My EA Trade History (Feb' 08)

February 2008

Changes implemented:
(1) Fractional lot sizing based on 2 - 4 % risk per trade of the account free margin level

Date/Day	Currency/Trades	B/S	1st.t	2nd.t	stop.l	P/L
2008-02-01 (52)	GBP/USD (2W)	B	21*	10	0	$9.46
	USD/CHF (2W 2L)	S	32*	10	-80	-$24.65
	AUS/USD (2W)	B	22	0	0	$6.6
	USD/JPY (2W)	S	61*	72*	0	$36.92
	USD/CAD (1W 1L)	S	3*	0	-40	-$11.08

* Manual intervention

This Month

Pips Total	P/L Total	% Gain
111	$17.25	1.41%

Trade Breakdown
USD/JPY +133 pips (2W)
GBP/USD +31 pips (2W)
AUS/USD +22 pips (2W)
USD/CHF -38 pips (2W 2L)
USD/CAD -37 pips (1W 1L)

----------------------------------------------
Since Start

Pips Total	P/L Total	% Gain
---	$207.94	20.15%

----------------------------------------------
Daily Results
Day 52: 12 Trades (9W 3L) +111 pips, +$17.25, +1.41%

View January 2008 Trade History part 2
View January 2008 Trade History part 1
View December 2007 Trade History
View November 2007 Trade History

Misconception about Expert Advisor Trading

Many regard expert advisor as a set-and-forget system that will bring in money with little or no effort.

They believe in its past performance and hope it continues to outperform the market.

It is better to leave the running EA uninterrupted and the system will eventually yield the best trading results.

The potential upside is unlimited and you can hit the ultimate jackpot by growing your account exponentially.

I used to have the above thoughts too.

After more than two months running of my own expert advisor system, I am back to face the reality of trading.

Now I regard EA as a useful program which helps me diagnose and enter the market consistently.

It can correctly open trades with the right position sizing based on own defined risk limit.

My new objective is to make a living (steady income) via EA trading by generating consistent daily/weekly profits.

When I see fit, I will not hesitate to book any trading profits presented to me even though their price targets are not fully met. I believe in the random walk theory:

The markets always take a random and unpredictable path. The chance of a price going up is the same as it going down.

Now, I also have a daily profit target in place. If the target is met for the day, I will try reducing the risk exposure of the following trades to preserve winning for that day. I will do the same to limit trading losses.

See related post: Measuring Trading Performance of My Expert Advisor System

EA Trading (Day 45): +26.4%

Performance since start (20 November 2007 - 23 January 2008): +26.4%

After a shaky start, my expert advisor was back on track.

Here is the results 45 trading days later:

Figure 1: Highest trading account balance at the end of day 45.


Figure 2: Risk control algorithm in place on day 27; since then, the biggest one-day loss was -12.8%, the biggest one-day gain was 15.34%, with 13 winning days and 7 losing days.


Figure 3: Based on a simple calculation, the trading account is currently yielding around 0.37 -0.59% per trading day so far. Is it possible to achieve a daily average return of 1-2% in the long run? I need to find a bench mark against which the performance of my EA can be judged. At the moment, I should do my best to maintain performance consistency under varying market conditions.

A Ugly Day for Stocks, A Memorable Day for Mechanical Forex

I had so many bad trading experience in the past, especially on the days when stock markets crashed heavily. The end results were usually ruined trading accounts.

Today, stock markets around the globe fell heavily.

Unprecedentedly, my 'experimental' mechanical forex system scored a perfect day with a string of 11 winners and no loser. Despite my manual intervention (see chart below) and a conservative setting of using 1st (i.e. smaller) and 2nd profit target levels, the trading account still registered a 15% one-day gain. I have not counted the number of pips yet. I think I made more than 300 pips.


(underline: positions exited manually due to own suspicious mind and they should have hit the projected profit target levels)

An unusual trading day to remember.

What's the Best Way to Trail Your Trading Profits? (1)

So often, many of my EA's In-The-Money positions (+40 to 50 pips) were stopped out/hunted at the price-retracement (resistance/support) level for a smaller gain (+10 to 20 pips) before the real action continued again.

As always, the EA used a fixed trailing stop algorithm to protect part of their gains. But, the disadvantage of this was giving them very little room for prices to manoeuvre in order to reach their final targets.

Below are some examples:

USDJPY 5-min 10 Jan 2008


GBPUSD 5-min 9 Jan 2008


But, I wouldn't want to change the algorithm for now as there could be a positive implication out of these case studies. Such end results might be useful for identifying important price retracement levels and perhaps, generating hidden "secondary-level"signals good for discretionary trade re-entry?

Still, this hasn't answered the main question yet - what's the best way to trail your profits? I am still unclear at present and temporarily, I have to resort to setting a moderate first target (good for 30 - 40 pips) and also a more aggressive second target (of at least 80 pips). More studies will be carried out on these topics when free.

My EA Trade History

January 2008 (part 2)

Changes implemented:
(1) Fractional lot sizing based on 2% risk per trade of the account free margin level
(2) Two positions opened per signal with 1st and 2nd profit target levels

Date/Day	Currency/Trades	B/S	1st.t	2nd.t	stop.l	P/L
2008-01-10 (36)	USD/JPY (4W)	S	88	0	0	$35.63
	GBP/USD (3L)	S	0	0	-122	-$59.8
	AUS/USD (2W)	B	40	70	0	$66
2008-01-11 (37)	GBP/USD (3L)	S	0	0	-120	-$60
	USD/CAD (2W)	B	42	85	0	$62.42
	AUS/USD (2L)	B	0	0	-70	-$42
2008-01-14 (38)	No Closed Trade	-	-	-	-	-
2008-01-15 (39)	USD/JPY (4W)	S	134	85	0	$100.61
	USD/CAD (1W 2L)	B	0	0	-80	-$39.5
	GBP/USD (2W 2L)	S	73	0	-80	-$3.5
	AUS/USD (2L)	B	0	0	-80	-$40
2008-01-16 (40)	AUS/USD (3W 2L)	B	61	0	-70	-$6.4
	USD/CAD (3W 2L)	B	60	0	-80	-$9.91
	USD/JPY (4L)	S	0	0	-160	-$74.86
	GBP/USD (1L)	S	0	0	-40	-$20
2008-01-17 (41)	USD/JPY (2W)	S	68	0	0	$27.46
	AUS/USD (2W)	B	52*	0	0	$26.94
	GBP/USD (2L)	S	0	0	-80	-$40
2008-01-18 (42)	USD/JPY (2W 2L)	S	63*	85	-80	$32.06
	GBP/USD (1W 2L)	S	0	0	-17*	-$8.5
2008-01-21 (43)	AUS/USD (2W)	B	38	10	0	$24.32
	GBP/USD (4W)	S	100*	0	0	$39.2
	USD/JPY (2W)	S	40	68*	0	$50.81
	USD/CAD (3W)	B	80	10	0	$38.65
2008-01-22 (44)	USD/CAD (3W)	B	40	34	0	$35.69
	AUS/USD (2L)	B	0	0	-70	-$38.5
	USD/CHF (2W)	S	40	79*	0	$53.2
2008-01-23 (45)	AUS/USD (2W 2L)	S	40	70	-70	$35
	USD/CHF (2W 2L)	S	37*	71*	-80	$15.76
	USD/JPY (2W)	S	31*	80*	0	$52.64
2008-01-24 (46)	GBP/USD (2L)	S	0	0	-80	-$56
	USD/JPY (4L)	S	0	0	-161	-$75.4
	USD/CAD (2L)	B	0	0	-80	-$31.58
	AUS/USD (2L)	S	0	0	-70	-$38.5
2008-01-25 (47)	GBP/USD (4L)	S	0	0	-160	-$64
	USD/JPY (2L)	S	0	0	-80	-$37.18
	USD/CAD (2W)	B	40	10	0	$19.84
	AUS/USD (2W)	S	64*	10	0	$26.72
2008-01-28 (48)	GBP/USD (2W)	B	40	10	0	$25
	USD/CAD (1W)	S	40	0	0	$19.92
	USD/CHF (2W)	S	40	22	0	$22.76
	AUS/USD (2L)	S	0	0	-70	-$35
2008-01-29 (49)	USD/CAD (3W)	S	27*	10	0	$18.36
	USD/JPY (2W)	S	40	10	0	$17.78
	GBP/USD (2W)	B	37	70*	0	$53.5
2008-01-30 (50)	USD/CAD (2W)	S	31*	20	0	$25.39
	USD/JPY (2L)	S	0	0	-83	-$23.95
	GBP/USD (2L)	B	0	0	-80	-$24
	AUS/USD (2W)	B	40	70	0	$33
	USD/CHF (2W)	S	40	77*	0	$32.36
2008-01-31 (51)	USD/JPY (2W)	S	40	1*	0	$23.17
	USD/CAD (2L)	S	0	0	-80	-$48.06
	AUS/USD (2W)	B	50*	64*	0	$34.2

* Manual intervention

This Month (part 2)

Pips Total	P/L Total	% Gain
534	$171.75	16.34%

Trade Breakdown
USD/CAD +209 pips (20W 8L)
USD/JPY +269 pips (20W 14L)
AUS/USD +179 pips (17W 14L)
GBP/USD -449 pips (11W 21L)
USD/CHF +326 pips (8W 2L)

----------------------------------------------
Daily Results
Day 36: 9 Trades (6W 3L) +76 pips, +$41.83, +3.98%
Day 37: 7 Trades (2W 5L) -63 pips, $39.58, -3.62%
Day 38: 0 Trade
Day 39: 13 Trades (7W 6L) +52 pips, +$17.61, +1.67%
Day 40: 15 Trades (6W 9L) -229 pips, -$111.17, -10.38%
Day 41: 6 Trades (4W 2L) +40 pips, +$14.4, +1.5%
Day 42: 7 Trades (3W 4L) +51 pips, +$23.56, +2.42%
Day 43: 11 Trades (11W) +346 pips, +$152.98, +15.3% A Ugly Day for Stocks (1-21)
Day 44: 7 Trades (5W 2L) +123 pips, +$50.39, +4.38%
Day 45: 10 Trades (6W 4L) +179 pips, +$103.4, +8.61%
Day 46: 10 Trades (10L) -391 pips, -$201.48, -15.45%
Day 47: 10 Trades (4W 6L) -116 pips, -$54.62, 4.95%
Day 48: 7 Trades (4W 3L) +82 pips, +$32.68, +3.12%
Day 49: 7 Trades (7W) +82 pips, +$89.64, +8.29%
Day 50: 10 Trades (6W 4L) +115 pips, +$42.8, +3.66%
Day 51: 6 Trades (4W 2L) +75 pips, 9.31, +0.77%

View January 2008 Trade History part 1
View December 2007 Trade History
View November 2007 Trade History

Measuring Trading Performance of My Expert Advisor System

At the end of day 35, my expert advisor experimental trading fund stood at $1050.79. So far, it only made a gain of 1.8% from an initial starting fund of $1031.85. To provide a better picture of its trading performance over the period of 35 days, I performed a modified Sharpe-Ratio type calculation, known as the standard score.

Standard Score

"Each standard score has a corresponding percentage rank. This measure allows you to determine, assuming everything stays the same, what percentage of time periods (e.g. weeks) will be winners versus losers. It is based on absolute trade performance, not percentage gain. This is very important if you're trying to make a living by trading (will there be a paycheck next week?)"

Based on the calculation, my EA standard score is 0.007, and its corresponding percentage rank is 0.5. The result simply implies that I only have a 50% chance to make money on a trading day using my EA system. Obviously, this is not good enough. And if stays like this, my EA fund is definitely going nowhere. Hence, improvements are needed.

Possible Improvements
Future work in the following aspects is to be considered for improving the score, and to guarantee my future paycheck:
1) Increase the average winning size /book profits more often (implemented) and devise new trailing strategy
2) Increase the number of winners/ filter out underperformed markets
3) Reduce the average losing size / devise new exit strategy for losing trades

I will also be using a new trade history table to review my daily performance from now onwards.

My EA Trade History

January 2008

Changes implemented:
(1) Fractional lot sizing based on 4% risk on account free margin level

Entry Date/Day	Currency	B/S	R	Lot	Pips	P/L
2008-01-02 (30)	AUS/USD	B	0.29	0.1	10	$10
2008-01-02	USD/CAD	S	-1	0.06	-40	-$24.19
2008-01-02	USD/JPY	S	2.13	0.09	85	$69.09
2008-01-02	GBP/USD	S	0.49	0.08	22	$17.60
2008-01-03 (31)	GBP/USD	S	2.13	0.08	85	$68
2008-01-03	USD/JPY	S	2.13	0.07	85	$54.77
2008-01-02	USD/CAD	S	-1	0.09	-40	-$36.71
2008-01-02 (32)	AUS/USD	B	-1	0.08	-35	-$27.11
2008-01-03	GBP/USD	S	0.63	0.1	25	$24.05
2008-01-04	USD/JPY	S	2.13	0.1	85	$78.36
2008-01-04	AUS/USD	B	0.6	0.1	21	$21
2008-01-04	USD/CAD	S	-1	0.9	-40	-$36.26
2008-01-07 (33)	USD/CHF	S	-1	0.1	-40	-$35.89
2008-01-04 (34)	AUS/USD	B	2	0.13	70	$91.76
2008-01-08	USD/JPY	S	-1	0.12	-40	-$43.74
2008-01-08	USD/CAD	B	-1	0.09	-40	-$36.11
2008-01-08	AUS/USD	B	0.53	0.12	21	$25.2
2008-01-09 (35)	USD/JPY	S	-1	0.1	-40	-$36.53
2008-01-09	GBP/USD	S	0.53	0.9	21	$18.9
2008-01-09	AUS/USD	B	0.28	0.9	11	$9.9
2008-01-09	GBP/USD	S	0.25	0.9	10	$9
2008-01-09	USD/CHF	S	-1	0.11	-40	-$40.36
2008-01-09	USD/JPY	S	-1	0.1	-40	-$38.27

This Month

Pips Total	P/L Total
+156	+$142.48

Trade Breakdown
USD/JPY +135 pips (3W 3L)
GBP/USD +163 pips (5W)
AUS/USD +98 pips (5W 1L)
USD/CHF -80 pips (2L)
USD/CAD -160 pips (4L)

----------------------------------------------
Since Start

Pips Total	P/L Total
+65	+$18.94

Trade Breakdown
USD/JPY +264 pips (13W 7L)
GBP/USD +68 pips (23W 20L)
AUS/USD +41 pips (23W 21L)
USD/CAD -100 pips (12W 12L)
USD/CHF -208 pips (10W 10L)

----------------------------------------------
Daily Results
Day 30: 4 Trades (3W 1L) +77 pips, +$72.5
Day 31: 3 Trades (2W 1L) +130 pips, +$86.06
Day 32: 5 Trades (3W 2L) +56 pips, +$60.04 Non-Farm Payroll day, USD bear trap? (1-4)
Day 33: 1 Trade (1L) -40 pips, -$35.89
Day 34: 4 Trades (2W 2L) +11 pips, +$37.11
Day 35: 6 Trades (3W 3L) -78 pips, -$77.34

View December 2007 Trade History
View November 2007 Trade History

EA Back on Track ? (2)

My expert advisor trading has moved back into profit on day 19 ! Here is my equity curve (also learning curve too) since the start. I am absolutely thrilled that "we" (my EA and I together) managed to recoup all trading losses (as much as -51% drawdown) incurred last month.

*Update: More good news. I have added one more profitable trade before the close of Friday. Hence, I am currently up +426 pips for the month of December, and up +112 pips since the start.

I hope to grow my account balance to around $1500 (from the initial deposit of $1031) before applying the money management algorithm. From there onwards, I am willing to risk 3-4% on each trade.

Related post:
EA Back On Track? (1)

EA Back on Track ? (1)

My expert advisor trading has produced some positive results for the past two trading days (at day 13 and 14). And finally, it shows some real signs of recovery from its lacklustre performance since the start of the system.

Attempt to Score Big Winners
4 closed trades today and only 4 minor winners, totalling 62 pips. I have decided not to intervene the system by booking early profits myself. Plus today is US non-farm payroll day. I really wanted to see how my system performed under extreme market conditions. However, all my positions failed to reach their set price targets. They all at one point reached more than 40 pips but eventually stopped out at 10-20 pips on the plus side as the new trailing stop algorithm played its part. There are two new open positions to be carried over to next week. Currently, with a running profit of 80 pips from the two positions and at least 30 pips are guaranteed.

At present, I am still pondering over the system profit-taking strategy. Which is more reasonable in the long run, 1R or 2R profits? And should I intervene to take profits at time?

My EA Trade History

December 2007

Entry Date/Day	Currency	B/S	R	Lot	Pips	P/L
2007-11-30 (10)	AUS/USD	B	-1	0.1	-30	-$30
2007-11-30	GBP/USD	S	-1	0.1	-40	-$40
2007-11-29	USD/CAD	S	-1	0.1	-85	-$84.77
2007-12-03	AUS/USD	B	0.43	0.1	13	$13
2007-12-03	GBP/USD	S	-1	0.1	-40	-$40
2007-11-30 (11)	USD/JPY	S	0.67	0.1	57	$51.70*
2007-12-03	GBP/USD	S	1	0.1	40	$40*
2007-11-30	USD/CHF	S	0.5	0.1	43	$38.30*
2007-12-04	GBP/USD	S	0.88	0.1	35	$35.00*
2007-12-04	AUS/USD	S	0.27	0.04	20	$8
2007-12-05 (12)	USD/JPY	S	-1	0.1	-85	-$76.78
2007-12-05	GBP/USD	B	-1	0.1	-40	-$40
2007-12-05	AUS/USD	S	0.43	0.1	13	$13
2007-12-05 (13)	USD/JPY	S	-1	0.1	-40	-$36.03
2007-12-05	AUS/USD	S	-1	0.1	-30	-$30
2007-12-05	USD/CHF	B	1.98	0.1	79	$69.78*
2007-12-05	GBP/USD	S	1.18	0.1	47	$47*
2007-12-06	GBP/USD	S	2.13	0.1	85	$85
2007-12-05	USD/CAD	B	0.53	0.1	21	$20.67
2007-12-06 (14)	GBP/USD	S	0.53	0.1	21	$21
2007-12-07	AUS/USD	S	0.57	0.1	20	$20
2007-12-06	USD/CHF	B	0.25	0.1	10	$8.85
2007-12-07	GBP/USD	S	0.28	0.1	11	$11
2007-12-06 (15)	USD/JPY	B	0.55	0.1	22	$19.95
2007-12-07	AUS/USD	S	1.2	0.1	42	$42
2007-12-10	AUS/USD	S	-1	0.1	-35	-$35
2007-12-10	USD/CAD	B	-1	0.1	-40	-$39.93
2007-12-10	AUS/USD	S	-1.09	0.1	-38	-$38
2007-12-10	USD/CAD	B	2.13	0.1	85	$84.03
2007-12-10 (16)	USD/JPY	B	0.53	0.1	21	$18.78
2007-12-11	USD/CAD	B	0.8	0.1	32	$31.68
2007-12-11	AUS/USD	S	-1	0.1	-35	-$35
2007-12-11	USD/CAD	B	-1	0.1	-40	-$39.84
2007-12-12 (17)	GBP/USD	S	-1	0.1	-40	-$40
2007-12-11	USD/JPY	B	1.45	0.1	58	$52.11*
2007-12-11	USD/CHF	B	0.25	0.1	10	$8.84
2007-12-12	GBP/USD	S	-1.03	0.1	-41	-$41
2007-12-12	AUS/USD	S	2	0.1	70	$70
2007-12-13 (18)	USD/CHF	B	1.25	0.1	50	$43.92*
2007-12-13	AUD/USD	S	0.31	0.1	11	$11
2007-12-14 (19)	GBP/USD	S	0.25	0.1	10	$10
2007-12-13	USD/CAD	B	-1	0.1	-40	-$39.33
2007-12-13	USD/CHF	B	1.53	0.1	61	$53.18*
2007-12-14	USD/JPY	B	1.75	0.1	70	$61.87*
2007-12-14	AUS/USD	B"	-1	0.1	-35	-$35
2007-12-14	GBP/USD	S	1.13	0.1	45	$45*
2007-12-14	USD/JPY	B	1.45	0.1	58	$51.08*
2007-12-17 (20)	GBP/USD	S	-1	0.1	-40	-$40
2007-12-14	USD/CAD	B	0.53	0.1	21	$20.61
2007-12-17 (21)	AUS/USD	S	-1	0.1	-35	-$35
2007-12-18	GBP/USD	S	-1.18**	0.1	-47	-$47**
2007-12-17	USD/CAD	B	1.5	0.1	60	$59.37*
2007-12-17	USD/JPY	B	0.25	0.1	10	$8.83
2007-12-18	AUS/USD	S	2	0.1	70	$70
2007-12-19 (22)	GBP/USD	S	0.25	0.1	10	$10
2007-12-18	USD/CHF	B	0.55	0.1	22	$19.08
2007-12-18	USD/CAD	B	-1	0.1	-40	-$39.86
2007-12-19	AUS/USD	S	1.1	0.1	44	$44*
2007-12-20 (23)	GBP/USD	S	1	0.1	40	$40*
2007-12-20 (24)	AUS/USD	S	-1	0.1	-35	-$35
2007-12-20	USD/CHF	B	-1	0.1	-40	-$34.72
2007-12-20	USD/CAD	S	0.25	0.07^	10	$7.01
2007-12-21	USD/JPY	B	1.53	0.1	61	$53.62*
2007-12-21	AUS/USD	S	0.29	0.1	10	$10
2007-12-24 (25)	AUS/USD	S	-1	0.1	-35	-$35
2007-12-21	GBP/USD	S	1.7	0.1	68	$68*
2007-12-24 (26)	GBP/USD	S	-1.25	0.1	-50	-$50
2007-12-24 (27)	USD/JPY	B	0.28	0.1	11	$9.62
2007-12-27	USD/CHF	B	-1	0.1	-40	-$34.92
2007-12-26	USD/CAD	S	0.25	0.11`	10	$11.20
2007-12-27	USD/JPY	B	-1	0.1	-40	-$35.14
2007-12-28 (28)	USD/CHF	B	-1	0.1	-40	-$35.18
2007-12-27	AUS/USD	S	0.42	0.1	21	$21
2007-12-28	USD/CAD	S	0.25	0.1	10	$10.21
2007-12-28	USD/CHF	B	-2.38	0.1**	-95	-$84.38
2007-12-31 (29)	GBP/USD	S	-1	0.09`	-40	-$36
2007-12-31	USD/CAD	S	-1	0.1`	-40	-$40.64
2007-12-31	AUS/USD	B	-1	0.11`	-35	-$38.50
2007-12-31	USD/CHF	S	-1	0.07`	-40	-$24.77
2007-12-31	USD/JPY	S	0.28	0.07`	11	$6.88

*Intervention to book profits "Trialing of new system **Using supp/resist levels for SL ^3% risk per trade `4% risk per trade

This Month

Pips Total	P/L Total
+223	$178.32

Since Start

Pips Total	P/L Total
-91	-$123.54

Performance Overview
USD/JPY +129 pips (10W 4L) +214 pips this month
USD/CAD +60 pips (12W 8L) -36 pips
AUS/USD -57 pips (18W 20L) -9 pips
GBP/USD -95 pips (18W 20L) +34 pips
USD/CHF -128 pips (10W 8L) +20 pips

Daily Results
Day 10: 5 Trade -182 pips Woes continue (12-3)
Day 11: 5 Trades +195 pips Intervened to book profits (12-4)
Day 12: 3 Trade -112 pips
Day 13: 6 Trades +162 pips BOE interest rate announcement winner (12-6)
Day 14: 4 Trades +62 pips Failed to score big winners (12-7)
Day 15: 6 Trades +36 pips A winning streak of 10 wins in a row ended (12-10)
Day 16: 4 Trades -22 pips Spoiled by US interest rate annoucement (12-11)
Day 17: 5 Trades +57 pips GBP/USD wild swings (12-12)
Day 18: 2 Trades +61 pips
Day 19: 7 Trades +169 pips Mistake made in new AUS/USD system (12-14)
Day 20: 2 Trades -19 pips
Day 21: 5 Trades +58 pips 100 closed trades (12-18), also for two days in a row, my GBP/USD stops were hunted
Day 22: 4 Trades +36 pips Sell-off in GBP/USD, only pocketed 10 pips (12-19)
Day 23: 1 Trade +40 pips Tricky pound, made only 1R instead of 2R (12-20)
Day 24: 5 Trades +6 pips
Day 25: 2 Trades +33 pips
Day 26: 1 Trade -50 pips
Day 27: 4 Trades -59 pips USD dollar fell sharply on weak durable goods (12-27)
Day 28: 4 Trades -104 pips
Day 29: 5 Trades -144 pips Tough end to a good month (12-31)

View November 2007 Trade History

First Optimisation of My Expert Advisor (1)

End of Day 4
My expert advisor auto-trading fund is currently in drawdown by the end of day 4. This forced me to make a detailed analysis of all the closing trades since day 1. I have realised that the GBP/USD is actually underperforming and it is mostly responsible for all of the incurred trading losses.

Optimisation Results
To troubleshoot, I performed some backtesing for the period (1 Oct to present). The results have suggested that I might have overlooked 1 or 2 important system parameters for the GBP/USD market, i.e. the system win-rate and the stop-loss margin.

The following results are based on 1 full lot trading at any one time and with 5% risk per trade:

# Original EA with 30 pips stop loss
(65 Trades / 49.23% win-rate / Overall growth 125.8%)


# Optimised EA with 40 pips stop loss
(58 Trades / 58.62% win-rate / Overall growth 128.9% )


# Optimised EA with 50 pips stop loss
(55 Trades / 63.6% win-rate / Overall growth 91% )

Obviously, the recent 3-4 trading days have been hard for the GBP/USD. Based on these results alone, I made my first parameter change in the EA. The reasons are simple: to achieve a higher system win-rate and a smoother equity curve.

Future Reference
For the purpose of comparison only, my first EA will actually put me in the Top 15 of the 2007 Automated Trading Championship at this point of writing. Note that the participants are allowed to open up to 3 trades simultaneously. I will need to incorporate that in the future.

Last but not least, here is the equity curve of current leader in the competition.
(For the same period, EUR-USD instead of GBP-USD / 270 Trades / 68.5% win-rate / Overall growth 765% )

My EA Trade History

November 2007

Entry Date/Day	Currency	L/S	R	Lot	Pips	P/L
2007-11-20 (1)	AUS/USD	L	-1	0.1	-30	-$30
2007-11-21 (2)	AUS/USD	S	2	0.1	60	$60
2007-11-21	AUS/USD	S	0.43	0.1	13	$13
2007-11-20	GBP/USD	S	-1	0.1	-30	-$30
2007-11-21	AUS/USD	S	2	0.1	60	$60
2007-11-20	GBP/USD	L	-1	0.1	-30	-$30
2007-11-21	USD/JPY	L	-1	0.1	-85	-$78.36
2007-11-21	AUS/USD	L	-1	0.1	-30	-$30
2007-11-21	GBP/USD	L	-1	0.1	-30	-$30
2007-11-21	AUS/USD	L	-1	0.1	-30	-$30
2007-11-20	GBP/USD	L	0.17	0.1	5	$5
2007-11-21	GBP/USD	S	-1	0.1	-30	-$30
2007-11-20	USD/CHF	S	0.59	0.1	50	$45.37
2007-11-21	GBP/USD	S	-1	0.1	-30	-$30
2007-11-21 (3)	USD/CAD	L	-1	0.1	-85	-$86.74
2007-11-22	AUS/USD	L	2.03	0.1	61	$61
2007-11-22	USD/CAD	L	0.13	0.1	11	$11.19
2007-11-22	GBP/USD	S	0.67	0.1	20	$20
2007-11-22 (4)	GBP/USD	S	-1.07	0.1	-32	-$32
2007-11-22	USD/CHF	L	-1	0.1	-85	-$77.66
2007-11-23	AUS/USD	L	-1	0.1	-30	-$30
2007-11-23	USD/CHF	L	0.59	0.1	50	$45.44
2007-11-23	GBP/USD	L	-1.1	0.1	-33	-$33
2007-11-23	USD/CAD	L	1	0.1	85	$85.90
2007-11-26 (5)	AUS/USD	S	-1	0.1	-30	-$30
2007-11-23	USD/CHF	L	0.08	0.1	7	$6.35
2007-11-26	GBP/USD	S	-1	0.1	-40	-$40
2007-11-26	AUS/USD	L	-1	0.1	-30	-$30
2007-11-26	AUS/USD	S	2	0.1	60	$60
2007-11-27 (6)	AUS/USD	S	-1	0.1	-30	-$30
2007-11-23	USD/CAD	L	1	0.1	85	$85.28
2007-11-26	GBP/USD	S	0.33	0.1	28	$28
2007-11-27	AUS/USD	S	-1	0.1	-30	-$30
2007-11-27 (7)	AUS/USD	L	-1	0.1	-30	-$30
2007-11-27	GBP/USD	L	-1	0.1	-40	-$40
2007-11-28	AUS/USD	L	-1	0.1	-30	-$30
2007-11-28	GBP/USD	S	2.13	0.1	85	$85
2007-11-28	USD/CHF	S	-1	0.1	-85	-$76.06
2007-11-28	GBP/USD	S	-1	0.1	-40	-$40
2007-11-28	USD/CAD	S	1	0.1	85	$85.89
2007-11-28 (8)	GBP/USD	S	2.13	0.1	85	$85
2007-11-29	GBP/USD	L	-1	0.1	-40	-$40
2007-11-28	USD/CAD	S	-1	0.1	-85	-$85.47
2007-11-29 (9)	AUS/USD	L	0.93	0.1	28	$28
2007-11-29	GBP/USD	L	0.05	0.1	2	$2
2007-11-30	GBP/USD	L	0.53	0.1	21	$21
2007-11-29	USD/CHF	S	-1	0.1	-85	-$75.43
2007-11-30	AUS/USD	L	-1	0.1	-30	-$30

Pips Total	P/L Total
-314	-$301.86

Performance Overview
USD/CAD +96 pips (4W 2L) Best performer
AUS/USD -48 pips (6W 11L)
USD/JPY -85 pips (1L)
GBP/USD -129 pips (7W 11L)
USD/CHF -148 pips (3W 3L) Worst peformer

*I made a mistake in the EA for GBP/USD and the problem has since been rectified. Hopefully it can turnaround before the fund run out. (11-25)

Daily Results
Day 1: 1 Trade -30 pips
Day 2: 13 Trades -107 pips Fast markets, glitch and pre-thanksgiving (11-21)
Day 3: 4 Trades +7 pips
Day 4: 6 Trades -45 pips Lows in USD/CHF and USD/JPY markets (11-23)
Day 5: 5 Trades -33 pips GBP/USD took another hit again (11-26)
Day 6: 4 Trades +53 pips 2 straight losses in AUS/USD (11-27)
Day 7: 7 Trades -55 pips Currency market review (11-28)
Day 8: 3 Trades -40 pips
Day 9: 5 Trades -64 pips Not a great start (11-30)