Posts Tagged ‘metatrader’
Gomega GBPJPY Back Tests Good – Live Results Even Better
June 1st, 2009
The back tests on Gomega are good but the live results are even better. While I’m not a big fan of back tests, simply because the amount of data available for the EA to work on, is minimal at only around 1% to 2% of the original live tick data. And even when using the 1 minute time frame for the data source, each tick is an average of the 50 to 100 ticks that may have existed in real time. In other words, back tests are a poor facsimile of live trading.
So how did Gomega GBPJPY perform in the back test? I ran the test across the same time period that we have live results for. Which is from October 5th 2008 through to April 10 2009. Starting with an account size of $5000, the Gomega GBPJPY back test finished with a closing balance of $8174 or a gain of 63%. This compares well to the live results from Gomega clients. Andreas Maeder’s account began live trading on September 2nd 2008 with a starting balance $10,000. And by April 6, 2009, the balance stood at $19,909.24. A gain of 99% for the 7 months. You can see Andreas, from Switzerland, talk about his experience trading with Gomega and the settings he is using. Sean Hummel ran a $5000 demo account over the same period which reached at closing balance of $14,608.67 by April 3rd, that’s a gain of 192%. And Greg Surowiec traded a live money account starting in October 5th, 2005 with $5000, by April 10th it had reached $12,811.01 or a gain of 156%.
Here I’ve taken the back test result chart and superimposed it over the live result charts (Sean, Greg). I’ve color coded the balance curves to make it easier to compare the results. The blue line is the live money account, the green line is the forward demo test and the orange is the back test results.
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Gomega Xray in Action
May 30th, 2009
Just thought I’d make a quick video to show Gomega Xray in action. Gomega Xray closed the week with a balance of $6980.77, which is slightly off its high of last week. However just looking at balance is somewhat misleading, as there are many trades that were still open at the close of trading for the week. I believe the more relevant number to look at, is the equity balance, which currently stands at $8059.24. After all, if I were to have manually closed out all the trades then this would be the approximate account balance.
It is unfortunate that the Metatrader platform isn’t able to include the equity balance in it’s detailed report. This, along with the account balance, would give a much better representation of the trading performance.
To illustrate my point I’ve decided to plot onto the chart produced by Metatrader, the equity balance at the end of each week. Each red dot represents the current equity balance at the end of each week. The green line is simply to illustrate an approximate equity balance curve. Of course the only equity balance data I have, is from the detailed reports Metatrader has generated and I’ve only been generating those once per week. It would be nice if there were a plugin for Metatrader that could log the equity balance and produce a nice graph with the click of a button.
You will notice that the red dots are not evenly spaced, this is because Metatrader plots the horizontal axis on a per trade closed scale, not on a unified time scale. So the distance between the 5th and 6th red dot from the left, is just one week. That is the week before last week, which was a very active week for Gomega Xray. It was during that week, that the massive disparity between the account balance and the equity balance became glaringly obvious. While the account balance was in decline for much of the week, the equity balance was flux but generally rising. Which would suggest the equity balance is a fairly good indicator of the future account position. This also makes sense as the equity balance includes the current open trades, many of which are likely to be closing in on their profit targets.
Of course having Gomega Xray trading right in front of you, its easy to see this phenomenon in action. Which is what initially motivated me to make the above video.
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