True. FXCM has a spread in the 2.5 PIPs range, of which 0.5 PIP is the real market spread. 2 PIPs are their profit. I use FXCM because their API...
Yes, backtests are certainly not meaningful. But this is the equity curve of a walk forward test: [img] This is a 10-cycle 85:15...
There is no commission when you trade Forex and CFDs. Trade costs are caused by slippage and spread. I don't think that back testers tend to...
Yes. This is unrelated to the strategy script, but is a very valid argument for testing any strategy. The testing platform must calculate the...
I'm looking for 1-minute price data for major indices and commodities such as SPX500, DOW, NASDAQ, Oil, Gold, Silver. Does anyone know a source...
"1000" is the filter frequency in bars: http://zorro-trader.com/en/filter.htm and the "100" is the number of bars for the ATR function....
By filtering price data with highpass or lowpass filters, it's quite easy to write strategies in just a few lines of code that return about 100%...
I now understand what you mean, but more experienced strategy developers can this probably answer better. In my limited experience, the...
If you're asking with which results you should put real money in a strategy: Average annual return > 100%, annual Sharpe ratio > 1.5 and Ulcer...
The best possible confirmation is a repeated cycle of parameter optimization and performance test, each with different price data. This is called...
Profit is certainly a linear function of trade profit, but it's a highly nonlinear function of the parameter vector. But I think you have a point...
When optimizing strategy parameters, you look for the parameter set that generates the best objective. I found that the quality of the parameters...
Volker, thanks for the info, I'll make some tests with MC. - It happens with all price series that the strategy uses: 6 currencies, 5 stock...
Normally the Sharpe ratio is taken not per trade, but per bar, and is annualized. The formula is sqrt(bars per year) * Mean(bar results) /...
Hmm, why do you think the Sharpe ratio does not apply to your strategy? It's normally a pretty good performance indicator. On the other hand, 200...
Yes, this make sense. Not only the price data, but also the closeness of the test market to the optimizing market has certainly an effect on the...
No, the error term only measures the influence of random noise on the result. For calculating it, the result of the original price curve is...
Yes, that is my website.
It is known that you have to use out-of-sample data for testing, otherwise the test will generate far too optimistic, meaningless results....
I found that (H+L+C)/3 gives annual returns between C and (H+L)/2, with a multi asset strategy with 4 hour bars: (H+L)/2 - 252%, error 14%...
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