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ACTUAL VERSION : http://codebase.mql4.com/en/code/10413
Expert advisor that trade in the trend of EMA and buy/sell signals get from Williams %R
I have tried to create an Expert advisor that could by traded with 1000 EUR starting equity and to minimize the drawdown. Hope you like it. I appreciate every feedback.
Inputs EMA, iWPRPeriod are optimized for EURUSD 5M
TakeProfit = 200;
maxStopLoss=50;
maxLots = 0.1; // max lots per position
maxContracts = 2; // max open positions, 2 is optimal for smoother equity
EMA=144; // EMA to determine trend
iWPRPeriod=46; // Williams' Percentage Range to determine buy/sell signals
Test is without position sizing, 0.1 lot size
| Symbol | EURUSD (Euro vs US Dollar) | ||||
| Period | 5 Minutes (M5) 2010.01.04 00:00 - 2011.02.01 23:55 (2010.01.01 - 2011.02.02) | ||||
| Model | Every tick (the most precise method based on all available least timeframes) | ||||
| Parameters | TakeProfit=200; maxStopLoss=50; maxLots=0.1; maxContracts=2; EMA=144; iWPRPeriod=46; | ||||
| Bars in test | 59026 | Ticks modelled | 7365768 | Modelling quality | n/a |
| Mismatched charts errors | 8220 | ||||
| Initial deposit | 1000.00 | ||||
| Total net profit | 1624.88 | Gross profit | 4601.32 | Gross loss | -2976.44 |
| Profit factor | 1.55 | Expected payoff | 3.90 | ||
| Absolute drawdown | 27.02 | Maximal drawdown | 331.92 (13.99%) | Relative drawdown | 13.99% (331.92) |
| Total trades | 417 | Short positions (won %) | 198 (71.21%) | Long positions (won %) | 219 (75.80%) |
| Profit trades (% of total) | 307 (73.62%) | Loss trades (% of total) | 110 (26.38%) | ||
| Largest | profit trade | 45.15 | loss trade | -39.67 | |
| Average | profit trade | 14.99 | loss trade | -27.06 | |
| Maximum | consecutive wins (profit in money) | 20 (273.90) | consecutive losses (loss in money) | 5 (-118.47) | |
| Maximal | consecutive profit (count of wins) | 326.41 (15) | consecutive loss (count of losses) | -153.43 (4) | |
| verage | consecutive wins | 5 | consecutive losses | 2 | |
To use my position sizing increase the maxLots size
For position sizing I use the following code:
Ilo=0.1* MathSqrt((AccountBalance()) / 300);
Lots=NormalizeDouble(Ilo, 1);
if (Lots<0.1) Lots=0.1;
if (Lots>maxLots) Lots=maxLots;
Strategy Tester Report
| Symbol | EURUSD (Euro vs US Dollar) | ||||
| Period | 5 Minutes (M5) 2010.01.04 00:00 - 2011.02.01 23:55 (2010.01.01 - 2011.02.02) | ||||
| Model | Every tick (the most precise method based on all available least timeframes) | ||||
| Parameters | TakeProfit=200; maxStopLoss=50; maxLots=5; maxContracts=2; EMA=144; iWPRPeriod=46; | ||||
| Bars in test | 59026 | Ticks modelled | 7365768 | Modelling quality | n/a |
| Mismatched charts errors | 8220 | ||||
| Initial deposit | 1000.00 | ||||
| Total net profit | 4629.01 | Gross profit | 14103.33 | Gross loss | -9474.32 |
| Profit factor | 1.49 | Expected payoff | 11.10 | ||
| Absolute drawdown | 54.04 | Maximal drawdown | 1293.48 (27.32%) | Relative drawdown | 27.32% (1293.48) |
| Total trades | 417 | Short positions (won %) | 198 (71.21%) | Long positions (won %) | 219 (75.80%) |
| Profit trades (% of total) | 307 (73.62%) | Loss trades (% of total) | 110 (26.38%) | ||
| Largest | profit trade | 176.09 | loss trade | -154.73 | |
| Average | profit trade | 45.94 | loss trade | -86.13 | |
| Maximum | consecutive wins (profit in money) | 20 (547.80) | consecutive losses (loss in money) | 5 (-554.73) | |
| Maximal | consecutive profit (count of wins) | 1237.52 (15) | consecutive loss (count of losses) | -554.73 (5) | |
| Average | consecutive wins | 5 | consecutive losses | 2 | |
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