Evaluation of the trading system is based on an in-depth analysis of the Bektest unloaded from the trading platform. Principles of system analysis:
- Bektest’s analysis allows you to analyze the risk level of the application of the system (strategy, trading advisor) and assess the feasibility of using it on a real account;
- the testing period must be at least 6 months (at least 100-150 transactions);
- for graphical analysis, it is recommended to upload the Bektest to the trader’s diary;
- if you buy an adviser, be sure to request data from the MyFxBook monitor with the provision of trading access to your account. Bektest MT4 is easily faked, bekest monitor fake difficult, but it can be tied to a demo account.
Evaluation of the trading system according to MT4 Bektest
The effectiveness of the trading system is determined by the deposit curve (equity). Equity should be smoothly rising upwards without strong drawdowns and differences. A perfectly smooth curve – a sign of testing the system on a demo account, sharp rapid drawdowns, similar to a cardiogram – a sign of the Martingale. Below is an example of a Becktest unloaded from MT4.
Net profit. The difference between net profit and net loss. It serves for a general understanding of the effectiveness of the system, must be at least 20 points per month. Based on the parameter, the forward efficiency (WFE) is estimated, on the basis of which the decision is made to stop the system and optimize it.
Profitability. The ratio of net profit to net loss. Indirect parameter, estimated together with% of profitable trades and average value of drawdown. The optimal value is at least 2.
The total number of transactions. The bigger the better. For conservative strategies, testing can be 1-3 years (300-400 transactions), for averaging and Martingale 1-3 months.
The maximum number of continuous profitable and unprofitable positions. A parameter that not only allows you to evaluate the stability of the system, but is also a signal to stop the strategy for optimization.
The largest profitable (unprofitable) deal. The information parameter, however, a few large drawdowns (winnings) may turn out to be anomalies (accidents). If an anomaly is confirmed, such transactions are excluded from the analysis.
Maximum drawdown. A drawdown is considered to be up to 15%, but high risk systems can reach 40-50%. It is important to assess how quickly the system recovers after a drawdown.
Recovery Factor. The ratio of net income to the size of the maximum drawdown. The value must be more than 3, it is tied to the testing period, since the value should not exceed the permissible annual risk.
Summary. Evaluation of the trading system by these parameters will allow you to create at least a general idea of its stability. For in-depth analysis, the integral parameters of the failure probability, the ratio of the sum of the average income to the average loss, etc. are estimated. Any system gradually degrades and how to optimize trading systems and with what frequency we will tell in the next article.