Thanks, yes it’s a real eye opener and I now have a headache!
Managed to tweak the EA so over 4 years of testing it lost 63 pence!
So no good really but it does show just by tweaking things you can get a 5% improvement, useful to know if I can get one that actually makes a worthwhile profit in the first place.
I’ve got load of ideas, probably none original, but let’s see what can be done. AI is great but also can be a real pain as well, like having a 2 year old!
Eek! More than 15p per annum?! Last of the great financial disasters.
Yes; a more serious point altogether and essential to know. Especially if you can do that 2-3 times, you can move many things from overall loss into overall profit.
You probably don’t score anything extra for “originality”. Maybe nothing’s really completely “original” anyway? I wouldn’t worry too much about that.
Well, I have a profitable EA now, but how much profit do you need to make it worthwhile? Mine is only around 20% a year, you can get funds that perform better and are lower risk.
For me (for most people, I think?) it’s not about the profit %. It’s about how much bigger the profit % is than the drawdown %. In other words (and these would be the words of an investor or a risk manager or whoever), it’s about the drawdown %.
You can always adjust the “stakes”, if the drawdowns aren’t too dangerous.
A system that makes 20% per annum with a PTT drawdown of 4% is no better or worse than a system that makes 10% per annum with a PTT drawdown of 2%.
If you show any “profitable” system to any investor or risk manager or whomever, they’ll instinctively scale the PTT drawdown figure up or down to 4% (because that’s an industry-wide “maximum acceptable risk figure”) and then adjust the profit per annum accordingly, depending on how much they had to change the drawdown to make it 4%.
Of course, I’m not suggesting that your acceptable maximum drawdown figure has to be 4%. We all have our own degree of risk aversion, depending on all sorts of factors. (Mine, I admit, isn’t far off 4%!).
So: what was the biggest drawdown over the period for which the profit was 20% per annum?
Good luck. Make sure it is “testing” and not “backfitting,” though: it’s very easy to confuse the two and come up with something that was perfect historically but loses money later. Another reason why forward-testing and out-of-sample testing are absolutely essential.
Right I’ve had to step away from building a robot as my head is bashed. Will possible come back to that once I have a easy to define strategy that works in real life!
But it’s been a very useful exercise for a number of reasons, back to trading now.
You’re not alone. It turns out there’s been some kind of software glitch, over this. You might want to add a quick post to the thread below, just to alert the authorities?