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forexistence
285
forexistence 2010.09.28 18:52 

Dear.

  For what i've understood, the unique criteria for declaring the EA (and it's own possessor) the winner is the Balance Max value (Final Balance starting from 100.000 $)

 

I can understand this, since it's the best and easy way, easiest meter for measure the efficiency of an EA.

 

But from my experience i've learned that it's not the absolute guarantee of an EA quality.

 

 It may be possible, to review the criteria for assigning the best EA, considering also:

- profit factor

- the new (great!) sharpe ratio

- the new (great!) recovery factor

?

Not only the Max Balance (Max Profit) but also an efficiency and quality of an ea, mixing the balance final

with profit factor, sharpe ratio and recovery factor. I say this since the Max Profit is achieved easily

by manipulating the lot/volume values, but it is not a better way to profit, than a sharpe ratio in example.

Doubling lots at wons, in example, will not drive to an eternal victory.. sooner or later it will blow out

the account. Instead considering the profit factor and sharpe ratio, the EA, even if not so profitable(temporary)

as the Max Balance value, at least is more stable, more reality-friendly. 

 

It's hard to propose this, at 5 days left from the beginning of the Championship, if i would

have said this months ago, maybe it can be evalutated.

 

Since rules and laws has been dictated for this 2010 championship, and it is closed, i at least hope

for the next year (or maybe a mid-season / mid-year little-championship if this will be thinked, i hope! it's hard to wait 1 full year

for the competition again) those values will be considered.

 

 Thanks

Pix
45
Pix 2010.09.30 18:21  
forexistence:

... 

But from my experience i've learned that it's not the absolute guarantee of an EA quality.

 ...

I say this since the Max Profit is achieved easily by manipulating the lot/volume values, but it is not a better way to profit, than a sharpe ratio in example.

...

You are correct that the quality of an EA cannot be determined on final balance. For example, you buy a $1 lottery ticket today and win $10,000. For the next month you keep buying lottery tickets but lose every time (the house always wins ... in the long run). You end up with a final balance of $10,000 - $30 = $9970. But you know that if you kept playing in the long run you would lose, since the odds are set.

The problem with EA's is that you do not know the true odds of it's success - as opposed to a lottery, where the odds are set. You can make estimates about an EA's goodness by using such metrics as the sharp ratio, etc. But even this statistic is only a measure or your own personal reward to variability (risk) tolerance. One person may be very comfortable taking high risks with the possibility of loosing it all but earning a mega return on reward. Another person may prefer a smaller return with lesser risk. This is all preferential.

I expect the winning EA to settle in the $175K-$325K range this year. Even with "overleveraging", it will (most probably) take more than just gambler's luck (double or nothing) to get the prize.

- Patrick 

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