Expert Advisor (EA) Evaluation System Using Web-based ELECTRE Method in Foreign Exchange (Forex) Market

¹ Master of Information Systems, School of Postgraduate Studies, Diponegoro University, Semarang - Indonesia
² Physics Department of Science and Mathematics Faculty, Diponegoro University, Semarang - Indonesia
³ Department of Informatics Management, AMIK Selatpanjang, Meranti Island - Indonesia

^* Corresponding author: satibi@batam.mobi

Abstract

This research aims to optimize forex trading profit automatically using EA but its still keep considering accuracy and drawdown levels. The evaluation system will classify EA performance based on trading market sessions (Sydney, Tokyo, London and New York) to determine the right EA to be used in certain market sessions. This evaluation system is a web-based ELECTRE methods that interact in real-time with EA through web service and are able to present real-time charts performance dashboard using web socket protocol communications. Web applications are programmed using NodeJs. In the testing period, all EAs had been simulated 24 hours in all market sessions for three months, the best EA is valued by its profit, accuracy and drawdown criteria that calculated using web-based ELECTRE method. The ideas of this research are to compare the best EA on testing period with collaboration performances of each best classified EA by market sessions. This research uses three months historical data of EUR/USD as testing period and other 3 months as validation period. As a result, performance of collaboration four best EA classified by market sessions can increase profits percentage consistently in testing and validation periods and keep securing accuracy and drawdown levels.