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Optimization backtesting issue

Discussion in 'Forex Trading Systems and Strategies' started by Ynachum, Nov 27, 2012.

  1. Ynachum

    Ynachum Recruit

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    Hello

    I am trying to find some answers into some issue i am having while doing optimizations on an EA i have.

    The main problem is i feel like i am doing optimization of the optimization. Meaning: For example with a simple crossover EA when

    i choose the optimization data to test up to 500 pips stop loss it gives me the results and i find something that really suits me well, then

    if i do another test with optimization stop loss at 800 pips it of course gives me different results but the good result from the last test where i

    inputed 500 as my stop loss dosent appear in the new test where i used 800 pip stop loss as my input, is this clear? so i have to change

    the stop loss step by step, 100, 200, 300 in the optimization settings to check each one, i would have thought if i put just 1000 stop loss

    it would have given me for every step the best of the best...

    Anybody know about this issue? could it be due to my specific EA perhaps?

    Thanks
     
  2. Pharaoh

    Pharaoh Colonel

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    I'm always of the "I love data" school of thought, so would probably try it in 50 pip increments.

    Any reason for such wide SLs?
     
  3. TadS

    TadS Private

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    You could try figuring out a way to determine the average size of the move against your position before your take profit is hit. This assumes you have a set take profit, but finding the average move against your position could help you shed light on where your stop loss should be.

    In my opinion, using a simple MA cross may lead to a relatively higher percentage of profitable trades but you will have large drawdowns and some potential devastating trades. I might look into optimizing your strategy more before worrying about the backtest stop loss levels.
     

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