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The Evolution of Expert Advisors in 2006-2008

In anticipation of the new Championship, we decided to assess the dynamics of the evolution of Expert Advisors, based on the previous competitions. The objective of this research is to determine the development trend of the community of Expert Advisor writers, from a professional point of view. We have tried to trace the dynamics of the complexity and efficiency of Expert Advisors for the years of 2006-2008.

The average file size of Expert Advisors

Each Participant sends their own Expert Advisor files to the Championship. By the size of these files, we can estimate the complexity of the Expert Advisors. For example, if the received file is a single ex4-file with a size of 1 kb, then most likely, the corresponding Expert Advisor does not contain any difficult analysis, quality processing of trading operations, etc. In other words, it is a fairly simple Expert Advisor.

And vice versa, if a single party sends in multiple files, totaling hundreds of kilobytes in volume, then this is probably a serious Expert Advisor. A large code volume allows you to embed complicated analytics, quality processing of trade operations, for example, an arbitrary module for multi-currency Expert Advisors, as well as other functions.

Obviously, for each particular case there are possible exceptions. For example, an experienced developer can fit a powerful Expert Advisor into a relatively small file. However, such exceptions will not have a significant effect on the overall picture.

Thus we have gathered information on all of the files, which have been sent in by the Participants of the Automated Trading Championship 2006-2008. By summing up the sizes of the file, and dividing them by the number of Participants each year, we have received the average size of an Expert Advisor. The dynamics of this index, from year to year, provides an interesting picture:

The average file size of Expert Advisors in the Automated Trading Championships 2006-2008

As expected, in the first Championship the participating Expert Advisors were mostly the smallest ones. On average - about 20 kilobytes. This is due to the novelty of the Championship and of the MQL4 development environment itself for traders at that time. The trading results of the Expert Advisors of the first Automated Trading Championship of 2006 also turned out to be relatively modest.

In 2007, the picture changed drastically - the files of Expert Advisors had grown in size by almost 70%. The average file size was 33.7 kilobytes. For the second Championship developers had prepared more thoroughly, and presented a number of more serious developments. It was during this year that we saw one of the most successful Expert Advisors, based on neural networks. By the way, the file of this Expert Advisor is larger than the average file size for the Championship of 2007.

The upward trend of the file size remained valid for the year 2008. Although this time, the Expert Advisors have grown by only 34%, compared to the previous year. The average size of the Expert Advisors in 2008 amounted to 45.6 kilobytes, and the trading results of the Automated Trading Championship of 2008 proved to be yet the highest.

The number of multi-currency Expert Advisors

Multi-currency Expert Advisors are, undoubtedly, more complex, in comparison to single-currency Expert Advisors. Such Expert Advisors should always contain an additional module, which will decide which security to give preference to for a particular period of time. According to the dynamics of the quantity of such Expert Advisors, we can also make judgments about the increase in the level of the developers.

Multi-currency Expert Advisors in the Automated Trading Championships 2006-2008

And so, in 2006 there were a total of 14 multi-currency Expert Advisors, participating in the Championship. This is about 5% of the total number of Participants. This is a very good figure for the very first Championship. In 2007 the number of multi-currency Expert Advisors increased by several times, but the percentage of them increased only slightly and amounted to 7.3%. In 2008, the situation with multi-currency Expert Advisors was practically unchanged. Among the 705 Expert Advisors only 7.5% worked on more than one currency pair.

This is an interesting fact: developers are paying little attention to the Expert Advisors, which could theoretically bring a larger profit, since multi-currency Expert Advisors can perform more frequent trading operations. "This can be explained by the fact that the Strategy Tester in MetaTrader 4 does not support multi-currency Expert Advisors" - commented Stanislav Starikov, a member of the Championship's Jury - "Besides, it isn't sufficient enough just to write a multi-currency Expert Advisor. It is much more important and much more difficult to bring it into profit."

Among the nine winners of the three Championships, only one turned out to be a multi-currency Expert Advisor. This was the Expert Advisor of Nicholai Kositsyn, who performed under the nickname GODZILLA, in 2006. It is not surprising that developers are paying more attention to the relatively less complex and more profitable single-currency Expert Advisors.

"New MetaTrader 5 supports multi-currency testing and optimization. We hope that in 2010 we will see more multi-currency Expert Advisors and we will gain more information on these Expert Advisors for analysis" - declared Stanislav Starikov.

Number of Expert Advisors with money management

Another important factor is whether or not the Expert Advisor contains a module for money management. Certainly, the presence of such a module complicates the Expert Advisor, and those Expert Advisors, which lack the money management module, in this study, can be considered relatively simple.

Expert Advisors with a money management module

After analyzing the data, we have found that even at the first Championship more than 80% of the Expert Advisors have changed the number of lots in their trading operations. The logic that was behind these volume changes is not important. What's important is that such module was built into the Expert Advisors. And as it turned out, there is a vast majority of such Expert Advisors.

For the next Championships, the percentage of Expert Advisors with money management only increased. In 2007, 83% of Expert Advisors have changed the size of the lots, and in 2008 85% have done so. In other words, money management is a standard function of the modern Expert Advisor.

Financial factors

But all of the data, analyzed above, would be incomplete without the assessment of profitability of the Expert Advisors. Increasing the size of the files, multi-currency, and money management, may, after all, not have any positive effect on the final profitability. In order to identify the relationship between the complexity of Expert Advisors and their trading effectiveness, we analyzed the profits of the TOP10 Expert Advisors and the winners of each year.

Profit of the Championships' Winners  in percentage of initial deposit

In the Championship of 2006, the winner was able to earn only 251% of his initial deposit. In this Championship there was a relatively small amount of participating Expert Advisors, and the level of development was still relatively low. The average profit of the top ten Expert Advisors amounted to only $10,747. Basically, these Participants were only able to double their initial deposit after 3 months of competition.

But this was only the beginning. In 2007, Alexander Topchylo became the winner by earning over 1,200% from his start-up deposit. The level of development at this Championship had visibly grown. For example, the Expert Advisor of the winner was based on neural networks, which is a rather complicated type of Expert Advisors. The TOP10 Expert Advisors earned an average of 36,079 dollars. The growth of effectiveness of Expert Advisors can be seen by the naked eye: only one year later the Expert Advisors began to earn 3.5 times more than before.

Average profit of TOP10 Expert Advisors

The winner of the 2008 Championship reached even greater results, and earned nearly 1,600% from his initial 10 thousand. 10 of the best Expert Advisors have shown unbelievable results. The average profit for each Expert Advisor was almost 100 thousand dollars. And these results were achieved in just 3 months!

The average profit of the first 10 Expert Advisors demonstrates how much the overall level of Expert Advisors' efficiency has changed. Over the course of 2 years (the time between the Championships in 2006 and 2008), the best developers have found such strategies, which allowed for the increase of the average profit from $10,000 to $100,000.

The profit growth of the TOP10 Expert Advisors reflects a rather steep trend. Let's see whether the developers will be able to maintain the same high pace in the Automated Trading Championship of 2010.

Findings

The analyzed data presents a picture of a stable development of Expert Advisors and of the level of development from 2006 to 2008. The increased file sizes of Expert Advisors suggest that developers are trying to incorporate a larger number of different algorithms, functions, and modules. The vast majority of Expert Advisors are already equipped with various systems of money management in order to maximize the profits.

All of this has led to a phenomenal growth in the profitability of the best Expert Advisors. As can be seen, the maximum result has improved from year to year, and it is possible that in the Automated Trading Championship 2010 a new record will be set. The obtained results also give us reason to hope that the TOP10 Expert Advisors in 2010 will on average earn more than $100,000.

At the same time, multi-currency Expert Advisors have not proven to be very popular, although they are potentially more profitable. We hope that with the new MetaTrader 5, developers will be more likely to develop this type of Expert Advisors, and we will certainly see their achievements at the Automated Trading Championship 2010.

Published by: MetaQuotes Software Corp. Created: 13 July 2010  Print version
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