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How to analyze backtested data?
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How to analyze backtested data?

  #1 (permalink)
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How to analyze backtested data?

Hello, I have developed an automated trading strategy that has shown good results in backtesting. I am trying to
do some additional analysis and possibly try to find any correlation but am a bit stuck for ideas.

I have the following data.

Average true range (in ticks)
Opening range size (in ticks)
Daily profit (in ticks)

Does anyone know how I can analyze the data? I have about 850 rows...Ideally I wanted to know if there is any correlation between average true range and opening range or opening range and profit or profit and average true range.

Any input will be appreciated.

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  #3 (permalink)
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las vegas
 
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Do you know how to use a spreadsheet? It's typically the best way to do this type of analysis, because you can quickly slice and dice without having to do a bunch of programming. If you don't have one, you can download a free one, e.g. open office. I can then help with the formulas.

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Yes, I know how to use spreadsheets. I am just not sure how to find correlation, if there is any. For example, I have

Column A B C D
ATR opening range Profit
15-Jan-12 20 8 8
27-Feb-11 40 21 24
11-Feb-13 70 50 -24
13-May-13 58 41 -81
12-Oct-12 70 44 -5
15-Jul-11 100 59 99

I am not sure how to approach this. Maybe there is no correlation and it's all random, but i would be interesting to find out

I am attaching an excerpt from my Excel as columns don't look very neat

Attached Files
Register to download File Type: xlsx opening range, ATR and profit.xlsx (43.3 KB, 16 views)

Last edited by anituchka; August 21st, 2013 at 02:35 AM. Reason: attached excel
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  #5 (permalink)
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anituchka's Avatar
 
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Yes, I know how to use spreadsheets. I am just not sure how to find correlation, if there is any. For example, I have

Column A B C D
ATR opening range Profit
15-Jan-12 20 8 8
27-Feb-11 40 21 24
11-Feb-13 70 50 -24
13-May-13 58 41 -81
12-Oct-12 70 44 -5
15-Jul-11 100 59 99

I am not sure how to approach this. Maybe there is no correlation and it's all random, but i would be interesting to find out

I am attaching an excerpt from my Excel as columns don't appear nice in my message.

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  #6 (permalink)
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You can make a simple line Chart with line studies. Then you can easily see if there is some correlation. If you want it more mathematically you can use the built in functions of excel. I highly recommend the book "Statistical Analysis: Microsoft Excel 2010".

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las vegas
 
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A couple things. You could simply sort by ATR and then average the last 50 or whatever points and graph that line. You could stratify the ATR and get the average for ATRs from 50-100, then 100-150, etc. Then you could look at the relationship of the change in ATR to the change in profit, for example if ATR doubles, does the profit double or typically increase a lesser percentage? Once in percentages you can also calculate the correlation coefficient.

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Trading Apprentice
bandung indonesia
 
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I think that testing the backtest data is not accurate, it will give different result when we trade in real/live account.
You just need to practice in demo and start trade in real using small balance first..

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  #9 (permalink)
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Regensburg, Germany
 
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Darwin's Avatar
 
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Hey

Perhaps this might be of interest regarding the current topic: w*w.bigmiketrading.com/forex-currency-trading/29419-why-backtests-useless-eas-flawed-their-parameters-bad-discuss.html (can not yet post links, sorry)


- Darwin

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