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Wednesday, August 24, 2011

GPS Forex Robot Review

In my next strategy review I took a look at GPS Forex Robot. The strategy is promoted through a very lengthy splash page (I wonder what the record is for this...) but this includes nearly 900 comments - all of which look to have been responded to by the developers, which I'll give them credit for at least. The splash page offers the typical hyperbole and pointless picture of creators next to their cars but here Metatrader will do the talking.

This strategy retails at $149 and offers an additional service, charged per month, which I did my best to avoid clicking.  This point at which the additional monthly offer appears is after you complete payment for the strategy. You have to scroll to the end of the second lengthy splash page to complete purchase of the basic strategy system without the monthly charge. This review will only focus on the basic robot, not the monthly service offered.

GPS Forex Robot offer a 60-day money back guarantee which is good and certainly gives you time to test it out.


This was easy and the documentation was good. GPS Forex Robot offer an automated installer all of which you have to do is to select the MetaTrader directory to drop the files into. A restart of MetaTrader will see three systems labelled for EURGBP, EURUSD and USDCHF. As you can probably tell, only these three pairings are supported. So if you are looking for a dollar-yen strategy you will be out of luck.

The documentation also does a good job of explaining how to set up MetaTrader to trade the Robot.

They recommend trading on H1 and M15 timeframes (this test is on the M15 timeframe). They also suggest using a lot size of 0.01 for every $100 of your account and this is easy enough to test before you start. The document even outlines how to set up a Backtest. They suggest checking the Optimization parameter for Balance as part of the Backtest routine (this test will not use Optimization). 

Expert Properties Setup

In the Inputs tab of the Expert Properties you need to add in the Email address and CBReceipt reference. You will not be able to Backtest or trade live without doing this. Note: In their documentation they use a numeric example for the CBReceipt reference but this can be a sequence of letters too. Don't delete your CB Receipt!

It's also necessary to set the "AutoGMTOffeset" to False. I received an error when I tried to run a Backtest without doing this.

For a $10,000 account, GPS Forex Robot recommend a lotsize of 1.0, but my comparative test will use the lot size of 0.1 (recommended for a $1,000 account).

Comparative Test Period

No Optimization was used in the testing and we have three, 12-month periods which were initially randomly selected beween Jan 1st 2000 and Jan 1st 2009. It just so happened the selected periods clustered in the early part of the decade:

March 31st 2000 to March 31st 2001
June 29th 2003 to June 29th 2004
May 17th 2001 to May 17th 2002

The M15 time frame was tested.

Comparative Results

In the documenation GPS Robot recommend testing from April 2007 and in repeating their settings you can get signal data.

However, using the aforementioned Comparative test periods there were a number of issues:

[1] The March 2000 - 2001 test only showed signals in March 2001 and nothing before then.
[2] June 2003 - 2004 test offered no signals. When optimization was selected, 6 signals were discarded as insignificant.
[3] May 2001 - 2002 test only showed signals in March and April 2002.

So in three years there were only ten signals. This is too small a sample size to verify performance, despite the good performance of those ten trades.

Random Test Period

Three additional 12-month periods were selected for testing. Again, EURUSD was the pairing and the periods were selected between January 1st 2000 and January 1st 2009.  Tests were done on 15-minute data. The three periods were:

June 3rd 2005 to June 3rd 2006
May 18th 2004 to May 18th 2005
October 5th 2001 to October 5th 2002

Random Test Results

The same issues which were raised in the Comparative test emerged in the Random test too.

[1] The June 2005 - 2006 period offered no signals, but optimization suggested 6 signals which were ignored.
[2] May 2004 - 2005 no signals. Again, 6 overlooked signals on optimization.
[3] October 2001 - 2002 offered 4 signals, but the randomized period results were similar to the Comparative test May 2001 - 2002 results.


How good is the system? Without a more robust data set no real conclusion can be drawn. There was nothing in the Journal outputs from the tests to suggest a problem in the data (and this is the same data used in other Metatrader EA comparisons). 327 trades were generated for back test run on GPS Forex's recommended time frame of April 2007 to the current day. Of those 327 trades, 94% were profitable with an average return of $88.8 per trade (effectively 8.8% per winning trade). So in that respect the back test holds true. However, in the same backtest, the strategy exhaled all of its gain on the last day of the test??? Not surprisingly, this plunge is not visible on any of their promotional material. The bizarre equity curve (line) of the backtest from start to finish actually looks like this:

There are two important issues which aren't hidden in GPS's promotional material. The first is the large Drawdown for the strategy. The second is the high loss per losing trade. 

In their promotional example the average Return Per Profitable Trade of their USDCHF system is $147.21, but the Return Per Losing Trade in the strategy is over ten times greater, at $1,564 (and in their 4 year test period there were 25 losing trades and 565 profitable trades). In one case, there were two consecutive losing trades for a combined loss of $3,046. So this is not a system for the feint of heart, despite the high win percentage of trades.

Obviously, GPS Forex Robot don't draw attention to the system's losses or drawdown risk, but at the same time, they don't hide it either. I don't know what the equity curve I show is different to theirs, or whether the returns hold true if traded live.  As stated at the start, GPS Forex Robot offers a 60-day money back guarantee. So it may be worth a trial and see how you get on. The one piece of advice I would give because of the large drawdown risk and loss per trade is to use a smaller lot size. So while they may recommend 0.01 lot per $100 I would be more inclined to start with a 0.01 lot per $1,000 capital. 

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