MetaTrader 4 MT4 Expert Advisors Gandalf_PRO – EA MetaTrader 4

Gandalf_PRO – EA MetaTrader 4

                                                                                 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.

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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.


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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.

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Examples.


1. Movement on the north from March, 9 till March, 20, 2009:

Strategy Tester Report
Gandalf_PRO

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
Alternative:   Market Watch AUTO-CSV - script MetaTrader 4


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№2. Movement on the south from September, 24 till October, 31, 2008:

Strategy Tester Report
Gandalf_PRO

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
Alternative:   Key Level Indicator - indicator MetaTrader 4




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