BelkaMiner

Updated: Nov 18, 2020
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BelkaMiner

Profitable
Based on backtest and analysis

User Rating:

3 (2 ratings)
Platform:
MetaTrader 4, MetaTrader 5
Market place:
MetaTrader Market
Price:

229 USD

Latest tested version:
v1.192
Latest tested date:
Jun 4, 2020

Description from vendor:

BelkaMiner is a fully automated breakout/momentum/reversal trading system (platform) based on Neural Networks and the most well-known clustering algorithm that is used for unsupervised Machine Learning and statistical data analysis (Data Mining).

Review

Live signals

Live signals from the vendor
  • MQL5 Market (https://www.mql5.com/en/signals/690315, offline since June 5, 2021)
  • Myfxbook
large - BelkaMiner
Live signals from FOREX [decrypted] (for analysis only)
large - BelkaMiner

Raw backtest results

The original set files provided by the seller were used.

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

SetfileSortino RatioDownside DeviationIndependence Factor
Default_EURUSD_M51.71.671
IntradayScalper[Reversal][CL][1.001]_EURUSD_M150.173.811
Momo[Momentum][CL][1.002]_GBPUSD_M50.374.651
Momo[Momentum][CL][1.005]_EURUSD_M51.191.990.58
Momo[Momentum][CL][1.006]_EURUSD_M51.022.540.58
Revergy[Reversal][CL][1.001]_EURUSD_M50.572.421
Revergy[Reversal][CL][1.001]_GBPUSD_M5_(A)0.553.81
Revergy[Reversal][CL][1.003]_EURUSD_M151.132.030.69
Revergy[Reversal][CL][1.004]_EURUSD_M150.912.160.69

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.

belkaminer balance single strategies - BelkaMiner
belkaminer balance single strategies norm ind - BelkaMiner

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.

belkaminer balance portfolio - BelkaMiner
belkaminer balance portfolio norm ind - BelkaMiner

Final statistical results of the portfolio

The optimization shows an improvement of the Sortino ratio by about 16%. The other parameters have slightly deteriorated. This is not surprising, because it seems that some strategies show a much better performance regarding these parameters. The weighting of these strategies is now reassessed by applying the downside deviation within the portfolio and adjusted accordingly.

The strategies are still relatively new and must therefore be observed with regard to their live performance and tested again in the foreseeable future.

Portfolio related factors (on monthly basis)UnweightedWeightedImprovement
Sortino ratio3.39093.941616.24 %
Return/Drawdown ratio32.63930.7471-5.80 %
Calmar ratio0.319990.30144-5.80 %

Weighted: Downside Deviation and Independence factor

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