is no such trading over here. Alright so I
really hope that by changing these hours I made it clear. This graph on the left
shows the profit and the loss by entry hour. And on the right side we have the profit
and the loss by exit hour, okay? Let me put it back to the normal that I’m keeping. It’s
from midnight till midnight, okay. I’m not missing any trading time. And keep in
mind that these settings in tools are general. And if you change them and then
you’ll load some old collection or strategy or Expert Advisor it will
affect their the report of this trading strategy. Alright and I will go back
one more time to the report and I will show you what I have below. We have two
more things. One is count of entries, profits and losses by entry hour. Now the
blue bars show the count of trades, the green bars are showing the profitable
trades and the red ones are showing the count of the losing trades. So obviously
the blue bar equals the green bar plus the red bar. So here we have the count of
the entries, the profits and the losses by trading hours. Alright, and below we
have the monthly performance in currency. Something very interesting to me! You can
see the results while backtesting the trading strategies for the whole trading
period that we have with the whole historical data. In this case
it starts at October 2014 and the months where we have huge losses are colored in
red and those where we have smaller losses are in a lighter color. And same
with the profitable months where we have profits is in light green. But where we
have more profits is in darker green. And this way we can see, for example that
this strategy makes profits in July, okey. It makes profits as well in February.
With the other months it is having some months on profits, some on losses. You can
see in June it has two months on profit and two months in loss. So by having this
statistics over here you can have much better idea about the trading strategy,
about the profits and the losses. And if you decide you can actually pause the
strategy when it is not making profit. For example, in the afternoon with this
trading strategy or you can have a look at months as well. You can make a lot of
conclusions over here and it is up to you how you will use these statistics to
improve your trading. Alright thank you very much for watching! This was about
the statistical information that we have now as an update in EA Studio. Which is
very useful to analyze our work while we are backtesting trading strategies or
when we are generating strategies and we have them into the collection. We can
quickly go to the report and have a better idea about the strategy not only
looking the balanced chart but looking at all of these statistics. Thank you for
watching and I wish you safe trading. Cheers!

One thought on “EA Studio updates: Backtesting trading strategies”

Leave a Reply

Your email address will not be published. Required fields are marked *