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Published:
2009.01.07 08:29
Updated:
2016.04.05 14:54
PROphet.mq4 (5.33 KB)view

The PROphet EA consists of 2 independent from each other linear perceptrons.


Each of them divides the input attributes-candestickls shifting into 2 classes.


Perceptron № 1 >

class № 1 : BUY and class № 2: flat or SELL


Perceptron № 2 >

class № 1: SELL and class № 2: flat or BUY


This is the feature of the EA - not putting only BUY or SELL classes into one perceptron !


The optimization is performed for the last 12 weeks, at the weekend in two stages.


S t a g e № 1:

the daBUY=true and daSELL=false variables are set and only the weights are


optimized x1,x2,x3,x4 from 1 to 200, and the preliminary stop-loss slb from 30 to 100, that is the end of the first stage.


S t a g e № 2:

the daBUY=false and daSELL=true variables are set and only the weights are


optimized y1,y2,y3,y4 from 1 to 200, and the movable stop-loss sls from 30 to 100.


Once the optimization is performed both variables daBUY and daSELL are set true.


The obtained values are valid for the next (future) week.


The adaptation of the parameters after every week passed is performed by the method described here.


The results of the forward testing of a "common" week from 21-st of July 2008 to 26-th July 2008:

Strategy Tester Report
PROphet

SymbolEURUSD (Euro vs US Dollar)
Period5 Minutes (M5) 2008.07.21 00:00 - 2008.07.25 22:55 (2008.07.21 - 2008.07.26)
ModelEvery tick (the most precise method based on all available least timeframes)
ParametersdaBUY=true; x1=9; x2=29; x3=94; x4=125; slb=68; daSELL=true; y1=61; y2=100; y3=117; y4=31; sls=72;

Bars in test2420Ticks modelled
46219Modelling quality
90.00%
Missmatched charts errors
12




Initial deposit
1000.00



Total net profit145.00Gross profit
215.00Gross loss
-70.00
Profit factor
3.07Expected payoff
18.13

Absolute drawdown
61.00Maximum drawdown
70.00 (6.11%)Relative drawdown
6.11% (70.00)

Total trades
8Short positions (% won)5 (100.00%)Long positions (% won) 3 (66.67%)

Profit trades (% of total) 7 (87.50%)Loss trades (% of total)1 (12.50%)
Largestprofit trade138.00loss trade-70.00
Averageprofit trade30.71loss trade-70.00
Maximumconsecutive wins (profit in money) 7 (215.00)consecutive losses (loss in money)1 (-70.00)
Maximumconsecutive profit (count of wins)215.00 (7)consecutive loss (count of losses)-70.00 (1)
Averageconsecutive wins7consecutive losses1


In this approach to the "prophesy" good hedging in the trading is possible and not only inside one day.

Translated from Russian by MetaQuotes Software Corp.
Original code: https://www.mql5.com/ru/code/8595

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