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Automated Trading Championship 2011: Analyzing Trading Results of the ATC 2010 Participants

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MetaQuotes Software Corp.
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MetaQuotes Software Corp. 2011.07.22 19:11 

Optimization of trading strategies is an important factor for creating of successful trading systems. In the article "The Best Strategies of the 2006-2010 Automated Trading Championships" we reviewed statistical characteristics of top 20 trading systems of past Championships.

This time we use Kohonen maps to analyze the whole picture based on the statistical characteristics of participants of the Automated Trading Championship 2010.

The advantage of Kohonen self-organizing maps is their ability to "project" multidimensional data onto a plane. With the learning algorithm of Kohonen, network multidimensional vectors with similar directions appear close to each other and form clusters. Data were analyzed using the Deductor Academic package developed by BaseGroup Labs.

Statistical Characteristics of Trading Systems

Trade reports of Automated Trading Championship participants contain various statistical characteristics of trading systems. We have chosen some of them for our analysis:

  1. Total Net Profit - the difference between the total profit and total loss;
  2. Profit Factor - shows the profit generated by profitable trades divided by the losses generated by losing trades;
  3. Relative drawdown - shows the maximal drawdown percentage, allowing to estimate possible losses as a percentage of the initial deposit;
  4. Trades - the number of trades;
  5. Profit Trades (%) - percentage of profitable trades;
  6. Average Profit Trade - amount of the average profit;
  7. Average Loss Trade - amount of the average loss;
  8. GHPR (%) - geometric mean of a relative gain per trade;
  9. AHPR (%) - arithmetic mean of a relative gain per trade;
  10. Sharpe ratio;
  11. ZScore - a serial test of correlation between deals;
  12. ZScore (%) - the probability of correlation between deals;
  13. LR Correlation;
  14. LR Standard Error - standard error of balance deviation from the linear regression;
  15. MFE-Profit Correlation - correlation between trade results and Maximum Favorable Excursion (profit in the favorable direction of price movement, use of Take Profit);
  16. MAE-Profit Correlation - correlation between trade results and Maximum Adverse Excursion (loss in the unfavorable direction of price movement, use of Stop Loss);
  17. MFE-MAE Correlation;
  18. Recovery Factor.

You can read the full text of the article on the Championship site - Analyzing Trading Results of the ATC 2010 Participants.

The Automated Trading Championship 2011 is sponsored by MIG Bank, Go Markets and Vantage FX. The media sponsor is Forex-TSD.

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