Start AI Trading with My Mate! | Vol.5 "What are the characteristics of highly successful AI? (USDJPY edition)"
What is My Mate
My Mate by Invast Securities is a unique trading service that utilizes an AI trading agent powered by reinforcement learning.
The creation method is very simple: just answer four questions! Also, by evaluating your trades, you can influence the AI agent's thinking and nurture an original AI that suits your preferences.
● My Mate Official Blog
The My Mate Official Blog publishes a variety of content from how to create AI to monthly reports and how to operate AI. Please take a look!
https://blog.mai-mate.com/What makes a top-performing AI
Have you ever seen an AI that, despite having settings similar to your own AI, achieves remarkably high performance? This time, we will compare AIs that are choosing USD/JPY and rank in the top 100 in total profit over a certain period against the rest to examine their characteristics.
Trading performance comparison
First, we compared the top 100 AIs that achieved good performance in the most recent year of trading with other AIs. The table below shows the average values for each group.
* AI (USD/JPY) that has aged one year as of May 31, 2021, created by Invast Securities
Not only is there a difference in total profit and loss, but surprisingly the difference in maximum/average realized P/L is not large; what differs greatly is the number of settlements and the maximum drawdown (note 1).
In other words, many TOP100 AIs are not making one big hit in a single trade, but rather accumulating profit steadily by making many trades while managing risk.
Note 1) Maximum drawdown is the largest drop from a peak to a trough in cumulative profit/loss during the aggregation period.
Number of settlements and maximum drawdown
The table below shows the relationship between total profit/loss and the number of settlements for USD/JPY AIs aged one year since inception. The vertical axis is total profit/loss, and the horizontal axis is the number of settlements. As you move to the right, the number of settlements increases, and you can see that performance generally improves with more settlements.
* AI (USD/JPY) that has aged one year as of May 31, 2021, created by Invast Securities
Next, the table below shows the relationship between total profit/loss and maximum drawdown. The vertical axis is total profit/loss, and the horizontal axis is maximum drawdown. There is a clear correlation between total profit/loss and maximum drawdown.
From the above, we can conclude that AI with many settlements and a smaller maximum drawdown tends to perform well.
* AI (USD/JPY) that has aged one year as of May 31, 2021, created by Invast Securities
So why do the number of settlements and maximum drawdown differ? Through various data, we found that the chosen “technical indicators” and “educational policy” during AI creation seem related, as introduced before.
The table below shows, as percentages, which “technical indicators” and “educational policies” each group chose. You can see that the TOP100 frequently selected the “Bollinger Bands” technical indicator. As for educational policy, while not drastically different, the TOP100 tended to choose risk avoidance.
Finally
In USD/JPY, AIs that used “Bollinger Bands” as the technical indicator tend to perform better than others. It is believed that the recent USD/JPY market conditions aligned well with the AI’s thinking, making Bollinger Bands the best-performing indicator among others.
On the other hand, for USD/JPY and other currency pairs, the combinations of the above “technical indicators” and “educational policies” do not always yield good results. The performance can vary greatly depending on factors such as the timing of inception and the number of training sessions.
The data above should be treated as reference data to compare your AI with.
【Important事項 about My Mate risks and costs】
This trading is a over-the-counter foreign exchange margin trading and is not a guaranteed investment. Losses may occur due to fluctuations in the price of the traded currency pair and interest rates.
In addition, swap points may switch from receiving to paying.
If the effective ratio falls below a certain level, positions may be automatically liquidated (loss cut). However, since this trading allows trade beyond the margin required for deposits, in the event of sudden market movements, losses may exceed the margin amount. Please fully understand the mechanism and risks of this trading and trade at your own responsibility and judgment.
● Buy/sell commissions are free for both new orders and settlement orders.
● Investment advisory fees are 1 yen per 1,000 currency units (including tax) and are included in the spread.
● This trading has a difference (spread) between the selling price and buying price of currency pairs, and spreads may widen during rapid market changes.
● You can trade up to 25 times the margin. On the first contracting date, the required margin amount (in yen) will be applied based on the new contract price. From the next business day onward, the required margin amount (in yen) will be applied based on the settlement price (closing price) of each currency pair on each business day. For corporations, on the first contracting date, the amount will be the new contract price adjusted by the FX risk assumption ratio published by the Financial Futures Association. From the next business day onward, the amount will be the settlement price adjusted by the FX risk assumption ratio published by the Financial Futures Association.
Please be sure to read Invast Securities’ website for My Mate risks and important matters.
Invast Securities Co., Ltd. Financial Instruments Business Operator Kanto Finance Bureau Director (Finance) No. 26
Affiliations: Financial Futures Association, Japan Investor Relations Association, Japan Securities Dealers Association
