A Reflection on Cash Administration in EA Portfolio Evaluation
EA : Zyra
Throughout my latest checks on Zyra EA, I aimed to delve deeper into the evaluation of my methods on 7 main forex pairs utilizing Quant Analyzer. Right here is the method I initially adopted, together with the corrections I needed to make upon reflection.
Step 1: Particular person Simulations for Every Forex Pair
I carried out simulations for the next forex pairs:
EURUSD, AUDUSD, GBPUSD, USDCHF, USDCAD, USDJPY, and NZDUSD, all on the H1 timeframe between 2005 and 2025, with an preliminary capital of $5,000. The parameters used for every simulation had been as follows:
- Variety of EA in identical time = 7
- Threat % = 50%
This represented a danger of roughly 0.714% per commerce, comparable to the distribution of danger throughout 7 methods.
Step 2: Making a Portfolio in Quant Analyzer
As soon as the 7 particular person simulations had been accomplished, I used Quant Analyzer to create a mixed portfolio from the outcomes. I then immediately extracted the portfolio’s displayed efficiency to provide my preliminary screenshots.
Nevertheless, upon additional reflection, one thing didn’t appear proper. The outcomes appeared incorrect, and an vital query arose: was world cash administration correctly utilized on the portfolio degree?
Step 3: Figuring out the Error
Upon deeper testing, I spotted there was a methodological error:
The portfolio was displaying outcomes based mostly on the preliminary lot sizes from every particular person backtest. Nevertheless, in an actual state of affairs, every commerce within the portfolio ought to recalculate the lot dimension based mostly on the evolving world capital to mirror correct cash administration.
Step 4: Correction with Quant Analyzer
To appropriate this, I used the Cash Administration Simulation instrument in Quant Analyzer. Right here’s what this step achieved:
- Recalculated every commerce within the portfolio, dynamically adjusting the lot sizes based mostly on the worldwide capital.
- Utilized the precise danger of 0.714% per commerce to all transactions, accounting for capital modifications after every commerce.
The corrected end result was very totally different from the preliminary evaluation. This demonstrates how essential world cash administration is when evaluating an EA’s efficiency.
Earlier than
After
The whole revenue shifts from $87,000 to $12,000,000.
Conclusion
This expertise highlights the significance of verifying every step of research, particularly when simulating complicated portfolios with a number of methods. An error within the software of cash administration can distort conclusions and result in suboptimal selections.
For those who’d wish to delve deeper into this technique or have questions on utilizing Quant Analyzer for cash administration, be happy to share your experiences within the feedback!
