xMaker is a MATLAB based algorithmic trading strategy builder. xMaker creates the best and most efficient strategies based on the user's desired recovery factor, total number of trades, linear regression correlation, win ratio and maximum allowed correlation between strategies.
xMaker provides a unique code for each of strategies to be used on the provided MetaTrader Expert Advisor.
xMaker allows the user to modify the search for strategies through the following performance measures:
Rf – Recovery Factor: Ratio of gained profit to the maximum drawdown.
Tt – Total Trade: The total number of trades.
Lr – linear regression correlation: Correlation between the balance graph and the linear regression.
Win – Win ratio: Ratio of profitable trades to the total trades.
Corr – Maximum allowed correlation between strategies: Amongst all the strategies with high correlation, only the best will be be chosen in each similar strategy group. The correlation that user can choose here represents the correlation between each strategy group and it is used to stabilise the performance in terms of profit and drawdown. Lower correlation would result in smaller fluctuations in the performance of the expert advisor.
xMaker uses a modified super-fast back-test engine to increase the speed and accuracy of back-testing.
To neutralize the effect of position sizing, xMaker uses 0.01 lot as the volume for all the trades during the test with $1000 of initial balance.
The performance report includes various statistical factors, which help the user to analyse the performance of each strategy:
id: Strategy index
Code: strategy code to use in Exper Advisor.
Tt: Total trade, the total number of completed trades.
Sh: Sharp ratio, Average return divided by the standard deviation of returns.
RF: Recovery Factor, absolute value of Net Profit divided by Max Drawdown.
PF: Profit Factor, gross profit divided by gross loss.
Mu: Mean trade net profit, calculated by dividing the total net profit by the total number of completed trades.
lMu: Lower Band of Average trade net profit, Estimated with 95% confidence interval.
Std: standard deviation of returns.
ESe: Expected Shortfall empirical, Is the expected loss on when there is a Value-at-Risk (VaR) failure (with 95% confidence interval).
ESt: Expected Shortfall theoretical, similar to ESe but calculated by fitted t location-scale probability distribution.
Win: Win rate, the ratio of the number of winning trades to the total number of completed trades.
PrR: Profitability Rule, profitability of a trading system, referred to profit factor and average winning to average losing trade.
Kly: Kelly Criterion, percentage of capital to put into a single trade.
AW: Average Win, The average profit per trade.
AL: Average Loss, The average loss per trade.
LrEq: Linear correlation of Equity curve, to estimate the smoothness of the strategy equity curve.
LrPr: Linear correlation of returns.
MxS: Maximum Stagnation, Maximum trade days without new equity.
MxH: Maximum Hold days, Maximum trade days with open position.
opF: Optimal f, Fraction of capital, to risk on each event, which maximizes the geometric growth of the equity.
IrL: Integrated risk of loss, Chance of failure based on average holding period returns (AHPR).
MAE: Maximum Adverse Excursion, the maximum amount of loss that was available while a trade was open.
MFE: Maximum Favourable Excursion, the maximum amount of profit that was available while a trade was open.
ShY: Sharp Yearly, annealed sharp ratio based on time frame.
ShM: Sharp modified, modified sharp ratio based on Modified Cornish-Fisher VaR.
ACW: Average consecutive wins.
ACL: Average consecutive losses.
Efc: Efficacy, Gross profit divided by the net profit.
Rla: Reliability, Efficacy divided by the Relative Drawdown.
RRr: Risk of Ruin by Ralph Vince formula. Probability of losing 5% of capital.
RRt: Risk of Ruin by Tim Tillson formula.
Umu: Average number of consecutive loss to ruin 5% of capital.
Lrs: Linear Regression Standard Error. Standard Error between trend line and equity curve.
Algo Factory Ltd.
Algo Factory Ltd is a company registered in England and Wales, registered number: 11703465
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