The Current Championship Charted in a Zero Returns Diagram

Today we decided to consider the results shown by the Participants of the Championship, according to the approach described in ATC 2006 and 2007: Zero Returns Diagram. We tried to show how the distribution of Participants had changed in a zero returns diagram from the 5th to the 10th week of the contest. The end of the fifth week is the end of the first contest month, a time when some conclusions about the total results can already be drawn. For this purpose, we calculated the following parameters for each Participant as of the end of the considered period:

  • %Win - the percentage of winning trades. It is the ratio between the amount of profitable trades and that of all trades made within the given period;
  • AverWin/AverLoss - the ratio between the average win and the average loss.

The average win is calculated as follows: the results of all winning trades (without swaps) are summed, the obtained result is divided by the amount of those winning trades. In the like manner, the average loss is calculated: the sum of all losses (without swaps) is divided by the amount of losing trades. For you convenience, we prepared interactive diagrams for each week, in which each Participant is displayed as a red or a green point according to whether their trading is losing or profitable, respectively.

Participant whose Expert Advisor was profitable as of the end of the given week is displayed as a green point in the diagram. Losing EAs are shown with red points. If you put the cursor over a Participant, you can see in the appearing help window the contest account number, the login and the value of AverWin/AverLoss of that Participant. The video below clarifies what has been said.

The video also shows how you can zoom in any part of the diagram for a detailed study. To return to normal scaling, you should just click with the left button of your mouse anywhere in the zoomed-in diagram. The safe trading area is colored in yellow, while the zero returns curve is colored in blue. Short comments on the distribution diagrams are given below for each week of the period considered.

Week 5

The distribution of Participants as of the end of the 5th week: 481 losing and 196 profitable EAs. It can be well seen that losing EAs are below the zero returns curve, while those being profitable as of the end of the week are above this line. The amount of red points in the diagram considerably exceeds that of green points.

Week 6

The distribution of Participants as of the end of the 6th week: 170 profitable and 509 losing EAs. Two Participants of the last week's TOP 10 are in the safe trading area. These are Gorez и Liliput.

Week 7

The distribution of Participants as of the end of the 7th week: 154 profitable and 526 losing EAs. In the end of the seventh week, Participant arnautov comes to the safe trading area, too.

Week 8

The distribution of Participants as of the end of the 8th week: 136 profitable and 545 losing EAs. Liliput leaves the safe trading area. Instead, we can now see Participant fireflies in the potentially profitable area between the blue line and the yellow line.

Week 9

The distribution of Participants as of the end of the 9th week: 136 profitable and 550 losing EAs. In the safe trading area (above the yellow line), Participant adb appears that, in fact, gets to the TOP 10 only in the end of the 10th week. Besides, two Participants from Bulgaria, Itso and Scroogee, are highly above all others. They cannot be found in the TOP 10 since both of them had very small losses at that time, so the ratio between the average win and the average loss was too high. This is why the points got outside the diagram.

Week 10

The distribution of Participants as of the end of the 10th week: 133 profitable and 554 losing EAs. Liliput and arnautov returned to the safe trading area. The general distribution of the Participants in the Championship became denser within the 6 weeks passed.


You can view any result you're interested in in these diagrams, as well as you can find any Participant you like.

Conclusions:

  • The amount of losing EAs increases gradually, while the numbers of profitable EAs decrease.
  • A profitable EA is not necessarily found in the safe trading area.
  • An EA trading in the safe area is not necessarily found in the TOP 10.
  • A losing EA is necessarily found below the zero returns curve.

Created: 2008.12.16  Author: Rosh
Reporting the Eleventh Week (8-14 December)

Balance charts of top ten Participants drifted apart.

Jury Session Record of the 17th of December 2008

Expert Advisors of 14 Participants were discussed on the Jury session.

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Rosh wrote:

I can't say where do you find similar tool. But you can calculate AverageWin, AverageLoss, WinPercent and then apply your result on the graph. The EXCEL file is attached:


Rosh, Thanks for your tool

2008.12.29 04:47
MrH wrote:

excellent graphical representation of the returns,

but you should ask yourself: is an average win a good method to describe my trades: if your return distribution is not normal, the mean may not be a good indicator, or if the distribution is skewed (to the left or right: hopefully to the left) then this is a problem too. I think the median win / median loss is a better approximation for trading system returns, which are rarely normally distributed.

I agree with you.

2008.12.22 17:39

excellent graphical representation of the returns,

but you should ask yourself: is an average win a good method to describe my trades: if your return distribution is not normal, the mean may not be a good indicator, or if the distribution is skewed (to the left or right: hopefully to the left) then this is a problem too. I think the median win / median loss is a better approximation for trading system returns, which are rarely normally distributed. 


2008.12.22 15:51
divedau wrote:

Excellent analyse method & tool !!!

Where I can fìnd this tool for my EA?

Please help me, thnks.

I can't say where do you find similar tool. But you can calculate AverageWin, AverageLoss, WinPercent and then apply your result on the graph. The EXCEL file is attached:





2008.12.17 10:30

Excellent analyse method & tool !!!

Where I can fìnd this tool for my EA?

Please help me, thnks.

2008.12.17 07:33