Optimizer & Backtester Inputs


—Optimizer & Backtester Inputs— #

The next section is only for the MT4 Strategy tester backrests and optimizations.

Backtest/Optimization Position Size Method (default = Do not Use Backtest Position Sizing Modifiers (-1)): This input tells the EA to ignore the manually selected Position sizing methods and use instead the selected standardized positions size method.

This is useful when doing advanced optimizations and backtest between multiple assets as you can select the correct standardized position size. Or you can use it to test different position sizing methods and how they affect the strategy.

It is recommended to use fixed $ or fixed 1 Lot when you want to make a portfolio with multiple backtests and join them together.

These settings are only taken into account in the optimizer if you choose “Custom” on the Optimized parameter.

Custom Statistic To Use (default =  CAGR Over Average Draw Down [BCT-Propietary](3)): Here you can select the custom statistic that you want to use.

Annualized Return Over Average Draw Down [BCT-Propietary] (0)This is a non-compounding version of CAGR/ Average Draw Down.It is meant to be used in conjunction with the fixed lot and fixed $ risk backtests.

Watch: Using ‘Return / Max Drawdown’ and Normalized Profit Factor Performance Criteria
Annualized Return Over Average Peak Draw Down [BCT-Propietary] (1)This is similar to CAGR / Average Drawdown but it instead only evaluates the drawdown peaks and is best used in conjunction with “Sample every  Closed Trade (0)”.
Annualized Return Over Maximum Draw Down (2)This is a modification of the MAR Ratio used in the financial industry (Read more about it here), it is calculated by taking the total net return vs the maximum drawdown of the strategy. This gives a number that can be compared between different strategies with different risk levels in an objective way. In general the higher the number the better the result.
CAGR Over Average Draw Down [BCT-Propietary](3)This custom performance metric takes the draw-down % for every certain sample (selected in the next setting) and compares it to the CAGR of the strategy. This gives a good indication of how much reward a strategy gives for a given loss level over time.
This gives a number that can be compared between different strategies with different risk levels in an objective way. In general the higher the number the better the result.
Watch: Why Return/MEAN-Drawdown is a better measure of trading performance than MAX Drawdown
CAGR Over Average Peak Draw Down [BCT-Propietary] (4)This custom stat is a modification of CAGR / Average Drawdown but it instead only evaluates the drawdown peaks and is best used in conjunction with “Sample every  Closed Trade (0)”.This gives a number that can be compared between different strategies with different risk levels in an objective way. In general the higher the number the better the result.
CAGR Over Maximum Draw Down (5)This is a custom statistic that can be compared across many strategies even if no candle-by candle data is available. (its a simpler custom statistic than the previous ones) and it informs you of the relative reward of your strategy for a certain level of risk.
In other words, this gives you a metric of risk-adjusted return for your strategy or portfolio. This gives a number that can be compared between different strategies with different risk levels in an objective way. In general the higher the number the better the result.

 Sampling method for Avg DD (default = Sample every  M1 candle (1)): Select the sampling method for calculating the custom performance metric for backtests and optimizations.

Sample every  Closed Trade (0)Best for use with CAGR/Max DD or CAGR / Average Peak DrawDown.
Sample every  M1 candle (1)Best for day trading strategies and to get the most accurate Average drawdown values.
Sample every  H1 candle (2)Best for swing trading strategies.
Sample every  D1 candle (3)Best for position trading strategies.
Minimum Trades for valid stats (default = 60)
Minimum Win Rate (%) (default = 25)
Minimum R:R Ratio (default = 1)
Minimum Profit Factor (default = 1)

If any of the statistics for the backtest are below the minimums set on the inputs the Custom parameter that OnTester returns will be 0.

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