# Intelligent Dynamic Backlash Agent: A Trading Strategy Based on the Directional Change Framework
## 8 Experiments: Results and Discussion
### Experiment 1: Evaluating the Performance of IDBA
\begin{table}
\begin{tabular}{c c c c c c c} \hline \hline
**Trading Period** & **AUD/USD** & **AUD/CAD** & **GBP/CAD** & **GBP/NZD** & **NZD/USD** & **EUR/NZD** \\ \hline January & 1.4 & 2.0 & 0.7 & 2.0 & 1.9 & 1.2 \\ February & 2.5 & 2.4 & 0.6 & 2.1 & 2.2 & 1.5 \\ March & 0.5 & 2.7 & \(-\)0.3 & 2.3 & 1.1 & 2.2 \\ April & 2.4 & 2.5 & \(-\)0.2 & 2.4 & 0.1 & 3.2 \\ May & 2.1 & 1.9 & 0.9 & 1.7 & 1.9 & 1.5 \\ June & 1.9 & 2.3 & 0.5 & 2.5 & 2.2 & 2.4 \\ July & 3.0 & 2.4 & 0.6 & 3.6 & 2.5 & 0.4 \\ August & 1.1 & 3.0 & \(-\)0.1 & 2.2 & 1.9 & 1.1 \\ September & 2.7 & 2.3 & \(-\)0.3 & 2.5 & 1.6 & 1.2 \\ October & 1.8 & 1.1 & 0.7 & 3.4 & 0.8 & 2.0 \\ November & 1.8 & 1.9 & 0.5 & 2.9 & 1.9 & 0.6 \\ December & 2.3 & 1.7 & 0.7 & 2.2 & 2.5 & 0.8 \\ \hline
**Sum** & **23.5** & **26.2** & **4.3** & **29.8** & **18.8** & **16.1** \\ \hline \hline \end{tabular}
\end{table} 
Table 8: Summary of the monthly \(RR\) (%) obtained by trading with IDBA to each of the six considered currency pairs. The trading period is from 1 January 2017 to 31 December 2017. Experiment 1: Results' Discussion  
To begin, we examine the profitability of IDBA. The monthly \(RR\) reported in Table 8 indicates that IDBA is, in most cases, profitable (except in a few cases; e.g., trading with IDBA on GBP/CAD in September 2017, as shown in Table 8). The cumulative rates of return (\(RR\)), reported in Table 7, suggests that IDBA can be attractively profitable (with \(RR\) of up to 29.8%; as in the case of applying IDBA to GBP/NZD). The overall win ratio of IDBA (i.e., the probability of having a winning trade) ranges between 0.78 (as in the case of applying IDBA to GBP/NZD) and 0.64 (as in the case of applying IDBA to GBP/CAD). We consider this range to be reasonably acceptable. We also note that the profitability of IDBA can vary largely from one currency pair to another. For instance, in Table 7, we can observe that in the case of GBP/NZD, IDBA generates \(RR\) of 29.8%, whereas it generates \(RR\) of only 4.3% in the case of GBP/CAD (in the same table). This indicates that the performance of IDBA may vary considerably from one currency pair to another. This, in turn, suggests that a trader may want to consider other currencies, given that IDBA may, possibly, perform better with these than those reported in this section. We want to iterate that we consider the instantaneous actual bid and ask prices for every trade in all experiments. We then inspect the risk of IDBA. Based on the results reported in Table 7, we identify that the maximum drawdown (\(MDD\)) is no worse than 3.4%. We consider these values of \(MDD\) to be reasonably low. We would also like to know how often the trading rules IDBA were interrupted by the risk management module (Section 5.4). Table 9 reports the number of times that \(MDD_{\mathit{Trading}}\) has exceeded \(MDD_{\mathit{Training}}\) for each of the six considered currency rates throughout the trading period  
Figure 10: A scatter plot of the order size parameters \(PPV\) and \(FNR\) (i.e., the fraction of capital for a buy order) in the case of trading with IDBA over GBP/CAD. In this case, IDBA has triggered 986 trades in total (see Table 7). The \(x\)-axis denotes the indices of these trades. The \(y\)-axis denotes the order size (i.e., the fraction of capital used for a specific trade). \begin{table}
\begin{tabular}{c c c c c c} \hline \hline
**AUD/USD** & **AUD/CAD** & **GBP/CAD** & **GBP/NZD** & **NZD/USD** & **EUR/NZD** \\ \hline
6 & 5 & 7 & 6 & 5 & 5 \\ \hline \hline \end{tabular}
\end{table} 
Table 9: Number of times that \(MDD_{\mathit{Trading}}\) has exceeded \(MDD_{\mathit{Training}}\) for each of the six considered currency pairs (based on the risk management module described in Section 5.3). of 12 months. For example, in the case of GBP/CAD, the number shown is 7. This means that the inequality \(MDD_{Trading}>MDD_{Training}\) has held true seven times throughout the trading period of 12 months.