【This Week’s Results & ChatGPT】 Try to Managing a Free EA Portfolio 2 (29 May-2 June 2023)

mini review ChatGPT,Portfolio 2,Portfolio management

Mini-review – We asked ChatGPT!                                                                                                                                                                                                                                           

This time, I asked about pair trading, which is one of my favorite trading methods.

Q: Please tell me the specific method of pair trading method in Forex.

A: ChatGPT response: https://chat.openai.com/auth/login

Pair trading is the strategy of trading two highly correlated currency pairs simultaneously, taking advantage of the difference when one currency pair is overvalued or undervalued relative to the other.

Below are the basic steps of pair trading:

  1. Pair Selection: First, choose two currency pairs to use for pair trading. These currency pairs are usually chosen for their highly correlated price movements. Correlation is calculated using historical price data and expressed as a correlation coefficient. Correlation coefficients range from -1 (completely anti-correlated) to +1 (completely correlated), and currency pairs with correlation coefficients above +0.7 or below -0.7 are considered to be strongly correlated. increase.
  2. Calculate Spread: Calculates the price difference (spread) between two selected currency pairs. Spreads are usually calculated by dividing the price of one currency pair by the price of the other currency pair.
  3. Spread Analysis: Calculate the historical mean and standard deviation of spreads and determine how much the spread deviates from these values. Spreads are generally considered overstated or understated when they deviate from the mean by more than two standard deviations.
  4. Entry and Exit: If the spread is overvalued (i.e. one currency pair is overvalued relative to the other), sell (short) the overvalued currency pair and undervalue the currency pair. Buy (go long) the currency pair. Conversely, if the spread is undervalued (i.e. one currency pair is undervalued relative to the other), sell (short) the undervalued currency pair and Buy (long) a pair. Then close the position (exit) when the spread returns to the average again (i.e. when the two currency pairs are fairly valued again).
  5. Risk Management: Pair trading is considered relatively low risk as it makes use of relative price differences. However, unexpected risks may arise, such as if market conditions change or if the price of one currency pair fluctuates significantly. Therefore, proper risk management is important. For example, you can set a stop-loss order to prevent your loss from exceeding a certain range.
  6. Repetition: Since pairs trading is a short-term, small-profit strategy, repetition of these steps yields results.

Note that pair trading may not be effective depending on market conditions. For example, if the price of one currency pair is moving rapidly relative to the price of the other currency pair (i.e. the correlation is broken), the effectiveness of pair trading may be diminished. Also, pair trading assumes that the market is efficient, but when the market becomes less efficient, the effectiveness of pair trading also decreases.

A textbook explanation would be something like this. However, in reality, the strength of the currency itself has a greater impact than the spread, and it is difficult to grasp the opening and closing of the spread in discretionary trading.

MQL5 Free EA – NOZAX Portfolio No.2

NOZAX Portfolio NO.2
  • Account: NZX Zero (ECN) (NOZAX)
  • Initial balance: 100,000 yen
  • Working EA:
  • TraderMind EA MT5: Currency Pair: USDCAD#, Timeframe: 1 Hour, Lot quantity: 0.04 Lot
  • White Bear DT for NOZAX v1.13: Currency pair: USDJPY#, Timeframe: 5-minute, Lot quantity: 0.02 lot
  • Catastrofix EA MT5: Currency Pair: EURGBP#, EURAUD#, EURNZD#, EURUSD#, GBPCAD#, AUDJPY#, Timeframe: 1 Hour, Lot quantity: 0.01 lot

Results from 29 May to 2 June (NOZAX Portfolio No.2)

  • TraderMind EA MT5: 1 win and 3 losses, total profit and loss was -3,719 yen (-87.9 pips).
  • White Bear DT USDJPY: 0 wins and 0 losses, total profit and loss was 0 yen (0 pips).
  • Catastrofix EA MT5: 1 win and 9 losses, total profit and loss was -2,986 yen (-306.5 pips).

Past Results (NOZAX Portfolio No.2)

The individual results of each EA in the portfolio No. 2 are as follows.

  • 10 April-2 June 2023
    (Trades with a profit of even 1 yen are counted as “winning", while the reverse is counted as “negative")
  • Balance: 100,000 yen → 94,020 yen

Current status and schedule of the portfolio

EA didn’t do well this week. TraderMind EA MT5, which has been doing well for a long time, is also not doing well. Regarding this EA, it seems necessary to consider whether it has become obsolete or whether it happened to not match the market. I would like to see the situation by dropping the lot number from next week.


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Posted by GOMA