Efficiency of EAs at the Championship (ATC2010)

An article appeared on the MQL5 championship titled, ”Evaluating the efficiency of the Championship participants' strategies by the method of Bulashev” that analysed the performance of EAs from different perspectives. It is based on a method highlighted in the article, “Evaluation of Trade Systems - the Effectiveness of Entering, Exiting and Trades in General”.

Efficiency

This refers to how effectives is the trade entered, exit, and the trade itself. Taking just long positions, the effectiveness of the Entering is:

enter_efficiency=(max_price_trade-enter_price)/(max_price_trade-min_price_trade);

With a range 0 to 1.

Similarly, for Exiting:

exit_efficiency=(exit_price - min_price_trade)/(max_price_trade - min_price_trade);

With a range 0 to 1.

For Effectiveness of the trade itself:

trade_efficiency=(exit_price-enter_price)/(max_price_trade-min_price_trade);

Generalised:

trade_efficiency=enter_efficiency+exit_efficiency-1;

The range is –1 to 1.

From the analysis, it seems that the efficiency of entering exiting is not critical, rather it is the money management.

Weighted Efficiency

The difference here is to add the volume of the trade to the formulae. Again from the analysis of the top ten in the championship, the results were similar to the those where the lot volume were not considered.

True Strategists

Just basing on the Effectiveness of the trades yielded a different list from the top 10. It has yielded the following:

Points to note

The analysis is a short term view as the Championship has not even crossed the half way mark. Hence the true behaviour of the EAs may not have surfaced.

It is often commented that the best EAs are not necessary those at the top. The risk management is such that if you make it, the profits will rise meteorically. But if it fails, the fall is downright hard. So it is the moderate risk EAs that are better suited to most of our temperament. Hence it may be better to judge EAs for the effectiveness of their trades.