Algonell - Scientific Trading
Algonell - Scientific Trading
  • Home
  • Education
  • Blog
  • About
    • About Us
    • Legal
  • Home
  • Education
  • Blog
  • About
    • About Us
    • Legal

About Trading and Data Science

A/B Testing in FOREX Trading

6/1/2017

2 Comments

 
Picture
A/B testing is a well known principle in Statistics for evaluating hypotheses. We are comparing two almost identical flows with a minor change in order to detect the perfect outcome. We can also apply A/B testing in the foreign exchange market for several aspects.

Let's begin with portfolio assessment. Suppose you are given two portfolios and you are looking for an investment. So how you decide which portfolio is perfect for you? A/B testing can help. You could invest a small amount in both of them and compare, or just follow the performance and evaluate the final profit. We can also evaluate two Expert Advisers for performance finally being able to choose the best one. To asses the volatility and robustness of a trading system, we can also evaluate the same algorithm on both Demo and Real accounts in parallel.

How to define a superior trading algorithm? Suppose you are given two trading algorithms A and B. You are given the black boxes without any hint on algorithm temperament. How do you evaluate the performance? Several metrics are extremely helpful. First we got profit factor: the relation of income and outcome. Second we got percentage of successful trades. Then we have ROI: return on investment. And finally Sharpe ratio: the risk of investment measurement.

Although those metrics can be mirrored and evaluated simultaneously, there is another way. Once again the A/B testing can help. We can back test the algorithms with a random split of the same historical data. Also multiple time frames for the same algorithm could lead to a better conclusion.
​
Explore and find your own interesting and unique A/B tests. Feel free to share them with us.
2 Comments
Fly with Anne link
1/12/2020 14:41:40

Thanks great bblog

Reply
West Bloomfield Township MILF link
1/2/2025 09:38:34

I enjooyed reading this

Reply



Leave a Reply.

    RSS Feed

Disclosure: Trading is Risky. There is a high level of risk involved with trading leveraged products. Past performance is not an indicator of future results.
Traders may not recover the full amount invested. All trading signals are our own ideas and not a solicitation to buy or sell any security.
Copyright © Algonell - Scientific Trading