The Moving Average expert for forming trade signals uses one moving average. Opening and closing of positions are performed when the moving average meets the price at the recently formed bar (bar index equals to 1). The lot size will be optimized according to a special algorithm.
The expert advisor analyzes concurrence of the moving average and
the market price chart. The checking is performed by the CheckForOpen()
function. If the moving average meets the bar in such a way that the
former is higher than Open price but lower than Close price, the BUY
position will be opened. If the moving average meets the bar in such a
way that the former is lower than Open price but higher than Close
price, the SELL position will be opened.
Money Management used in the expert is very simple, but effective:
the control over each position volume is performed depending on the
previous transactions results. This algorithm is implemented by the
LotsOptimized() function. The basic lot size is calculated on basis of
the maximum allowable risk:
lot=NormalizeDouble(AccountFreeMargin()*MaximumRisk/1000.0,1);The MaximumRisk parameter displays the basic risk percentage for each transaction. It usually possesses a value between 0.01 (1%) and 1 (100%). For example, if free margin (AccountFreeMargin) equals to $20,500 and rules of capital management prescribe to use risk of 2%, the basic lot size will make 20500 * 0.02 / 1000 = 0.41. It is very important to control over the lot size accuracy and to normalize the result with the allowable values. Normally, fractional lots with step of 0.1 are allowed. A transaction having volume of 0.41 will not be performed. To normalize, the NormalizeDouble() function is used with accuracy up to 1 character after the point. This results in the basic lot of 0.4. The basic lot calculation on basis of free margin allows to increase in volumes of operation depending on trading successfulness, i.e., to trade with reinvesting. This is the basic mechanism with obligatory capital management for increasing of trading effeсtiveness.
DecreaseFactor is the extent to which the lot size will be reduced
after unprofitable trading. Normal values are 2,3,4,5. If the preceding
transactions were unprofitable, the subsequent volumes will decrease by
a factor of DecreaseFactor in order to wait through the unprofitable
period. This is the main factor in the capital management algorithm.
The idea is very simple: if trading is successfully increasing, the
expert works with the basic lot making maximum profit. After the very
first unprofitable transaction, the expert will "reduce the speed"
until a new positive transaction is made. The algorithm allows to
disable "speed reducing", for doing it, one has to specify
DecreaseFactor = 0. The amount of the last successive unprofitable
transactions is calculated in the trade history. The basic lot will be
recalculated on this basis:
if(losses>1) lot=NormalizeDouble(lot-lot*losses/DecreaseFactor,1);Thus, the algorithm allows to effectively reduce the risk occurring as a result of a series of unprofitable transactions.The lot size is obligatorily checked for the minimum allowable lot size at the end of the function because the previously made calculations can result in lot = 0:
if(lot<0.1) lot=0.1;The expert is mainly intended for working with daily period, and in the testing mode - for doing at close prices. It will trade only at opening of a new bar, that is why the modes of every-tick modeling are not needed.
Strategy Tester Report
Symbol EURUSD (Euro vs US Dollar) Period 1 Hour (H1) 2003.01.08 00:00 - 2003.11.25 00:00 Model Every tick (based on all available least timeframes with fractal interpolation of every tick) Parameters Lots=0.1; MaximumRisk=0.01; DecreaseFactor=1; MovingPeriod=16; MovingShift=11; Bars in test 19371 Ticks modelled 656918 Modelling quality 25.00% Initial deposit 10000.00 Total net profit 1695.20 Gross profit 4293.20 Gross loss -2598.00 Profit factor 1.65 Expected payoff 10.80 Absolute drawdown 40.35 Maximal drawdown (%) 318.50 (3.0%) Total trades 157 Short positions (won %) 73 (26.03%) Long positions (won %) 84 (32.14%) Profit trades (% of total) 46 (29.30%) Loss trades (% of total) 111 (70.70%) Largest profit trade 262.55 loss trade -91.00 Average profit trade 93.33 loss trade -23.41 Maximum consecutive wins (profit in money) 2 (387.15) consecutive losses (loss in money) 7 (-287.25) Maximal consecutive profit (count of wins) 387.15 (2) consecutive loss (count of losses) -287.25 (7) Average consecutive wins 1 consecutive losses 3
Translated from Russian by MetaQuotes Software Corp.
Original code: http://www.mql5.com/ru/code/7927