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R-trade Marginal Trading Robotic Kit (MTRkit) application Trading robot SAGE The trading robot SAGE provides with the completely automatic carry out of established set ofstrategy on the trading account at the FXCM broker by the means of the corresponding broker API. There are 44 trading strategies in EURUSD and GBPUSD in the suggested SAGE version. SAGE needs to be installed on the client standard PC with internet connection; required space is3-4 MB. FXCM API tool FX2GO needs to be installed additionally only. SAGE establishes connection with particular FXCM account. SAGE trades periodically. It does the following actions every time: - Receives actual price data from FXCM data feed; - Processes it using powerful Data Mining tools, generates trading orders; - Executes orders through broker API. The main criterion of a correct current of process of trade is the affinity of 2 curves - settlement and actual account values of cumulated profit/loss within any time span. The user has possibility to supervise trade process analyzing: - A current market position; - Reports on each currency pair and the total; - Reports on any combination of strategy from available 44 including particular one. The results of real trading in the connection with FXCM account represented below. SAGE executes 3127 trades within the time span of 410 trading days since 1/12/2009 till 29/06/2011. SAGE executes approx 8 trades daily in average. Average gross profit/trade is 9.5 pips what is $9.5 for mini and $95 for standard contract. Average net profit/trade is near 6.5 pips what is $6.5 for mini and $65 for standard contract. Cumulative net profit since 1/12/2009 is 6.5pips*3127=20 326pips what is $20 326 for mini and $203 260 for standard contract. ROI for 19 months is approx 200%. Year ROI is approx 133%. PF is equal 1.56 Max DD is near 5000pips in Feb-March at the time of North Africa and Fucusima events. It has been compensated in the subsequent.
On graphs below 2 curves of cumulated PL values are presented. The first curve is settled by the robot at the prices. The second - the report on perfected transactions on the account directly. Their coincidence convincingly confirms efficiency of an automatic management system with the account which SAGE as a matter of fact is. X-axis is time span of 393 trading days since 1/12/2009 till 29/06/2011 for settlement and 1/12/2009 till 2/03/2011 for account values. Account reporting after March, 2-nd stopped by any tech reasons of the reporting system. Y-axis is cumulative profits-losses values in points (pips). 1 point is equal $1Contract size is equal $10 000 (mini). Initial deposit is equal $10 000Cumulative PL curve settled by SAGE and Account cumulative PL values
25/03/2003 – 29/06/2011 settled PL curve, 2121 trading days, approx 9 years16402 trades, net PL/trade = 13.5pips, net PL=221 427 pipsPF=2.22approx Year ROI=220%The marked point on the graph corresponds to 01/12/2009. This date starts the trading at the account.The left side from marked point is so called learnig area where model parameters estimated andcompleted. The combined trading strategy was designed there, another words. The right side frommarked point is the life area where Robot realized this trading strategy in the real conditions,circumstances in the connection with account.How does correlate design performance figures with the real ones?By PF 1.6/2.3=0.73By ROI 133%/220%=0.61We see that real performance is approx 60-75% of designed value what is enough good for that kind ofautomatic controlling systems.