Last year I started using Birt's EA tick data idea to runs some backtests that actually had some meaning.
Today I ran one without putting the data in the folder by accident and it reported 25%, I reran it with my tick data at 99% afterwards.
Interesting to see the huge differences between them, one which I don't understand is the lower quality reports 2550 bars in test, but the other is 1608 bars. How can that be on the same time frame on the same period.
Today I ran one without putting the data in the folder by accident and it reported 25%, I reran it with my tick data at 99% afterwards.
Interesting to see the huge differences between them, one which I don't understand is the lower quality reports 2550 bars in test, but the other is 1608 bars. How can that be on the same time frame on the same period.
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Bars in test2550 Ticks modelled3822429 Modelling quality25.00% Mismatched charts errors0 Initial deposit10000.00 Total net profit28928.00 Gross profit92927.00 Gross loss-63999.00 Profit factor1.45 Expected payoff117.12 Absolute drawdown1586.00 Maximal drawdown8597.00 (29.88%) Relative drawdown37.67% (6245.00) Total trades247 Short positions (won %)127 (48.03%) Long positions (won %)120 (50.83%) Profit trades (% of total)122 (49.39%) Loss trades (% of total)125 (50.61%) Largestprofit trade5000.00 loss trade-1503.00 Averageprofit trade761.70 loss trade-511.99 Maximumconsecutive wins (profit in money)7 (1902.00) consecutive losses (loss in money)8 (-4491.00) Maximalconsecutive profit (count of wins)5947.00 (5) consecutive loss (count of losses)-4491.00 (8) Averageconsecutive wins2 consecutive losses2
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Bars in test1608 Ticks modelled39497118 Modelling quality99.00% Mismatched charts errors0 Initial deposit10000.00 Total net profit25926.24 Gross profit101102.80 Gross loss-75176.56 Profit factor1.34 Expected payoff95.67 Absolute drawdown1011.36 Maximal drawdown15331.44 (43.30%) Relative drawdown43.30% (15331.44) Total trades271 Short positions (won %)140 (44.29%) Long positions (won %)131 (44.27%) Profit trades (% of total)120 (44.28%) Loss trades (% of total)151 (55.72%) Largestprofit trade5014.76 loss trade-1807.00 Averageprofit trade842.52 loss trade-497.86 Maximumconsecutive wins (profit in money)6 (7389.16) consecutive losses (loss in money)10 (-4552.12) Maximalconsecutive profit (count of wins)7389.16 (6) consecutive loss (count of losses)-4552.12 (10) Averageconsecutive wins2 consecutive losses2