Analysis of the Venzo EA.
Table of Contents
Introduction.
For this analysis I will take the 2 tutorials, I made for this purpose. There will also be additional criteria that I did not put on the tutorials, because they are not important.
Analysis Criterion and Strategy test analysis.
I would like to emphasise that it is your responsibility to purchase the product, you will have 7 days to withdraw and be reimbursed. Gains and losses are not the author’s responsibility, all the criteria to avoid a bad decision are present, it’s up to you to be careful.
As explained in my tutorial, I will start by preparing my backtest on the Metatrader 5 software by downloading the demo.
To do my tests, I will use these parameters and I will do 3 tests over periods that seem to come back often. The trading systems will be tested over the entire market period, from 2010 to today and from 2015 to today. These time units come back regularly and I think it is good to compare certain criteria over several periods to avoid that the trading system is optimised for one period.
Test results EURUSD
A colour code for the following will make it possible to differentiate these 3 periods.
You can find the 3 graphs and their 3 backtest reports below.
Opening the image in a new tab will allow you to zoom in on the image and see all the analyses that will follow.
Entire history
Colour code : #000000
FYI, I did the same test with real ticks and here is the result.
2010.01.01 to 2022.12.27
Colour code : #0514FB
2015.01.01 to 2022.12.27
Colour code : #8000F9
Test results USDJPY
Entire
Colour code : #000000
2010.01.01 to 2022.12.27
Colour code : #0514FB
2015.01.01 to 2022.12.27
Colour code : #8000F9
Analysis criterion
During the test the curves do not present a martingale or grid type strategy. However a trading account is required for hedging.
We note that each open position has an SL and a TP systematically and that the ratio between the SL and TP is greater than 1, which means that each strategy aims to earn more than what is risky.
We can see in the inputs parameters allowing managing the size of the positions to risk a percentage of the capital and no more.
Strategy test analysis
I’m going to use the strategy analysis tutorial to analyse where the strategy fits in the outcome criteria.
Average Win / Loss
You just need to have a ratio between the average win divide the average losers.
This reflects the risk of each position, in general one wishes to gain more than one has risk.
EURUSD:
0.44 = 1.14$ / 2.58$
0.44 = 1.12$ / 2.52$
0.54 = 2.32$ / 4.26$
USDJPY:
0.68 = 146$ / 212$
0.46 = 2.13$ / 4.60$
0.51 = 2.05$ / 4.01$
Conclusion Average
For all periods, each position has a risk reward of less than 1. This means that we risk losing more than we wish to gain…
Profit Factor
EURUSD
Profit Factor = 1.23
A ratio between 1.25 and 1.75 represents a mark of minimum security, but will not be able to support the various expenses over the years and transactions (brokers’ commission, platform fees, taxes, bank commission, data expenses Steps…)
Profit Factor = 1.24
A ratio between 1.25 and 1.75 represents a mark of minimum security, but will not be able to support the various expenses over the years and transactions (brokers’ commission, platform fees, taxes, bank commission, data expenses Steps…)
Profit Factor = 1.45
A ratio between 1.25 and 1.75 represents a mark of minimum security, but will not be able to support the various expenses over the years and transactions (brokers’ commission, platform fees, taxes, bank commission, data expenses Steps…)
USDJPY
Profit Factor = 2.05
is the minimum to have if you want to survive in the financial markets.
Profit Factor = 1.36
A ratio between 1.25 and 1.75 represents a mark of minimum security, but will not be able to support the various expenses over the years and transactions (brokers’ commission, platform fees, taxes, bank commission, data expenses Steps…)
Profit Factor = 1.41
A ratio between 1.25 and 1.75 represents a mark of minimum security, but will not be able to support the various expenses over the years and transactions (brokers’ commission, platform fees, taxes, bank commission, data expenses Steps…)
Conclusion Profit Factor
There is just the entire period of USDJPY which has a correct profit factor. The rest requires optimisation to have a better profit factor.
Recovery Factor
EURUSD
Recovery factor = 3.01 is better to update it, since its stability is questionable.
Recovery Factor = 3.75 is better to update it, since its stability is questionable.
Recovery Factor = 5.34 is better to update it, since its stability is questionable.
USDJPY
Recovery factor = 9.16 is better to update it, since its stability is questionable.
Recovery Factor = 6.84 is better to update it, since its stability is questionable.
Recovery Factor = 8.10 is better to update it, since its stability is questionable.
Conclusion Recovery Factor
Is better to update it, since its stability is questionable.
Sharpe Ratio
EURUSD
Sharpe Ratio = 2.98 this can mean that the risk pays off and that the portfolio/strategy can show results. Good.
Sharpe Ratio = 3.08 a high value indicates that the probability of obtaining a loss in each particular deal is very low. Very good.
Sharpe Ratio = 6.53 a high value indicates that the probability of obtaining a loss in each particular deal is very low. Very good.
USDJPY
Sharpe Ratio = 7.66 a high value indicates that the probability of obtaining a loss in each particular deal is very low. Very good..
Sharpe Ratio = 7.61 a high value indicates that the probability of obtaining a loss in each particular deal is very low. Very good.
Sharpe Ratio = 6.87 a high value indicates that the probability of obtaining a loss in each particular deal is very low. Very good.
Conclusion Sharpe Ratio
For all periods the sharpe ratio shows very good risk management.
Conclusion
It’s a pity that the Risk reward is less than 1. A little weak on the Profit factor and the Recovery Factor but the Sharpe Ratio is excellent!
All the time in the tests we see that there has been an optimization since 2019! before 2019 the behavior is not ideal.
There is no presence of Grid or Martingale.