Friday, March 6, 2009

Expert Adviser Weekend

Finally, the weekend is almost here. I've been stealing a few moments here and there during the week but it's not that productive.

Basically, I've limited myself to testing various "opening" strategies. What I've found is that I can increase earnings across the test set -- but generally at the expense of a bigger draw down. I'd like to come up with a system that tests out a tripling of the original account value while only drawing down 10% or less.

If I can create something like that I'll give it a live run.

Interestingly, even when I create something with a massive drawdown and a huge return over a short period, it's still incredibly inefficient. Using the visual testing tool you can always spot opportunities to enter and exit the market profitably that the system completely ignored.

What I expect, once I get that far along, is that I'll open positions under varying conditions. For example, one reason that the trades mentioned above are not done is that the underlying market conditions are deemed risky by my EA. There is nothing wrong with risk it just means you need to manage potential losses better.

So, entering during a less risky period would mean that the position can be given more leeway and presumably be more likely to generate a profit. Entering during a more risky period would entail letting go of more positions at a loss while maintaining a net positive return expectation on those trades.

Lastly, a quick tip. If you minimize the visual display window the tester will run a lot quicker. However, you can then open the window after the run has completed and look at how things progressed. You can have your record and eat it!

Oh, I almost forgot... if you are using the iHighest(...) function, be sure to use the iHigh(...,...,iHighest(...)) value instead of the High[iHighest(...)] value. If you don't you'll be scratching your head wondering why you aren't getting values from previous bars. What a pain in the ass that was.

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