The world has changed… I feel it in water, I feel it in the ground,
I feel in air. Much, that was before – will not return never…
” The Lord of Rings “, Tolkien.
The idea of creation Gandalf_PRO EA is taken from this branch of a forum.
The EA holds open one buy and one sell orders (without dependence from each other)
Until the market of them will not close with fixed TP or SL.
The input in the market occurs on the basis of two-parametrical Exponential Smoothings
Time Series in view of 2 parameters:
1-st parameter: it is parameter of accommodation of the price-S,
2-nd parameter: it is parameter of an inclination of trend T,
Calculations go under recurrent formulas:
S [n] =w*y [n] + (1-w) * (S [n-1] +T [n-1])
T [n] =t * (S [n]-S [n-1]) + (1-t) *T [n-1]
Then, the predicted value: y [n+1] =S [n] +T [n]
As initial (i.e. initial) values (estimations) for 1-st and 2-nd parameter it is possible
To take factors from the formula of linear regress – from here.
_____________________________________________________________________________________
Entrance variables in the EA :
For longs:
In_BUY=true; long positions allowed,
Count_buy=24; number of bars in a history on which smooths out ВР,
w_price=0.18; factor of the price,
w_trend=0.18; factor of a trend,
SL_buy=62; a level stoploss in pips,
Risk_buy=0; a risk level in % .
For shorts: variables In_SELL, Count_sell, m_price, m_trend, SL_sell, Risk_sell – are similar.
_____________________________________________________________________________________
Optimization passes in 2 stages, on constant lot, i.e. when Risk_buy=0; and Risk_sell =0;
Stage 1, for longs: In_BUY=true; In_SELL=false; Count_buy from 3 up to 120, with step 1;
w_price and w_trend from 0.05 up to 0.6 with step 0.01; SL_buy from 30 up to 100, with step 1.
Stage 2, for shorts: In_BUY=false; In_SELL=true; the other-is similar.
The EA well trades on “fat” sites of a trend on periods H4 and D – EURUSD,
However, the additional filtration is necessary for an input in the market with application of indicators
on the higher periods.
__________________________________________________________________________________________
Examples.
1. Movement on the north from March, 9 till March, 20, 2009:
| Symbol | EURUSD (Euro vs US Dollar) | ||||
| Period | 4 Hours (H4) 2009.03.09 00:00 – 2009.03.19 20:00 (2009.03.09 – 2009.03.20) | ||||
| Model | Every tick (the most precise method based on all available least timeframes) | ||||
| Parameters | In_BUY=true; Count_buy=24; w_price=0.18; w_trend=0.18; SL_buy=62; Risk_buy=0; In_SELL=false; Count_sell=24; m_price=0.18; m_trend=0.18; SL_sell=62; Risk_sell=0; | ||||
| Bars in test | 1055 | Ticks modelled | 420744 | Modelling quality | 90.00% |
| Mismatched charts errors | 3 | ||||
| Initial deposit | 10000.00 | ||||
| Total net profit | 326.02 | Gross profit | 389.82 | Gross loss | -63.80 |
| Profit factor | 6.11 | Expected payoff | 27.17 | ||
| Absolute drawdown | 116.90 | Maximal drawdown | 142.10 (1.42%) | Relative drawdown | 1.42% (142.10) |
| Total trades | 12 | Short positions (won %) | 0 (0.00%) | Long positions (won %) | 12 (91.67%) |
| Profit trades (% of total) | 11 (91.67%) | Loss trades (% of total) | 1 (8.33%) | ||
| Largest | profit trade | 58.10 | loss trade | -63.80 | |
| Average | profit trade | 35.44 | loss trade | -63.80 | |
| Maximum | consecutive wins (profit in money) | 11 (389.82) | consecutive losses (loss in money) | 1 (-63.80) | |
| Maximal | consecutive profit (count of wins) | 389.82 (11) | consecutive loss (count of losses) | -63.80 (1) | |
| Average | consecutive wins | 11 | consecutive losses | 1 | |
__________________________________________________________________________________________
№2. Movement on the south from September, 24 till October, 31, 2008:
| Symbol | EURUSD (Euro vs US Dollar) | ||||
| Period | 4 Hours (H4) 2008.09.24 00:00 – 2008.10.30 20:00 (2008.09.24 – 2008.10.31) | ||||
| Model | Every tick (the most precise method based on all available least timeframes) | ||||
| Parameters | In_BUY=false; Count_buy=24; w_price=0.18; w_trend=0.18; SL_buy=62; Risk_buy=0; In_SELL=true; Count_sell=24; m_price=0.18; m_trend=0.18; SL_sell=62; Risk_sell=0; | ||||
| Bars in test | 1163 | Ticks modelled | 780695 | Modelling quality | 90.00% |
| Mismatched charts errors | 32 | ||||
| Initial deposit | 10000.00 | ||||
| Total net profit | 857.40 | Gross profit | 2007.24 | Gross loss | -1149.84 |
| Profit factor | 1.75 | Expected payoff | 17.86 | ||
| Absolute drawdown | 67.70 | Maximal drawdown | 362.48 (3.31%) | Relative drawdown | 3.31% (362.48) |
| Total trades | 48 | Short positions (won %) | 48 (62.50%) | Long positions (won %) | 0 (0.00%) |
| Profit trades (% of total) | 30 (62.50%) | Loss trades (% of total) | 18 (37.50%) | ||
| Largest | profit trade | 251.20 | loss trade | -64.88 | |
| Average | profit trade | 66.91 | loss trade | -63.88 | |
| Maximum | consecutive wins (profit in money) | 7 (384.44) | consecutive losses (loss in money) | 5 (-319.36) | |
| Maximal | consecutive profit (count of wins) | 394.04 (3) | consecutive loss (count of losses) | -319.36 (5) | |
| Average | consecutive wins | 3 | consecutive losses | 2 | |
Similar MetaTrader Trading Tools:
