Greets:

Based on Chris' post, I went back and ran some more tests. Although his seem to have the EURJPY a bit in front, all my tests have always pointed to the GBPUSD as being the leader.

So I loaded a number of currencies in my Velocity charts, and went back as far as it would download data. For H1 charts, I got:

H1 Charts, 118 bars / week
GBPUSD: 19 Jan, 2005 - 5 Oct, 2007: 5646 pips, 16874 bars ~ 39 / week
EURJPY: 16 Feb, 2005 - 5 Oct, 2007: 3560 pips, 16392 bars
EURUSD: 16 Feb, 2005 - 5 Oct, 2007: 3427 pips, 16392 bars
GBPJPY: 16 Feb, 2005 - 5 Oct, 2007: 3254 pips, 16391 bars
USDCHF: 16 Feb, 2005 - 5 Oct, 2007: 2920 pips, 16392 bars
USDJPY: 16 Feb, 2005 - 5 Oct, 2007: 2808 pips, 16391 bars
CADJPY: 14 Jul, 2006 - 5 Oct, 2007: 1195 pips, 7574 bars
EURGBP: 16 Feb, 2005 - 5 Oct, 2007: 152 pips, 16390 bars
AUDUSD: 16 Feb, 2005 - 5 Oct, 2007: -207 pips, 16392 bars
USDCAD: 16 Feb, 2005 - 5 Oct, 2007: -517 pips, 16390 bars
EURCHF: 16 Feb, 2005 - 5 Oct, 2007: -532 pips, 16392 bars
AUDCHF: 13 Jul, 2006 - 5 Oct, 2007: -849 pips, 7229 bars
GBPCHF: 16 Feb, 2005 - 5 Oct, 2007: -1159 pips, 16392 bars
CHFJPY: 8 Feb, 2005 - 5 Oct, 2007: -1213 pips, 16392 bars
NZDUSD: 9 Feb, 2005 - 5 Oct, 2007: -1616 pips, 16391 bars
AUDJPY: 7 Feb, 2005 - 5 Oct, 2007: -1864 pips, 16392 bars
NZDJPY: 28 Jul, 2005 - 5 Oct, 2007: -2177 pips, 13469 bars
EURCAD: 31 May, 2005 - 5 Oct, 2007: -2960 pips, 14496 bars
AUDNZD: 27 May, 2005 - 5 Oct, 2007: -5655 pips, 14453 bars
AUDCAD: 27 May, 2005 - 5 Oct, 2007: -6554 pips, 14112 bars
EURAUD: 21 Jan, 2005 - 5 Oct, 2007: -7997 pips, 16392 bars

Not terribly impressive, but ok. Interesting part is that one would probably consider only trading the top 4, and, if relying on these number, maybe just the GBP with more lots.

Since the pound was so far ahead, I ran tests just for it on other timeframes:

H4 Charts, 30 bars / week
GBPUSD: 3 Apr, 2001 - 5 Oct, 2007: 9946 pips, 10333 bars ~ 28 / week


M30 Charts, 236 bars / week
GBPUSD: 28 Apr, 2006 - 5 Oct, 2007: 3392 pips, 17760 bars ~ 45 / week


M15 Charts, 472 bars / week (40.27
GBPUSD: 27 Dec, 2005 - 5 Oct, 2007: 325 pips, 19009 bars ~ 28 / week


The M30 at 45 per week is a bit larger than the H1, possibly just because it does not go back as far in time, and there seems to be a commonality that it works better more recently. The M15 just seems to lose too much. All test I have tried with the M15 are not good.

But the one thing that I did confirm to my satisfaction is that Chris is right that turning UseSmallerExit off, and UseVolExpanding on works much better than the reverse.

Working on the EA now.

-Derk