Importance of Deemed Forward Testing
Hello today!
Satoori here, the researcher of FX.
A typhoon is approaching, isn't it?
Please take care.
Today, I will take this opportunity to introduce the Verification Video Classroom.
“Weekly Research FX Fibonacci Trade Idea Verification Video Classroom” I started from this month.
This is related to today's blog article, so if you like, please watch the introduction video as well.
Now, as stated in today's title, I would like to comment on the importance of the “perceived forward test.”
Typically, EA backtests are started after confirming a rising right curve in the results; however, if you conduct a “perceived forward test” for the past two years and see a rising right curve for those two years, it is inferred that future forwards may also rise.
※ By the way, I know only three EAs with more than about one year of forward performance that has been consistently rising:
Ippon Kachi(more than 1.5 years rising)
Kona Yuki(about 1 year rising)
mb-Trading(over 2.5 years rising)
If you know of any other EA with more than one year of rising performance, please add it. Or you can send information to “info at omark abproducts.biz (Satori)” and I will add it.
Of course, an EA with two years of forward performance rising would receive a good evaluation, but the number of such EAs is limited.
Therefore, I decided to conduct a two-year “perceived forward test” myself to discover promising EAs.
The figure above shows the balance curve for RSI Bands EA on AUDJPY 1-hour, optimized from January 2013 to June 2015, using data that yielded more than 10% lower performance than the data with the highest profitability, and then backtesting from July 2015 (unoptimized) through July 2017, including the forward period up to 2017.
Even from July 2015 forward without optimization, the curve remains somewhat rising.
RSIBandsEA URL
http://fxmt4indicator.abproducts.biz/wp/?page_id=1554
So, with the optimally profitable parameter set two years ago, how did it perform during the subsequent perceived forward period? In short, the conclusion is breakeven and not profitable.
If you used the combination of parameters that yielded the highest profitability, it would not guarantee a rising balance; rather, ordering data by lower drawdown and examining number of trades and whether it rose may yield better forward results.
RSIBandsEAhas been optimized separately for buy and sell across all seven currencies,and the data are arranged by lower drawdown, with the number of trades and whether it rose considered, then set as the initial parameters for each of the seven currency EAs.
Regarding this matter,“Weekly Research FX Fibonacci Trade Idea Verification Video Classroom” page provides more details.
For EAs to be released now, two-year forward testing is not feasible, but by performing a “perceived forward test” or “time machine forward test” and then comparing with optimized data from the most recent years, we expect to make a comprehensive judgment and identify promising EAs.
As for the automated trading tools I list, including MACDPlusEA, improvements will also introduce the concept of a “perceived forward test.”We will incorporate it in the future.We will incorporate it in the future.
Additionally, for many EAs, there is room for improvement in entry filters based on candlestick or chart patterns, and stop-loss filters.
We will report on this matter again in due course.
Thus, by testing with new indicators and EAs, various data accumulate, and we will incorporate this into future versions of each product and new product development as well.
Until enough data accumulates from different angles, we will continue to develop new products.
We have made GIF images and MT4 test reports from the blog available for free download whenever possible, including the images used in this article.
This image is also included.
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