Trick to select/filter results on Backtest ;-)

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  • 03/19/2021 at 12:07 PM #164644 quote
    zilliq
    Participant
    Master

    Hi Guys,

    As you know we can’t do backtest on our own indicators (I hope it will be possible in future versions of PRT) (Only maxdrawdown, % win and so on..) and we can’t filter with our indicators

    I thought about a “trick” snippet I want to share (With 100 000 units). Not perfect but may be helpful

    if zscore>0.5 and barindex>50000 then 
quit
endif

    For example with this code, the first results on backtest would have only zscore>0.5.

    Because if results would have zscore<0.5 after 50 000 bars the system stop, and profit stop too

    If you have some ideas to improve this snippet and filter results on backtest please share

    Have a nice day

    Zilliq

    03/19/2021 at 1:16 PM #164655 quote
    Nicolas
    Keymaster
    Master

    Thanks for the tip, but some of us already use that idea, i can remember a topic about it, need to dig into the forum, i’ll try to find it.

    03/19/2021 at 1:21 PM #164660 quote
    Nicolas
    Keymaster
    Master

    Way to filter results of backtests according to a max drawdown you can set: https://www.prorealcode.com/topic/backtest-sorting-by-lowest-drawdown/page/2/#post-97047

    Based on this trick, you can QUIT (and therefore discard) strategies on any event you can imagine: X losses in a single row ; X orders gain > Y% of equity ; etc..

    zilliq thanked this post
    03/19/2021 at 1:36 PM #164667 quote
    zilliq
    Participant
    Master

    Thanks Nicolas I haven’t see this post

    I find this little snippet useful until they improve the backtest on future versions

    03/19/2021 at 1:40 PM #164669 quote
    zilliq
    Participant
    Master

    I see this  2018 post, and I think it’s important to add a number of bars

    Because with some indicators (generally based on money management) the results can be erratic at the beginning

    Bye

    2021-03-19_13h38_55.jpg 2021-03-19_13h38_55.jpg
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Trick to select/filter results on Backtest ;-)


ProOrder: Automated Strategies & Backtesting

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zilliq @zilliq Participant
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This topic contains 4 replies,
has 2 voices, and was last updated by zilliq
4 years, 11 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 03/19/2021
Status: Active
Attachments: 1 files
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