Final Trailing Cease EA: Importing and Backtesting/Optimizing Sign Historical past – Different – 19 November 2022

November 19, 2022

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Description

As a result of Final Trailing Cease EA (UTS) is nice at managing one’s exits with 16 trailing cease strategies, it may also be extraordinarily helpful to use any of those strategies to a subscribed sign, so as to improve it.

To this finish, we constructed a sophisticated sign evaluation software inside UTS as a way to import, backtest and optimize any trailing cease configuration on historic sign knowledge, as long as it’s in csv format (ex: MQL5 or Myfxbook alerts).

This function presents a extra goal solution to decide the perfect settings for the system you have an interest in enhancing together with your trailing cease.

You simply must obtain the CSV sign historical past, drop it into the Tester > Information listing, and configure the inputs under.

Inputs

Report CSV information — It is advisable to point out the identify of the historical past file that you’ve dropped into DataFolder > Tester > Information folder.
For instance, Report CSV Information=HeroSP500.csv
Code Web page (Dropdown) — ANSI | UTF7 | UTF8

Completely different signalhistory.csv can have downloaded in several csv codecs, and Code Web page lets you right for that peculiar csv format.
Information separator — It is advisable to point out the first separator format of the signalname.csv file.
For MQL5 signalhistory.csv, use ; (semi-colon), in order that Information Separator=;
For Myfxbook signalhistory.csv, use . (interval), in order that Information Separator=.
Hour adjustment — It is advisable to point out make the hourly adjustment in case your dealer is completely different from historical past file dealer. For instance, if signalname.csv is derived from a dealer with GMT=1, and your dealer had a GMT=3, you point out Hour Adjustment=2.
Date format — It is advisable to point out the date format of the signalhistory.csv file.
For MQL5 signalhistory.csv, use yyyy/mm/dd, in order that Date format=yyyy/mm/dd
For Myfxbook signalhistory.csv, use mm/dd/yyyy, in order that Date format=mm/dd/yyyy
Date Separator — It is advisable to point out the date separator of the csv file.
For MQL5 signalhistory.csv, use . (interval), in order that Date separator=.
For Myfxbook signalhistory.csv, use / (ahead slash), in order that Date separator=/
Image to make use of — It is advisable to point out the image to carry out the check upon. For instance, Image to make use of=SPX500

Steps to Import MQL5 Sign Historical past in Technique Tester.

On chosen MQL5 sign, click on on Commerce Historical past tab.
Scroll right down to the underside of the commerce historical past and left click on on Export to CSV: Historical past
SignalHistory.csv will obtain to your laptop with one thing like 7digits.historical past.csv (ex.1731202.historical past.csv). You would possibly need to proper click on and rename this file to signalname.csv (ex. HeroSP500.csv)
Copy and paste the signalname.csv file into your DataFolder > Tester > Information folder. To get to this folder, click on on File > Open Information Folder > Tester > Information.
In Technique Tester (View > Technique Tester or Ctr+R), load Final Trailing Cease EA and open up UTS inputs, and scroll right down to the final enter part.
Report CSV Information enter, you point out the precise identify of the file (ex. Report CSV Information=HeroSP500.csv)
Maintain CodePage=ANSI;
You DO NOT want to regulate the next defaults (as they already work with MQL5 alerts):
Information Separator=;
Date Format=yyyy/mm/dd
Date Separator=/
You possibly can modify the hour adjustment to match your dealer GMT time, if completely different from file dealer. For instance, if signalname.csv is derived from a dealer with GMT=1, and your dealer had a GMT=3, you point out Hour Adjustment=2.
You possibly can point out Image to Use with the image you might be utilizing. In my case, I’ll implement Image to Use=SPX500
You possibly can preserve or take away the defaults to Protect Unique SL/TP/Shut:
Protect Unique SL=true
Protect Unique TP=true
Protect Unique Shut=true

Backtesting Sign Historical past

After configuring your signalhistory.csv file throughout the inputs of UTS in Technique Tester, it’s time to backtest the sign historical past with none trailing cease configurations.

Listed below are the steps I take:

1. Ensure you have downloaded sufficient 1 minute knowledge to your chosen image.

As an example, I’m desirous to backtest HeroSP500.csv on SPX500 (Darwinex SP500 image). Because the sign has commerce historical past from March-1-2022 until Nov-17-2022, I need to be sure that I’ve at the very least that a lot knowledge loaded in MT4. To take action, I take advantage of a software like Quant Information Supervisor (free with adverts or $49 lifetime) to obtain 1 minute SP500 knowledge from Dukascopy.

3. I then use Interval Converter.mq4 script to show that 1 minute knowledge into M5, M15, M30 and H1.

4. I then put together Technique Tester settings.

Professional: Final Trailing Cease EA

Image: The image you need to check for. In my case, it’s SPX500.

Mannequin: It’s suggested to make use of Mannequin=EveryTick. Nevertheless, it may be a lot quicker to check on Mode=Open Costs Provided that your technique makes use of open costs.

Use Date: Modify date to the vary of the signalhistory.csv. In my case, it’s from March 1, 2022 to Nov 18, 2022.

Interval: Your most popular timeframe interval. I choose one thing low, like M1 or M5 or M15, to get extra correct outcomes.

4. Crucial. Disable the trailing stops of UTS by placing threshold out of attain, corresponding to Threshold in Pips or ATR=1000. At this level, you need to get one backtest that matches your downloaded sign historical past, so as to set up a baseline efficiency. When you’ve gotten the baseline efficiency, you may then put threshold again in attain and optimize completely different trailing stops within the Optimization stage.

5. Run Technique Tester by urgent Begin Button.

6. Confirm that the Outcomes kind of match your sign outcomes. Under is my Hero SP500 sign outcomes:

In my case, the above outcomes roughly match my commerce sign historical past for the final 9 months for Hero SP500:

As famous within the backtest, my sign’s baseline efficiency is: $781, 1.31 PF (176 trades), -435 DD, 4.44 Payoff.

This baseline efficiency is nice, however I need higher.

My objective is to see if I can enhance returns and scale back draw downs.

With this baseline efficiency readily available, I can see if including an optimized trailing cease to my sign will enhance its baseline efficiency.

Optimizing Sign Historical past: Instance: Interval/Multiplier of Chandelier Exit and Threshold in ATR

Ideally, one ought to check out all 16 trailing stops of Final Trailing Cease EA to see which one improves the baseline efficiency.

In my case, I’ve tried each one and found that Chandelier Exit has essentially the most promise.

After deciding on Trailing Cease Technique=Chandelier Exit, I’m going to optimize three parameters in two steps:

Chandelier ATR Interval and Chandelier Multiplier.
Threshold in ATR.

Optimization#1:

The important thing to any optimization is to determine what parameters have essentially the most influence. Figuring out sufficient about Chandelier Exit, I believe that essentially the most influence comes from Chandelier ATR Interval and Multiplier. I’ll preserve the defaults on Chandelier Vary (7), Shift (1), and Present Channel (true).

I’ll optimize:

Chandelier ATR Interval from 10 to 40, in step of 5

AND

Chandelier Multiplier from 3 to six, in step of 0.5

After I click on on Optimize button, I get the next outcome:

As you may see, I found that Chandelier Interval=30 and Chandelier ATR Multiplier=5.5 present one of the best outcome.

If I apply this optimization outcome, my sign has elevated in efficiency from:

Baseline:

$781, 1.31 PF (176 trades), -435 DD, 4.44 Payoff.

⬇️

Greatest Consequence of Optimization#1: Chandelier Interval=30 and Chandelier ATR Exit=5.5:

$855, 1.45 (176 trades), -283 DD, 4.86 Payoff. 🚀🚀

Optimization#1 improves returns by 9.5% and DD by by 35%.

I be sure that to enter these newly optimized values into these two parameters. I then deselect the checkmarks for these two packing containers and proceed to the following optimization.