Number of trades in backtesting ~ Law of large numbers ~ - How to find an EA that can win from backtesting - Navi+ - GogoJungle | Auto Trading - Market Analysis

FX Automated Trading, the Reiwa era’s Double-E is.

In the world, there is the saying “Law of Large Numbers,”

that backtesting trading count must be over 1000 to be trustworthy,

and it is believed.

However, even when backtest trading count falls short of 1000, there are EAs that leave excellent forward performance.

From the developer’s perspective,what caused it to be under 1000is important.

① The backtest period is short to begin with

② The logic itself has too few entry opportunities

③ Timeframe issue

④ Optimization reduced the count below 1000

For ①, first publish backtests for at least the past 10 years; the discussion starts there.

②, if too many filters are stacked or the reproducibility is poor, there can be issues. However, special EAs like window-fill EA are a different case.

③ When the timeframe is longer, the number of trades tends to decrease. Conversely, if you have around 1000 trades on a 1-minute chart, one wonders how that would be.

④ It is difficult to judge, but it can be the case that there was potential for over 1000 entry opportunities initially, but after optimization, the parameters yielded fewer than 1000 trades. Personally, I’d be okay with 800 or more. However, having too many optimization targets may lead to overfitting, which is not good.

Also, even if it exceeds 1000, the reason why it does so is important.

① It exceeded 1000 only with multiple positions

② A single EA contains multiple logics and exceeded 1000

① With single-position backtests, that would be ideal. Personally, having enough trades with a single position, winning, and then adopting multiple positions to improve recovery factor is better.

② Hard to judge, but if one of the logics exceeds 1000 and that is the main one, that might be okay. Also, multi-currency pair trading may have marginal trade counts, but the diversification of risk could take precedence.

Even if you believe in the Law of Large Numbers and value more than 1000 trades,

it is important to understand what caused it to meet or not meet 1000.

That’s all!

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【Reiwa’s Double-E A Listing】

https://www.gogojungle.co.jp/users/112481/products

Specifically, categorizing Reiwa’s Double-E EAs into genres

https://www.gogojungle.co.jp/finance/navi/articles/67162

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【Reiwa’s Double-E Series Articles】

https://www.gogojungle.co.jp/finance/navi/series/1700

https://www.gogojungle.co.jp/finance/navi/articles/64703