Testing and adaptation are the most important steps of creating strategies and automated trading systems. The latest development from the company StrategyQuant EA Analyzer is free analytical software for multivariate analysis of trading strategies and automated expert advisors on the basis of reports from the terminal MT4 strategy tester.

Testing of any software module that you want to use in your Forex trading should be done very carefully and on the quotes history of at least 2-3 years. EA Analyzer allows to analyze the performance of an expert advisor or trading strategy under various conditions: on various instruments or at night, at the opening of the market, or on Friday, as well as to simulate the quotes volatility randomly.

Analyzer module is designed as an easy to use tool, where you can freely download the report of the strategy tester from MetaTrader4 and perform calculations of advanced statistics, such as the Sharpe ratio, the periodic execution (hour, day, month, week), strategy or advisor operation in the real stagnation time and other parameters.

Installing and loading data of EA Analyzer

The program is absolutely free – to install, simply download the installation from the link http://www.strategyquant.com/eaanalyzer/. General view of the software shell:

For testing, you must load the report saved in *.htm format into the analyzer, obtained after processing in the MT4 strategy tester. EA Analyzer detects 4 formats of the report: 2 of its unique format of StrategyQuant products and 2 types of MT4 terminal reports – the report of the strategy tester (Strategy Report) and the report on actual transactions (Account History).

Main blocks of information of the analyzer

Almost immediately after the download, a full analysis of the history of the expert advisor is automatically performed.

The first group of data provides us with indicators of general statistics, the most significant of which are the total profit (in points and $), the average annual yield, profit factor, the total number and % of profitable deals, estimated and actual drawdown in $ and % from the balance, average profit: for the period (day, month, year) and per deal.

The second block contains additional information, where of the greatest interest are indicators of stagnation (the MT4 report lacks this data!).

The third group of data block is an ordinary trading report with the distribution over periods. This is followed by the analysis block with a list of all completed transactions, but, in contrast to the MT4 report, it contains additional information about the time of the position and the overall result of the cumulative total (in points, money, percentage).

The chart of available funds shows a period of stagnation (in days), the period of losses and drawdowns of the trading system. It can be shown for short/long deals separately.

The unique block “Analysis of trading” allows any window to display 24 types of histograms with different statistics, and the most important – the profit/loss for the period (hour, day, day of week).

This example shows that in 4 years of statistics, Monday and Tuesday were unprofitable, as well as deals open at 4, 6, 7, 10, 13, 19. Perhaps the greatest loss was brought by the night session (on the stock exchange in Sydney).

Script block, installation block and the Monte Carlo method in StrategyQuant EA Analyzer

And this is where the script block “What will happen if ...” is enabled. We can remove the operation during the Australian market from the calculation (AUD/CAD pair is reviewed in the example on the hourly period), and we get:

We get an alternative version of the report following the processing of the script.

If it is activated, it offers a detailed analysis – the same as the original version. But a careful analysis shows that the additional filter for this expert advisor (trading on certain hours) reduces the number of deals by 40%, but at the same time profit was increased by 29% while reducing the drawdown by 50%. We get a new chart of the available funds.

Only 309 unprofitable days were left from the original amount (421). That is, the use of the block of analysis makes it possible to improve the expert advisor and choose the best timing for trading.

In the settings box, you can change the background information on the initial deposit – just enter the amount and click «Recompute stat».

The block is called "Monte Carlo" after the center of the gambling business, but the free version of it, unfortunately, is cut down to the lowest capabilities – you can only get slightly acquainted. Monte Carlo method is the famous mathematical method for estimating the system according to the criteria of risk/stability – it assesses possible result at deviations in the trading system. It analyzes the reliability, the possible profit/drawdown and other parameters. If, for example, the system gives the ratio of profitable deals 60/40 at 10% drawdown, the program simulates the replacement of deals randomly, and you will be able to evaluate the result at the 30% drawdown.

That is, as a result of the calculation, there is a 95% probability of obtaining lower yields at higher drawdown, but still within reasonable limits.

The use of standard indicators

There is a feature available only in the commercial version, and for reference only in the free one. A special feature allows the possible effect from using the moving average (MA), Bollinger Bands (BB), Ichimoku Kjun-Sen and other indicators as a stop-loss, for which you can change the periods and immediately recalculate. That is, if you enter a stop-loss on standard indicator to an expert advisor, you can significantly improve the outcome.

And finally, the most interesting feature of the EA Analyzer program, which MT4 lacks, is the possibility of combining several expert advisors or trading strategies into one “software” trading portfolio in MT4. For example, we can take a few different currency pairs, load them into the analyzer, and after activation get a summary report with all the analysis functions listed above:

Information about the cross-correlation of the traded pairs and the number of concurrent deals in the portfolio is formed at a separate tab of the data table:

At the moment, apart from the well-known EA Analyzer 2.0.1, the 3.0.1 version is available in 32-bit and 64-bit version, as well as the free and commercial versions. 3.0.1 version requires much more technical resources, but contains some additional features, as well as supports more data formats for import.

For a software development of expert advisors/strategies and professional analysts, the prof. version of SQ EA AnalyzerProf is offered.

The EA Analyzer program is an essential tool for every trader with unique methods for the analysis of the statistics of real and demo accounts, and it helps you avoid mistakes in the development and application of automation of trading on the financial markets.