Quantitative Evaluation of Dynamic Fibo Scalper: Evaluating Returns with Fibonacci Ranges and Monte Carlo Simulations
In our earlier publish, we explored the important thing options, basic settings, and performance of the “Dynamic Fibo Scalper EA,” offering examples of dwell trades on US30 and Nasdaq. Now, we’ll dive into an in-depth quantitative evaluation, sharing the outcomes of 5 years of backtesting . We’ll evaluate two methods based mostly on the identical Fibonacci ranges and decide which method works greatest for us…
The primary technique (A) includes:
Buy_Level4: Shopping for after a breakout above Stage 4 (61.8%). Sell_Level2: Promoting after a breakdown under Stage 2 (38.2%).
The second technique (B) is solely the reverse of technique A:
Buy_Level2: Shopping for after a breakout above Stage 2 (38.2%). Sell_Level4: Promoting after a breakdown under Stage 4 (61.8%).
On this publish, we’ll current the backtesting outcomes and evaluation for the Nasdaq (US100) utilizing the M5 timeframe. That is the parameters utilized for the evaluation.
Efficiency Metrics :
Technique A considerably outperforms Technique B when it comes to internet revenue. Technique A executes greater than twice the variety of trades in comparison with Technique B. Technique B has a barely greater win fee than Technique A. Technique B has a greater revenue issue, indicating that its profitable trades are extra worthwhile relative to its shedding trades. Technique B has a considerably decrease drawdown, making it much less dangerous in comparison with Technique A. Technique A demonstrates a stability between lengthy and brief trades, whereas Technique B reveals a choice for extra lengthy orders than brief ones. Technique A delivers a a lot greater annual return in comparison with Technique B Technique B is barely extra secure than Technique A, reflecting extra constant efficiency.
Fairness Curve Evaluation :
Technique A demonstrates a steeper and extra constant development in fairness over time, reflecting its greater profitability. Technique A is extra aggressive, attaining greater income and annual returns however at the price of elevated drawdown and decrease stability. Technique B, whereas exhibiting slower development, maintains a smoother curve with much less fluctuation, aligning with its decrease drawdown and better stability. Technique B is extra conservative, with decrease income and returns however higher threat administration and consistency.
Month-to-month Efficiency :
Technique A displays extra detrimental month-to-month performances in comparison with Technique B. Nevertheless, each methods reveal sturdy restoration and spectacular efficiency in later years, notably in 2022, 2023, and 2024, with constant constructive returns.
Monte Carlo Simulations : Greatest and Worst Situations
Monte Carlo evaluation is a robust approach used to estimate the chance and profitability of buying and selling methods with larger realism. By operating a number of simulations with small random variations, it helps consider the robustness of a method, predict anticipated revenue and drawdown, and decide whether or not the technique is appropriate for dwell buying and selling. This methodology supplies invaluable insights into the perfect and worst-case situations, enabling merchants to raised put together for market uncertainties and make knowledgeable choices about technique efficiency and threat administration.
In our case, we’ll evaluate the unique outcomes of each methods A and B with their potential worst-case situations…
We are going to run a 1000 simulations utilizing Precise randomization and 5% trades missed to find out extra real looking drawdown and revenue expectations.
The 95% confidence degree means there may be solely a 5% likelihood that outcomes can be worse than these simulated (96 to 100%). We are going to now evaluate the unique outcomes with these introduced at this confidence degree.
Technique A
Drawdown : The Max DD at our 95% confidence degree is 2.48 instances decrease than the unique, indicating that the technique is predicted to carry out effectively in most situations. Web Revenue : Reaching a 238.07% revenue over 5 years by buying and selling a single market remains to be a powerful efficiency. The $1,000 distinction in comparison with the unique degree is comparatively minor and doesn’t considerably diminish the general success of the technique.
Technique B
Drawdown : The Max DD at our 95% confidence degree is 1.28 instances decrease than the unique, indicating that the technique is predicted to carry out effectively in most situations. This technique is extra conservative ( The worst-case state of affairs, which has a 5% chance of occurring, is experiencing a most drawdown of three.21% ). Web Revenue : Reaching a 129.68% revenue over 5 years by buying and selling a single market remains to be a great efficiency for a 5K cap.
Conclusion
The selection between Technique A and Technique B finally is determined by the dealer’s particular person threat tolerance and funding targets. Technique A is right for these prioritizing greater income and are keen to simply accept larger threat and variability. Alternatively, Technique B provides a extra conservative method, specializing in diminished threat and constant stability.
In our subsequent publish, we’ll dive deeper into the evaluation, discover extra insights, and talk about potential enhancements to boost the efficiency of those methods. Keep tuned!
