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Statistical Report of the Second Month

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Two months have passed since the start of the Automated Trading Championship 2010. During this time, there were many events, which have affected the Championship Standings table. A month ago we have published the first statistical report, now it's time for the second one.

In this article, we will consider the results of the Championship for the first 43 trading days (from October 4th till December 2nd) in several aspects.

Amount of Trades per Day

Like for the previous Championship reports, we have plotted the amount of deals per days. Let's remind that in the previous Championships there was a tendency of gradual reduction of the 0number of deals per day. This year, the picture looks different: despite the small fluctuations during two months and one peak in the beginning, the daily number of trades varies between 400 and 600. The number of trades hasn't decreased significantly - we have the same 400 trades per day, like in the beginning.

Amount of trades per day

The distribution of symbols traded by Expert Advisors of the Championship participants isn't uniform: some symbols are more popular, others are traded less often. Let's see the share of each currency pair to the total amount of trades per day. For the convenience, we have presented the data on three different charts.

The most popular currency pairs were EUR/USD and GBP/USD. The most traded pairs are presented in the first chart. In addition to them, in this group there is a currency pair, responsible for the abnormal peak on the 12th of October (with 667 trades). At present time it's the absolute maximum among all currency pairs traded at Championship. The last pair of this group is USD/JPY (it has around 100 trades in some days).

The second group contains the following currency pairs: AUD/USD, EUR/JPY, USD/CHF and EUR/CHF (ordered in decreasing number of trades).

And, at last, in the third group we have combined the outsiders with the least number of deals during two months: EUR/AUD, GBP/CHF, GBP/JPY and USD/CAD.

The Ratio between Profitable and Losing Trades

In total, 21,569 positions were closed for all currency pairs during the 2 months. 9,509 of them were closed with a profit, 11,980 with a loss. Just 80 trades were closed with a zero result, which is much less than in the previous Championships. But it isn't the main difference from the previous Championships, when the number of profitable trades was greater than of loss trades. This year we have the opposite case: the number of loss trades is greater than of profitable ones.


Ratio between Profitable and Losing Trades

Average Profitable Trade and Average Losing Trade

The information about the average profit and loss isn't sufficient for making a conclusion about performance of some Expert Advisors of the Championship. In addition, it's necessary to consider the percent of profitable trades to calculate the performance of a trading strategy. That's why we have calculated these values for each currency pair. In addition to the average profit and average loss, we calculated the number of profitable and losing trades and the total number of trades.

SymbolTradesWin Trades
Loss Trades
Average Win, $
Average Loss, $
AUD/USD
1 292
718
572
267.56
363.80
EUR/AUD
485
134
351
641.38
300.38
EUR/CHF
682
254
428
232.06
163.30
EUR/GBP
1 145
236
906
424.24
151.92
EUR/JPY 1 013
506
499
421.88
405.05
EUR/USD
10 344
4 734
 5 566
784.80
624.58
GBP/CHF
481
162
317
316.32
296.42
GBP/JPY
520
219
296
676.06
535.22
GBP/USD
2 820
1 425
1 390
627.11
571.30
USD/CAD
575
282
293
232.66
354.15
USD/CHF
860
426
429
342.84
347.91
USD/JPY
1 349
412
932
574.56
300.04


The absolute leader is EUR/USD with the average profit of $784 and the average loss equal to -$624. Following EURUSD, there are GBP/JPY and GBP/USD with high values of average profit and average loss per deal. However, it should be noted that these pairs have similar values. For some of the currency pairs the difference between the average profit and average loss may reach nearly three times. For example, the average profit for EUR/GBP is $424, the average loss is -$151.

Average Profitable Trade and Average Losing Trade

Let's remind the statistics of the Automated Trading Championship 2008. The highest values of the average profit and average loss was that of AUD/USD, at present Championship it has quite an ordinary results: $267 and -$363 respectively. In turn, the most popular currency pairs of this year (EUR/USD and GBP/USD) were demonstrating ordinary results ($458/$475 and $548/$696 respectively) at the Automated Trading Championship 2008. It is remarkable that only three (AUD/USD, USD/CAD and USD/CHF) of twelve currency pairs have values of the average profit lower than average loss.

Average Equity by Symbols 

The next characteristic is the average equity by symbols. It's a cumulative sum of the equities of all Expert Advisors (traded on each currency pair) divided by number of Expert Advisors. As a result, we have got the values of the average equity for each currency pair.

The EUR/CHF and GBP/CHF currency pairs have the lowest average equity. During two weeks of the Championship the EUR/CHF pair had the average equity about $16,500, but on the 21st of October it fell to $3,500. The average equity of GBP/CHF, the second currency pair, was steadily falling to $2,500. Even in its most favorable moment its highest value was $9,700 which is lower than the initial deposit. The first statistical report states these two pairs as one of the least popular among the single currency Experts Advisors. However, at the same time, the EUR/AUD, which is another unpopular pair among the single currency Experts Advisors, has the highest average equity $16,434 at the end of the reporting period.

It should be noted that on the 26th of October USD/JPY demonstrated the absolute maximum of the average equity ($17,011) among all currency pairs. During the reporting period, the average equity of Expert Advisors trading GBP/JPY, GBP/USD and USD/CHF had increased. The average equity of other currency pairs is quite smooth, without any significant fluctuations.

The average equity of USD/CAD isn't presented here, because there isn't any trade with this currency pair.

Conclusions:

  1. Like in the previous Championships, the most popular pairs are EUR/USD and GBP/USD. They also became the leaders with the highest values of the average equities exceeding the initial deposit by $ 1,700 and $ 2,700 respectively. 
  2. At this Championship, the amount of loss trades is greater than profitable. This contrasts with the situation in the previous Championships, when Experts Advisors were more profitable during the same period.
  3. On the Automated Trading Championship 2008 half of the pairs had the negative differences between the values of average profit and average loss. This year only three pairs have the negative difference.


Published by: MetaQuotes Software Corp. Created: 11 December 2010  Print version
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