Belkaglazer

Updated: Nov 3, 2020
No Comments

Belkaglazer

Profitable
Based on backtest and analysis
Platform:
MetaTrader 4, MetaTrader 5
Market place:
MetaTrader Market
Price:

499 USD

Latest tested version:
v1.999
Latest tested date:
Aug 14, 2020

Description from vendor:

Belkaglazer EA is a fully automated Expert Advisor for creating diverse long-term trading strategies in different markets: FOREX, FORTS, Crypto, Indices. It is designed for professional algorithmic traders.

Review

Live signals

Live signals: MQL5 Market, Myfxbook, Myfxbook Autotrade (offline: May 17, 2021)

Raw backtest results

The seller provides a very large number of setfiles on his own website. We have decided to make a small selection based on performance.

The backtest results can only be viewed properly on high resolution screens. Occurring various anomalies (e.g. missing ticks for specific time periods) in the backtest results were analyzed and removed with the Quant Analyzer 4 from StrategyQuant. Based on this analysis all further signal processing and statistical analysis were performed with Matlab from MathWorks.

Click on one of the tabs below to open the corresponding backtest.

Statistical analysis

The seller provides a very large number of setfiles on his own website. We have decided to make a small selection based on performance.

SetfileSortino RatioDownside DeviationIndependence Factor
0-Limit[MR][PCh][v1.900][NY_CloseTrading]_AUDNZD_M51.221.151
0-Limit[MR][PCh][v1.900][NY_CloseTrading]_EURUSD_M50.492.361
0-Limit[MR][PCh][v1.900][NY_CloseTrading]_GBPUSD_M51.631.781
0-Limit[MR][PCh][v1.900][NY_CloseTrading]_USDCAD_M50.970.90.54
0-Limit[MR][PCh][v1.900][NY_CloseTrading]_USDCHF_M51.410.751
0-Limit[MR][PCh][v1.999][NY_CloseTrading]_USDCAD_M5_(D)0.61.190.54
1-Stop[BR][PCh][v1.778][Daily_levels]_EURUSD_M30_L1_(ATR)0.623.61
1-Stop[BR][PCh][v1.818][Daily_levels]_BTCUSD_M30_L1_(ATR)0.761.521
2-Market[MR][PCh][v1.778][NY_CloseTrading]_USDCHF_M10.570.891
2-Market[MR][PCh][v1.787][LondonOpen]_EURUSD_M300.621.961
2-Market[MR][PCh][v1.900][NY_CloseTrading]_CHFJPY_M5_(B)0.751.741
3-Market[M][PA][v1.818][Impulse_Intraday]_BTCUSD_M603.631.411
3-Market[M][PA][v1.900][Impulse_Intraday]_EURUSD_M1_(60)1.632.431

Single setfiles / strategies

The two following figures show the single setfile or strategy results with unchanged performance results (left) and results modified taking into account the risk and independence factor (right). Due to the normalization the final balances in the right curve are irrelevant, what counts is that the balance sheets with higher risk and higher correlation are weighted lower.

Balance of single strategies - Belkaglazer
Balance of single strategies norm ind - Belkaglazer

Portfolio with all setfiles / strategies

The two following figures show the portfolio balance with unchanged performance results (left) and results modified taking into account the risk and independence factor (right). Due to the normalization the final balance of the right curve is irrelevant, what counts are the slightly smoother curve and the statistics.

Balance of portfolio - Belkaglazer
Balance of portfolio norm ind - Belkaglazer

Final statistical results of the portfolio

The factors show significant improvements by weighting each strategy. Very striking is the Sortino ratio, which increases by about 120%.

Portfolio related factors (on monthly basis)UnweightedWeightedImprovement
Sortino ratio5.011211.0886121.3 %
Return/Drawdown ratio53.287673.13937.3 %
Calmar ratio0.585580.8037337.3 %

Weighted: Downside Deviation and Independence factor

Traders Comments
Subscribe
Notify of
guest
0 Comments
Inline Feedbacks
View all comments

There will be moderation of all comments. Please also read our comment rules:

For open discussion, we reserve the right to delete any comment that is not directly on topic or has the sole purpose of disparaging readers or authors. We want people to communicate respectfully with each other, as if the discussion were with real people present. By submitting this form you agree to our Privacy Policy and the storage of your personal data.

Other Analyzed Expert Advisors

Menu
0
Would love your thoughts, please comment.x
()
x