Multicurrency Expert Advisors at the Automated Trading Championships

One of MQL4's advantages is the fact that it allows users to trade all available symbols shown in the Market Watch window. Expert Advisors usually trade only one currency pair - the one, to the chart of which they are attached. However, there are EAs that trade several symbols simultaneously. We call such programs multicurrency Expert Advisors.

The Championship Rules allow trading 12 currency pairs. This is why it is no wonder that multicurrency EAs were submitted for participation in the previous Championships. They were represented in smaller amounts than single-currency ones, though. In this article, we will consider multicurrency EAs that participated in the Championships of 2006/2007.

What Are Multicurrency Expert Advisors For?

It will be recalled that the Rules allow only one EA from one Participant of the Championship. This EA must be launched on only one specified chart. So, if a trading system requires making trades on several currency pairs, you should independently specify the names of these symbols in your code.

What are the reasons for trading several currency pairs simultaneously? The answer is very simple: diversification. By diversification is initially meant the diversification of risks that accompany speculations on financial markets.

Even the most profitable trading system experiences drawdowns that cause gradual decreasing the account deposit. If a system is really profitable, the situation will better sooner or later and the amount on the account will start growing again.

Fig. 1. Trading capital movements during a series of trades.

The drawdown periods themselves are very unpleasant and impose some limitations on the risk considered for each trade. Considering that fact that there can be both profitable and losing series of trades, one has to restrict the volumes of positions to be opened. Otherwise, the series of losing trades will kick you out of the game before you continue realizing your advantage.

However, if you find a number of trading strategies that would mutually compensate the drawdowns, then the curve of your trading capital will become smoother, which means the risk it is exposed to will decrease. It means that losing trades on one trading system will be neutralized by winning trades on the other one.

There are several types of diversification. Type one: One trading system is used on several symbols (markets). In this case, the symbols themselves must not correlate.

Type two: Several trading systems trade one symbol simultaneously. In this case, the systems themselves must have the minimal correlation between them. Otherwise, a series of losing trades on one system will be worsened by the series of losing trades on the other system(s).

All other types of diversification are more or less combinations of the two above ones. MQL4 allows you to realize any kind of diversification in the code of one Expert Advisor.

Multicurrency Expert Advisors in ATC 2006

The first Automated Trading Championship was in all respects really the first one. This includes the experience in creation of multicurrency EAs. There were no guidelines both in the direction of choosing the strategy that would win and in what currency pairs should be chosen for such trading.

Totally 258 Participants were admitted to Championship 2006, only 14 of them (5.42%) having submitted multicurrency EAs.

Table 1. Participants of the Automated Trading Championship 2006, which traded several symbols.

As you can see from Table 1, of 14 multicurrency EAs only three completed their participation with profits. In column 'Symbols', you can see the number of symbols traded by the Participant's EA, while in the column 'Trades' you can see the number of trades made.

The conclusion is obvious: The percentage of multicurrency EAs that finished the contest with profits is not very large and doesn't exceed the average performance. It means that using multicurrency Expert Advisors didn't provide their authors with any advantages. Profitable multicurrency EAs make 21% (3/14*100%), although we should be very careful using the term of 'percentage' for such small figures. Profitable single-currency EAs make 16.6% (40 EAs of 244). So the first Automated Trading Championship was used by the developers of multicurrency EAs as an opportunity to test in the real-time mode how complex systems that trade several currency pairs simultaneously will behave during a long period of time.

Automated Trading Championship 2007

The Championship of 2007 was surprising by both its greater amount of Participants and the growth in the number of multicurrency EAs participating in it. During the year that had elapsed since the first Championship, various aspects of developing and using automated trading systems were vividly discussed on forums. Eventually, the general level of programming in MQL4 improved.

At ATC 2007, we observed 45 multicurrency EAs, or 7.46% of the total amount of 603 Participants. Thus, the number of multicurrency EAs became obviously higher. It will be recalled that there were just above 5% a year before. However, in terms of statistical accuracy, we can say that the percentage of multicurrency EAs remained at the same level.

The very first conclusion we made having looked at the list of the Participants of ATC 2007 who had submitted multicurrency EAs was that only two Participants of ATC 2006 had had a shot to win with a multicurrency EA. These Participants were cplayer and Pinch.

The other 12 Participants had either changed for the systems trading only one currency pair (6 Participants) or canceled participating for some reasons (6 Participants, as well).

Thus, most of those participating in the first Championship with a multicurrency EA preferred to go in for the second Championship with an EA that traded a single currency pair. Among them were the Winner of ATC 2007, Better, and the Participant nicked dogada, who had taken the 15th place.

In total, 6 multicurrency EAs of 45 (13.3%) finished the Championship with profits. There were 85 profitable single-currency EAs, or 15.23% of the total amount of 558. Thus, the profitability of multicurrency and single-currency EAs is practically the same.

Table 2. Participants of the Automated Trading Championship 2007, who traded several symbols simultaneously and finished with profits.

However, the EAs of only two Participants (AlexanderD and SolarTrader) made more than 30 trades for these results to be considered as statistically valid. The results of other 4 Participants don't allow us to make any conclusions about their stable profits due to small amount of trades made.

Dependence of Anticipated Profit on the Number of Symbols Traded

Let's also consider the dependence of EA profitability on the number of symbols traded.

Fig. 2. Diagram showing the trading results of Participants of ATC 2007 on several currency pairs.

The red line shows the linear regression based on the given points. You can see the negative slope of the line. This points to the fact that the profit probability decreases with the growth of the number of currency pairs traded.

What is behind these results? In our opinion, creating a simple profitable EA itself is a challenge. Due to the fact that all currency pairs more or less correlate, it becomes a very non-trivial task to find a trading system that could be applied to several currency pairs simultaneously.

Overall Conclusions

1. Profitability does not depend on the tactic chosen - whether to trade only one currency pair or several symbols. In both cases, the percentage of profitable EAs is practically the same.

2. Although the must not be any correlation in theory, the statistics shows that the profitability of an EA falls with the growth in the amount of traded symbols. There are exceptions, though.

3. Creating a profitable multicurrency EA is a very complicated problem, perhaps much more complicated than creating a standard one. If you manage to solve this problem, this will produce an extra advantage - the risk mitigation. However, so far, we can only observe the limited achievements in this field. Let's hope that the developers of multicurrency Expert Advisors will submit rather serious and profitable developments this year.

Interview with Thomas Bopp In my view, we could see a new trend between the beginning and the end of the competition. So, a good EA has to change from one trading style to another to succeed. Last year we had a strong uptrend and trend following was the word.	Testing and Optimizing Expert Advisors We decided to draw your attention to this problem once again and asked well-known Expert Advisors writer for sharing their experiences in this field.
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