MT4 Forex trading is evolving to take advantage of a new paradigm that employs dozens or hundreds of Expert Advisors. A tool is required to monitor and track the performance of each strategy. MT4 Tracker was developed just for this purpose.
MT4 Tracker is a Windows application that can be used to refine and optimize a portfolio of EAs.
In addition to collecting statistics for each strategy, MT4 Tracker can exclude or “prune” poorly performing strategies from an EA Portfolio Expert and regenerate a new Expert Advisor that trades with greater reliability and profit.
Features of MT4 Tracker:
- Import Account History Report From MT4
- Calculate And View Statistics And Performance Charts
- Monitor the performance of dozens or 100’s of Expert Advisors
- Display performance chart of every Expert Advisor
- Perform “What If” Experiments By Excluding Certain Strategies
- Prune Portfolio Expert To Remove Poorly-Performing Strategies
- Detailed Inspection Of Balance Chart To Identify Cause Of Dips
- Compare Linearity Of Balance Charts Before And After Pruning
To begin using MT4 Tracker the Account History report (*.HTM) is exported from MT4 and then imported into MT4 Tracker. The video below shows how to export MT4’s Account History
MT4 Tracker reads and parses the Account History and then populates its Table View, which shows all your trades, along with their corresponding Magic Numbers.
MT4 Tracker reads and parses the Account History and then populates its Table View, which shows all your trades from the MT4 Account History report, along with their corresponding Magic Numbers. Each row in the table represents a single strategy and summarizes its trading results by displaying: Magic Number, Number of Trades, Net Profit, Win Percent, Profit Factor, Expectancy, and Return/DD Ratio statistics. The last column in the table, Exclude, is used to mark the strategy for removal or “pruning” (more on this later).
With the imported data loaded into the Table View, you can now scroll through the list of Magic Numbers and actually see how each strategy is performing. And at the bottom of the window a balance chart for the portfolio as a whole is shown, along with some of its statistics.
You can quickly scroll through the performance chart of each EA by pressing the
One of the most useful features of MT4 Tracker is that it gives you the ability to exclude certain strategies and then recalculates the account’s performance. In this way — that is, by comparing the account’s performance with / with out certain strategies — then you can decide which strategies to remove from your portfolio going forward.
The image below shows a couple of ways to exclude strategies. One way is to scroll down the Table View and select each strategy, one-by-one, and view its performance chart. If you don’t like its performance then click the ‘Exclude’ checkbox corresponding to that strategy. A second way is to right-click inside the Table View and a pop-up menu will appear with a few options — e.g. exclude a collection of strategies whose Expectancy, Profit Factor, Win Percent or Return/DD Ratio is below a threshold value that you specify.
Also, you can click on the column headers — e.g. Net Profit, Win Percent, Profit Factor, Expectancy — to sort the strategies from best-to-worst (or vice versa). In this way it may become more apparent which strategies are “keepers” and which should be excluded.
In the example below we show the balance chart for the portfolio “Before” and “After” excluding those strategies whose Return/DD Ratio is < 3. If you examine the statistics for the portfolio as a whole, you can see the improvement can be fairly dramatic when poor-performing strategies are removed.
MT4 Tracker can take a Portfolio Expert MQ4 input file, remove (or “prune”) those strategies that have been marked for exclusion, and then regenerate a new Portfolio Expert MQ4 output file. This feature is accessed by selecting the “Excluded Strategies” tab. Please note that this feature only applies to EA Studio’s Portfolio Experts.
Along the left-hand side is the list of strategies (i.e. Magic Numbers) that have been marked to be excluded. The “Before” and “After” stats and charts are also shown. To actually make the changes you will need to enter 3 pieces of information and then press the ‘Apply’ button. The 3 pieces of information are: Base Magic Number, Input Portfolio Expert (MQ4) filename, and Output Portfolio Expert (MQ4) filename.
The chart below shows the result of substituting the original Portfolio Expert with a “pruned” one. This is a live “micro” account. At around trade #58 the original Portfolio Expert was replaced with a new “pruned” version where all strategies with winning percentages less than 80% had been removed.
This feature of MT4 Tracker allows you to traverse up and down the portfolio chart in finer detail. This can help identify which strategies caused significant dips in the balance chart. Also, you can view where the trades for each Magic Number occurs on the balance chart.
MT4 Tracker computes “linearity” charts for both the “BEFORE” and “AFTER” portfolio balance charts. How one interprets a portfolio’s balance chart is somewhat subjective, though we do place importance on linearity as a measure of robustness. The reason for this is because in the absence of being able to predict the future, a balance chart that exhibits a linear pattern over its first 200 trades gives us some confidence future trades will continue the pattern.
‘Robustness’ is an elusive property that is highly desirable in all trading systems. It refers to how a particular strategy (or portfolio of strategies) performs over a period of time that includes many trading transactions. A robust strategy is one whose performance is consistent and doesn’t vary. A portfolio that includes a diverse collection of EAs has an advantage over a single EA in terms of its ability to trade in a consistent, robust manner.
From a statistical point of view, one could claim that a linear balance chart infers the portfolio trades in a robust manner. The “Before” and “After” linearity charts allow you to compare portfolio performance before and after pruning poor-performing strategies. R-squared is a statistical measure of how close the data are to a fitted, regression line. Roughly, it is the percentage of data points that contribute to a linear, fitted curve. And if linearity can be considered a measure of robustness, then R-Squared provides a valuable metric by which we can compare one balance chart with another.
Articles of interest:
Regression analysis and interpreting R-squared and Goodness-Of-Fit.
Multi-Market techniques for robust trading strategies.
Monte Carlo approach to stress-test a trading strategy.
MT4 Tracker software is copyrighted © by Nuts About Nets, 2006-2017.
MT4 Tracker – Application For Managing And Optimizing MT4 Strategy Portfolios
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