An Alternative View on the Third Week of ATC 2008

We continue analyzing intermediate results of the Automated Trading Championship 2008 Participants from different viewpoints. Here is a table with the results of the top ten Participants as of the end of the 3rd week.

This time we decided to estimate results from a new perspective. Watching the list of Participants, many ATC 2008 website visitors would like to know how many our Participants have earned in points. Calculation of results in points should give us an objective estimation of trading results, because this allows tracing influence of money and risk management systems.

Often traders discuss the point that even a loss-making system can be turned into a profitable one if a correct lot size management system is applied. However there is a contrary opinion: only a profitable system can be improved by a well chosen money management system, but a loss-making strategy cannot be helped.

It would be very interesting to estimate trading results in points, but Expert Advisors trade different currency pairs and each pair has its own point value in deposit currency. 1 point of EURUSD costs $1, and 1 point of EURGBP - £1 or approximately $1.70. That is why we consider it more convenient to calculate alternative results by normalized trades, i.e. trades executed with 0.1 lots. Besides, such trades eliminate the influence of risk and money management systems.

Imagine, the Championship Participants traded only the fixed volume of 0.1 lot. We have recalculated results of all trades for the top ten at 0.1 lots per each position and obtained the following results.

Fig. 1. Profit of top ten Participants recalculated at 0.1 lots per each trade.

In such a recalculation the leader is Gorez – $2 825.63. His Expert Advisors trades GBPJPY like the 3rd week leader amelabs, and has executed 12 trades, 9 of which were profitable. As for amelabs, his EA executed 15 trades and only 1 of them made loss.

The minimal profit is that of maximich ($304.48), who, however, is not the last of the ten how could be expected, but the seventh best in real rating. This is because the EA varied volume of positions opened.

Now let's see the relative drawdown.

Fig. 2. Maximal relative drawdown for normalized trades of ATC 2008 top ten Participants.

In this value the first one is the EA of adamoliberato – more than 5.4 %. This Expert Advisor trades three currency pairs and is still the only multicurrency EA in the top ten. Two Participants waddahattar and thezen haven't had loss trades at all, so their drawdown is 0%.

Minimal drawdown value is that of a Participant from Russia Gorez – 0.7 %. This result is intriguing and we decided to find out the drawdowns on MAE - Profits distribution chart in real trading.

Fig. 3. MAE – Profits distribution chart of Gorez.

Amazing, but it is almost perfect. The EA does not have long overwaiting of loss trades. And all trades are well positioned on the linear regression line which is the sign that the EA uses stops that are fixed in points.

Of course, we analyzed such an important parameter as the profit factor of the top ten Participants in the given conditions.

Fig. 4. Profit factor of top ten Participants for normalized trading results.

No wonder, the best profit factor value is that of Gorez. However, remember none of the ATC 2006 and 2007 finalists had such amazing profit factor. Perhaps, this Participant will have to experience substantial losses.

The minimal PF in this list is the value of maximich. It should be noted that this Participant from Russia has been on the first page since the Championship start and only a few times he left it. Time will show if he is able to preserve such stability.

And the last question we are interested in is the following: What would be the Equity of each Participant by the end of the 3rd week (19th October, 2008), if all they traded 0.1 lots?

Fig. 5. Top ten Participants' Equity for normalized trading results as of the 19 of October, 2008.

Once again Gorez has the best results; the next one is a Participant from the USA DCP ($ 11,740), and the third one is already known to us waddahattar from Syria ($11,635).

The main conclusion that can be made from this short review is that all Expert Advisors listed in the 3rd week's top ten are profitable when recalculating results of trade operations at 0.1 lots. We have got the confirmation that a correct money management system can substantially improve trading results of a profitable Expert Advisor. However, we did not manage to prove that a good money management system can save a loss making system. At least there are no such examples in the top ten. But we will continue our researches in this sphere.

Reporting the Third Week (13-19 October) The situation that appeared in the Forex market on the previous week had a negative impact upon competing Expert Advisors and the top ten has changed greatly.	Interview with Maxim Minenko (maximich) A solution must be unconventional, but very simple. I am absolutely convinced of that.
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