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Alternative Review of the Fourth Week's ResultsIn our usual analysis we describe leading ten Expert Advisors. This time we decided to change our approach and prepared the analysis of absolutely all Expert Advisors participating in the Automated Trading Championship 2008. Last week we tried to estimate results of the top ten on the basis of normalized trades. This time we recalculated trading results of all Participants: all profits and losses of executed trades were recalculated supposing EAs traded 0.1 lots per a trade. As it was stated earlier, this is done for a complete elimination of the influence of risk and money management systems. After recalculation we obtained each Participant's Balance and Equity values based on normalized trades. After that we made up a mini-rating of Participants according to obtained Equity values to see who would be in the top ten by the results of normalized trades. The new table has almost nothing in common with the real top ten of Participants. Only one leading Participant is included into the new table – Gorez.
Gorez is on the first place in this table based on recalculated values with Equity equal to $20,219. It is explained by the fact that Gorez always opened positions of the same size - 1 lot, while other top ten Participants opened positions of larger volumes. According to Balance value the first place would be occupied by solandr whose fixed profit on normalized trades would be $15 517. One more interesting fact is that the alternative top ten containы three multicurrency Expert Advisors that trade two or more symbols: Participants notused, Hendrick and solandr. This is really unexpected, because multicurrency EAs rarely appear in our reports.
Besides, we see that all one-currency EAs owe their success to the pair GBPJPY. This currency pair has fallen since the Championship start almost by 5,000 points, 2,000 of which were passed on Friday, October 24th, 2008. The only exception is the Participant kotegh who trades EURUSD and is on the 8th place of our mini-rating. We can conclude that success often depends on a correctly chosen symbol or market. Winners of previous Championships did not trade such a "bulky" pair as GBPJPY. Having risen to the top one can easily fall the same quickly. We will soon see, whether four week's leaders can stay on their current positions. Created: 2008.10.31 Author: Rosh
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1 Rosh wrote:
Can you say me a reason for this calculations? I'm quite sure that the risk is same and does not depends from Symbol which we trade on. Well, I can surely try. ;-) The problem discussed in this thread here is that 0.1 lot EURSD is different from 0.1 lot GBPJPY with respect to the amount of money (in USD) that is put at risk in a trade. Therefore, the final results cannot (really) be compared. If you normalize all trades on a certain amount of money in the account's currency (USD in our case) you will get comparable figures. I'm aware of the fact that taking 100 USD per trade will result in lot sizes that you cannot actually trade, but for the sake of this comparison that's not an issue. Essentially, in normalizing on the amount of USD per trade, you would be implementing the FPI ring calculation that stitch was referring to in his original post. I hope this clarifies my thoughts on this subject! Cheers! Plymo wrote:
Couldn't you normalize on the amount of money traded instead of a lot size? E.g.: each trade with 100 USD instead of 0.1 lots? I think you will have the normalization of results we are looking for here. Cheers! Can you say me a reason for this calculations? I'm quite sure that the risk is same and does not depends from Symbol which we trade on. 2008.11.03 18:09
Rosh wrote:
No, I don't know how many points won each expert, I only calculated all trade returns (profits/losses and swaps) as 0.1 lots on every tarde. Thats all. There is not perfect estimate in this imperfect world in my opinion. Couldn't you normalize on the amount of money traded instead of a lot size? E.g.: each trade with 100 USD instead of 0.1 lots? I think you will have the normalization of results we are looking for here. Cheers! stitch wrote:
If you did already this type of calculus, well... the story ends here. Good job. No, I don't know how many points won each expert, I only calculated all trade returns (profits/losses and swaps) as 0.1 lots on every tarde. Thats all. There is not perfect estimate in this imperfect world in my opinion. 2008.11.03 17:11
stitch wrote:
trader A won 2000 JPH (20000 JPY) sorry, typo, 200000 JPY Rosh wrote:
All calculations in this report for mini-Equity and mini-Balance was made in EURUSD but not in pips. Is it clear? Well.... that is a different story! This is the Rosh I like :D I just want to be sure that you avoided the situations presented in the next two examples: Example 1: Trader A is trading EURUSD, and trader B is trading GBPUSD. They both trade in 0.1 lots, and the both make the same profit in pips, like 2000 pips. After all, they both managed to raise their ballance with 2000 pips at 1 USD per pip, i.e. 2000 USD. They would be both in the top on the first position (let's imagine), but at the end, this is not fair, because first trader traded 0.1 lots of EUR, but the second one traded 0.1 lots of GBP, that is (for a quote of EURGBP=0.7983 as it is now) the second trader traded 25.26% more money. It won't be fair. Example 2: Trader A traded 0.1 lots of GBPJPY only, and trader B traded 0.1 lots of GBPUSD only. They both traded in fact EXACTLY the same amount of money (10k GBP) and suppose they both made exactly the same amount of pips, i.e. 2000 pips. But at the end of the story, trader A won 2000 JPH (20000 JPY) and it is in top with about 2028 USD more in balance (because 1 USD = 0.9860 JPH), but the trader B won only 2000 USD, and he did not make it to the top. Is it fair? Is hid fault that USD is less valuable then JPY? With a normalized calculus, trader B would have been won 2028 pips of USD, and trader A would have been won 2000 pips of JPH, gaving them exactly the same equity at the end, that would be fair. If you did already this type of calculus, well... the story ends here. Good job. stitch wrote:
I just proposed a way to "normalize" everything to (for example) EURUSD, as being the most traded pair (in real trading). All calculations in this report for mini-Equity and mini-Balance was made in EURUSD but not in pips. Is it clear? 2008.11.03 16:39
Forgot the most important thing: for a really normalized profit, Hendrick would be the best, from far away, as he is trading also pairs with low-value-base currency, as AUD or so. He he he, I've bet on him! :P Rosh wrote:
You also can view GBPJPY as JPYGBP. We have GBPJPY for 190.00 - 139.00 ~ 5100 pips in one hand. But on other hand we have for GBPJPY 1/190 - 1/139 = 0.005263 - 0.007194 ~ 2000 pips. You wrote GBPJPY second time instead of JPYGBP, but I got the idea. Now you begin to undestand :P Yes, of course, you can see the pair viceversa, but in this case none of the competitors listed in the tables would be there :D. Because in this case, your "normalized" 0.1 lots means 10k JPH (wher 1 JPH=100 JPY, I just made it up to cover the digit difference for JPY pairs, H stands for "hundred"), that is much lower then 10k GBP. Because you always trade the base currency, using the tail currency as a "money" to pay for it. All your profit/lose (in pips) is in "tail-currency-pips". And trading JPHGBP (at a course of 0.5263-0.7194) with 0.1 lots, then you will make about 2 times less "normalized profit" then trading GBPJPY (or GBPJPH). Because 0.1 lots of JPH is 2 times less then 0.1 lots of GBP. None of the traders mentioned above in your list would be in the list when they trade 0.1 lots of JPHGBP! I just proposed a way to "normalize" everything to (for example) EURUSD, as being the most traded pair (in real trading). Of course, any other solution is ok, as long as we can take the "volatility" apart. If you want to compute for all 600 participants the "normalized profit" in JPYGBP (or JPHGBP) be my guest :D, you can post the new (real) situation here for us to see :D, but I don't think this is a good idea, we will get more confused... As it is now, it is normal that the people trading 0.1 lots of GBPJPY to have more equity than people trading EURUSD, because they trade more money: 0.1 lots (10k) of GBP is bigger then 0.1 lots (10k) of EUR. |
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No, I don't know how many points won each expert, I only calculated all trade returns (profits/losses and swaps) as 0.1 lots on every tarde. Thats all. There is not perfect estimate in this imperfect world in my opinion.
well, in this case, is perfectly normal that people trading GJ will pop up into the top of the list, as the user who started this discussion said...
you just found out that GJ is the most volatile pair :P
sorry to say that....