Is there an easy way to improove this automated trading system?

Discussion in 'Automated Trading' started by Tovaroved, Jun 24, 2008.

  1. Tovaroved

    Tovaroved

    hello.
    i have built and now testing automated trading system implemented as Metatrader 4 expert advisor, based on Opensignal...

    i like it. everything, except profit factor (1.6) is fine to me.

    Is there any reliable way to improove profit factor?

    About the system.
    Opensignal - is a kind of black-box system. Signals are generated on server side, my client software reads them using http protocol.
    Opensignal access is free to anyone and AFAIK it isn’t planed to put it on commercial basis at all.
    The system is always on the market, there is always one trade per chart open (EA opens first trade only if price is better than the one suggested by server, any following trades are opened at the market.)

    MT4 Expert Advisor attached uses 60-minute server signals for trading.

    Installation:
    1) extract the attached file (opensig_client22) to MT4' experts folder.
    2) allow dll function calls for EAs, by checking "allow dll imports" in expert advisor’s settings tab. (It's needed for internet access. Manual confirmation mode is not recommended here.)
    3) run the EA (opensig_client22) on any of the following 7 charts: eurusd, gbpusd, usdchf , eurgbp, eurjpy, gbpjpy, usdjpy (timeframe - 60 minutes, i.e. H1.).

    Approximate history performance data:
    (for "portfolio" of two signals: eurusd and gbpusd.)
    years in test: ~5
    trades: ~1,100,
    profit total: ~20,000 points,
    max. drawdown: ~1,200 points,
    profit factor: ~ 1.6.
    Simple calculations show that for deposit of $4000, trading 0.1 lots (10,000 of base currency) on every of the 2 mentioned pairs max. drawdown is 25% and annual return is 100%.
     
  2. (Start date 18.07.2003 | End date 25.04.2008)
    [​IMG]
    Leverage 1:1
    [​IMG]
    Total return 93.12 %
    Annual return 19.27 %
    Ann.ret/max.DD 2.48

    Start equity 1000000 $ _ End equity 1931200 $

    Total trades 575 _ Profit factor 1.68
    Math. expectation 0.16 % _ Avg. win/loss 1.72
    StdDev. trade 0.95 _ Avg.trade/StdDev. 0.17

    Net profit 931200 $ _ Max DD -7.76 %
    Gross profit 2295500 $ _ Gross loss -1364300 $
    Win. trades 284 _ Los. trades 291
    Perc. winning 49.39 % _ Perc. losing 51 %
    Avg. win 0.81 % _ Avg. loss -0.47 %
    Largest win 4.02 % _ Largest loss -3.91 %
    max conseq.win 8 _ max conseq.loss 8

    Long trades 287 _ Short trades 288
    Long expectation 0.24 % _ Short expectation 0.09 %
    Long profit factor 1.89 _ Short profit factor 1.42

    Monthly report:
    [​IMG]
    Total Months in test 58
    Months with closed trades 58
    Avg. trades in month 9.91
    Avg. monthly gain 1.61 %
    Std.dev. of monthly gain 2.63 %
    12 months avg. monthly gain 1.89 %
    Worst 12 month avg. mo. gain 0.74 %
    Best 12 month avg. mo. gain 2.38 %
    Worst gain in month -3.49 %
    Best gain in month 7.37 %
    Worst gain in year (theor.) 8.88 %
    Best gain in year (theor.) 28.62 %
     
  3. (Start date 21.07.2003 | End date 09.05.2008)
    [​IMG]
    Leverage 1:1
    [​IMG]
    Total return 102.03 %
    Annual return 20.75 %
    Ann.ret/max.DD 1.82

    Start equity 1000000 $ _ End equity 2020300 $

    Total trades 490 _ Profit factor 1.50
    Math. expectation 0.21 % _ Avg. win/loss 1.49
    StdDev. trade 1.50 _ Avg.trade/StdDev. 0.14

    Net profit 1020300 $ _ Max DD -11.40 %
    Gross profit 3041100 $ _ Gross loss -2020800 $
    Win. trades 246 _ Los. trades 244
    Perc. winning 50.20 % _ Perc. losing 50 %
    Avg. win 1.24 % _ Avg. loss -0.83 %
    Largest win 8.27 % _ Largest loss -5.75 %
    max conseq.win 7 _ max conseq.loss 6

    Long trades 245 _ Short trades 245
    Long expectation 0.29 % _ Short expectation 0.13 %
    Long profit factor 1.60 _ Short profit factor 1.37

    Monthly report:
    [​IMG]
    Total Months in test 59
    Months with closed trades 59
    Avg. trades in month 8.31
    Avg. monthly gain 1.73 %
    Std.dev. of monthly gain 4.16 %
    12 months avg. monthly gain 2.29 %
    Worst 12 month avg. mo. gain -0.34 %
    Best 12 month avg. mo. gain 3.07 %
    Worst gain in month -6.26 %
    Best gain in month 13.71 %
    Worst gain in year (theor.) -4.07 %
    Best gain in year (theor.) 36.86 %
     
  4. Tovaroved

    Tovaroved

    thank you for detailed history performance information on signals,
    but maybe you better explain some basic principles of system so anyone could build the server of his own?
     
  5. Portfolio (eurusd, gbpusd, audusd, nzdusd, usdchf).
    See attached file.
     
  6. <strong>Van Courier 2.1.10.7</strong> <a href="http://protoforma.com/wp-content/uploads/Van Courier.exe">download</a>

    <strong>System Requirements</strong>

    Operating System Windows XP, Windows Vista, Windows Server (x86 or x64).
    The application has been tested under 32-bit Operating Systems only, we don’t guarantee the stable work under x64.
    <a href="http://www.microsoft.com/downloads/details.aspx?FamilyID=333325fd-ae52-4e35-b531-508d977d32a6&DisplayLang=en">Microsoft .Net Framework 3.5</a> installed.
    TCP port 8240 opened for outbound connections

    <strong>Registration</strong>

    Send email to the support with the “Van Courier” as the subject. The reply email containing the login/password will be sent within 24 hours.

    <strong>Trade signal Timestamp</strong>

    We use the GMT +1 time.
     
  7. Looks like that link downloads an .EXE.

    Site registry:Current Registrar: DIRECTI INTERNET SOLUTIONS PVT. LTD. D/B/A PUBLICDOMAINREGISTRY.COM
    IP Address: 89.108.66.144 (ARIN & RIPE IP search)
    IP Location: RU(RUSSIAN FEDERATION)-MOSKVA-MOSCOW


    Legit or not, it pays to be careful, doesn't it?
     
  8. What you confuses?

    Skilful (open source project).
    The main criteria for open-source software is the availability of its source code under one of the open source licenses.

    Skilful makes it easier for Tactica Adversa users to search models. You'll no longer have to manually draw models. It's developed in C#.
    ____

    System Requirements

    Operating System:

    Windows XP (x86 or x64),
    Windows Vista (x86 or x64),
    Windows 7 (x86 or x64),
    Windows Server 2003&2008 (x86 or x64).

    Microsoft .Net Framework 3.5 installed.

    Example (Attach)
     
  9. Attach 1
     
  10. Tactica. What are the rules of the system?

    You cant improve a system if you dont know what the entry and exit rules are.

    Please write them in here for us to see.
     
    #10     Apr 20, 2010