Recent performance of Brain Trend on EUR/USD
I will post some recent performance tables of Brain Trend EA on its default settings og lenght 50. The results show clearly that it performed well on 30m, 1 h and 4 h time frame.
On 15 m time frame it did not perform on any settings.
I somewhat missed the performance because I was focused exclusively on the 15 m time frame and I knew it was not working there. So I am glad with the results because the idea here is not to produce EAs and hoping to find the holy grail by chance ;).
The brain trend is a sound system with its limitations.
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I will add the results on 1 h time frame and the 4 hour time frame with the same parameters of lenght of 50.
A you can look the results it is typical for trend following system: the % profitable trades is below 50 % but the average profit trade is bigger than the average loss trade.
As you can see 43 % is very good performance for trend following system.
Also the largest gain (77.4) has to be much bigger than the largest loss (-41.10). However you need to see if all the good results are not due to just one trade.
Also it is important to have a look at the consecutive losses. This is also a critical parameter for trend following trading systems.
In the case they are 6. This is a lot but hopefully the consecutive loss (-132.27) is not very high compared to the biggest profit trade (230.39).
What is a bittle bit surprising of this system is the consecutive profit of wins of 4 (398.89). That is surprising for a trend following system. In fact the brain trend is an upgraded trend following system, I would say it is an impulse following system. When the market state get more predictable a persistent it is able to follow it. Check about the market states analysis.
Well this is not much, but this is what we get from Metatrader as statistics.
Now I will add the screen shots:
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| От EA tests |
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So you can argue that the data is not big. And yes it is true. The performance of the system is closely related with the predictability of the current market state. I was thinking about a seasonal pattern but I do not find any clue about it.
Comments
Which EA version is this based on?
I think that is the version, I use Alpari data for performing the tests.
I want to show something else also interesting. Have a loot at the optimization results of the EA. There is only one paramter that is optimized the lenght. As you can see the system is robust because it was working on all parameters.
Those results are consistent with what I have observed in anotoher blog post before. The system is working on almost all parameters or not working at all. Here you can se how it is not working at all at the 15 m time frame.
And check the 1 h, on 1 h also as the 30 m time frame all the settings are profitable. Interesting observation.
This is a very important result, because it works for both timeframe 30mn and 1H
For day trading I need 5m or 15m TF parameters. So far best trend indicator
The EA still got flaws in the code. I just checked it
http://3.bp.blogspot.com/-gAu8jN1yGCY/UKNdlHfO0KI/AAAAAAAACCE/5EzSxvD_6ko/s1600/trend+or+range+4.gif
Hi Isuborsky
I never saw this FDS_eRSI indicator ?
where to fetch it ?
http://www.fxhackers.com/2012/11/range-and-timing-john-lasts-forex-jokers.html
Hi,
Here's a 90% backtest for the Braintrend EA for last year of 2011
Above was the 1HR backtest,
Here's the 4HR backtest for 2011, slightly better.
That is correct 2011 was a very difficult year for trend following systems, by the way the ASCtrend did not perform any better on 1 h time frame. Both EA were unprofitable on any paramater.
So three important things.
1. There is no algorythm that will perform anytime and anywhere
2. The key is to try to predict and see in real time if your algorythm is in the right market. And that you can achieve only if you know the weaknesses and strenght of your EAs.
3. You need to know how much drow down you can endure. And for that Monte Carlo heelps a lot.
Hi John,
How can we determine ahead of time when a certain EA would be suitable for upcoming market conditions?
That a trading holy grail question. Much more than the one million question LOL.
What we can do is to know if it is working now.
Based on that you can evaluate how much draw-down is logical and calculated within the system. You can use a Monte Carlo simulation based on that knowledge. Check the post about Monte Carlo simulations and the appropriate risk control.
You can use market state analysis as an independent tool too. This a discretionary approach based on the best practices among discretionary traders and this is how far this pragmatic field can go by now (in my eyes of course).
And you can use your fundamental knowledge to have some insight. Sometimes the market state is closely related with fundamental information. Here I can give a historical example: the Swiss/Euro EA, this strategy was based on the Swiss Central bank decision setting a minimum exchange rate of 1.20. Until we were under the same circumstances the EA was expected to work and it worked too well for several months doubling the account many times.
And you can use data mining only for predicting market conditions. That is also possible, however it is not an easy task.
The Evaluation and Optimization of Trading Strategies (Wiley Trading) by Robert Pado
Trading Systems: A New Approach to System Development and Portfolio Optimisation by Emilio Tomasini and Urban Jaekle
not working on 4 digits and 0.01 lots, checked it please
Hi Isuborsky
in an another subject, I am currently working of a new expert squeletton.
In example, all trailling stop functions in all EAs you can fetch on the web, are not working. in fact, when the price moves against the trailing stop, the function reset the stop loss at another value.
The loginc of Braintest + iVAR should make the EA profitable. ... so...
good luck friend