I have designed and developed Automated Trading Systems (ATS) for few years now. Since trading live, I have been fairly profitable (that is, I achieved my goals). However, I had the unsatisfactory feeling that I was missing some information to increase the level of trust in my systems … I was missing the proper tools to closely examine, and follow-up on the Real Equity Curve of an ATS.
I define the Real Equity Curve (REC) as the accrual of the
In-Sample backtesting Period + Out-Sample backtesting Period + Paper Traded Period + Live Trading Period.
There are quite a bit of information on the web for such but I did not find any Free Open Source tools to perform such assessment, specifically for Metatrader. Indeed, I do use MT4 for trading my strategies, and it’s fine with me; no issue nor any concerns. You might think otherwise but I will not go there … that’s far, far from my current objective.
Moving from one thread to another, I found this particular one: Synthetic hedges, cointegration, mean reversion and similar stuff (related to: MQL4->R-project – Interface Library). Well, this was more than I needed to finally get a kick-start attempting to fill my needs for REC analysis.
I have started a GoogleCode SVN which contains my R scripts along with example files. My objectives are to design and implement the following:
- Analysis of multiple MT4 StrategyTester [.htm] files … as I realized most, if not all, the software out-there are commercial solutions
- Analysis and Follow-up of ATS through Real Equity Curve evaluation
- Provide a detection for ATS performance Break-Down … to determine as soon as possible when things get ugly
In a second session, and because I stumble across few interesting information here and there, I will be looking at the following:
- Strategy Optimization of MT4 ATS through R
- Enhanced the analysis of ATS performance, through System Consistency evaluation for example
- Enhanced the REC evaluation with Monte-Carlo analysis and Bayesian Statistics
- and eventually combine the above to investigate Computer Generated ATS (CGATS).
As a first start, thereafter I present 2 examples of my programming kick-start: (1) The aggregation of multiple StrategyTester reports and, (2) the visual follow-up of an optimized MT4 Moving Average from backtesting to paper-trading. Every information and material needed can be found at http://code.google.com/p/rscripts4metatrader/
(1) Using: MT4_StratRep_Analyzer()
(2) Using: MT4_RealEquityCurve_Analysis ()
Metatrader Optimization on the Moving Average EA for the period 2008.01 -> 2009.01
3 2408.02 694 1.27 3.47 784.52 18.86% MovingPeriod=60 Lots=0.1 MaximumRisk=0.02 DecreaseFactor=3 MovingShift=6