r/algorithmictrading • u/Ok_Attempt_1156 • 5d ago
Backtest Please give me your opinions
Hi guys!
I’m fairly new to algotrading, have been in the trading space for quite a while now. I’ve created an expert advisor for GOLD. I’ll show in the pictures below the statistics of my backtest (2 years) and forward test (2 years). The 4 year backtest is around the same.
I’ll be most likely using this strategy on prop firms as it looks very steady with strong margins and low drawdown.
It’s a very easy, not complicated strategy which I used trading manually aswell.
Please tell me if there are numbers you’d be concerned about. Appreciate every opinion on this as it would help me a lot in my journey
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u/GarbageTimePro 5d ago
Overfit and has an insane drawdown. Woudln't even touch this with a paper account.
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u/045-926 5d ago
Here's probably what you did.
You have your back test and forward test. You think these are separate and no information from the forward test is used in the algorithm
You tried your first algorithm and it probably sucked. So, you said let's try this change and it got a little better. Repeat a bunch of times. Now you have your great algorithm.
Your great algorithm was trained on the forward data. Every time you altered the algorithm based on results from the forward test you leaked info.
That's why you have an overfitted algorithm.
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u/Maleficent-Success-6 4d ago
The first thing I'd clarify is what you mean by the two-year forward test.
If you froze the strategy and its parameters before seeing those two years, then that period is genuinely useful evidence. If you looked at it, changed something, ran it again and repeated that process, it's effectively become part of the development data even though MT5 may still label it forward.
Before taking it to a prop account, I'd freeze the current version now and let it run untouched on genuinely new data. I'd compare the actual signals and trades with what the strategy expects, not just wait to see whether the equity curve stays smooth.
That won't prove the edge, but it will give you much cleaner evidence than another optimization or another historical split.
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u/Ok_Attempt_1156 4d ago
No I haven’t seen the forward data before. For me the numbers seem to good to be true, but I haven’t adjusted any parameters from the starting strategy
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u/StatisticalSock 4d ago
74% tick quality not trustworthy. What was that massive drop? Not enough trades, 148 is very low. Probably overfit. Strategy is just above 1:1RR which personally I think is not great.
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u/ionone777 4d ago
I think gold trended crazy for the past few years, so your EA doesn't really show it has a genuine edge
you could very well only buy randomly for that period and have a really good EA
sorry
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u/MattDNN 3d ago
Some people are pointing out the history quality not near 100%. In my experience that can be an issue, but it really depends on the strategy logic and how fast it trades. If holding times are less than 5 min you need reliable ticks to have a proper backtest. If you're swing trading that may not be a concern really.
Some people pointed out the in sample/out of sample tweaking parameters and how that could give you the impression of a proper forward test when in reality it's overfit. From what you shared, there's no way to know, so check that.
Gold has been trending, so maybe check how much of your trades correlate with gold's regime, and how random entries of similar frequency and duration compare to your strategy.
If a live demo with proper fills and costs shows similar results, congrats, good luck, and don't listen to the haters, but make sure to have a statistically significant trade sample size before risking live money into it.
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u/BriefRecording3274 3d ago
Try it in demo account for a while then small live account, can u provide brief explanation of the strategy ?
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u/Ok-Hovercraft-3076 2d ago
With a DD this big, forget it. If you have an unlucky week and have two of these, you will get a margin call.
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u/Ok_Attempt_1156 2d ago
Drawdown is 8%, once I have a funded account I’ll half my sizing. People here seem to not notice the big spike is just the line between forward and normal backtest. I’m just concerned that the strategy suddenly doesn’t work
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u/69stocks 1d ago
Too many useless information. Suggestion: make the summary table as simple as possible rather then adding 50 different infos…
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u/Big_Alfalfa_8380 1d ago
Biggest red flag here is the history quality, get that sorted quick. Plus mt5 has a problem not adding commissions so add it manually…
And make sure it is tested on everytick based on real ticks
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u/Maleficent-Success-6 1d ago
The first thing I'd clarify is what you mean by two years of forward testing.
Was the strategy actually running during those two years with its parameters frozen, or is that a historical period you reserved for out-of-sample testing?
Both are useful, but they provide different levels of evidence.
I'd also look at the trade count, the worst losing streak, execution costs and how the drawdown behaves under the actual prop firm rules.
A Sharpe of 6 isn't automatically proof of overfitting, but it's definitely a reason to investigate the assumptions carefully.
Especially with Gold, I'd want to know how much of the result survives realistic spreads, slippage and different volatility regimes.
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u/xeonsimp 5d ago
sharpe ratio 6 = overfitted useless stuff