The PROphet EA consists of 2 independent from each other linear perceptrons.
Each of them divides the input attributes-candestickls shifting into 2 classes.
class № 1 : BUY and class № 2: flat or SELL
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.
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.
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:
|Symbol||EURUSD (Euro vs US Dollar)|
|Period||5 Minutes (M5) 2008.07.21 00:00 - 2008.07.25 22:55 (2008.07.21 - 2008.07.26)|
|Model||Every tick (the most precise method based on all available least timeframes)|
|Parameters||daBUY=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 test||2420||Ticks modelled||46219||Modelling quality||90.00%|
|Missmatched charts errors||12|
|Total net profit||145.00||Gross profit||215.00||Gross loss||-70.00|
|Profit factor||3.07||Expected payoff||18.13|
|Absolute drawdown||61.00||Maximum drawdown||70.00 (6.11%)||Relative drawdown||6.11% (70.00)|
|Total trades||8||Short 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%)|
|Largest||profit trade||138.00||loss trade||-70.00|
|Average||profit trade||30.71||loss trade||-70.00|
|Maximum||consecutive wins (profit in money)||7 (215.00)||consecutive losses (loss in money)||1 (-70.00)|
|Maximum||consecutive profit (count of wins)||215.00 (7)||consecutive loss (count of losses)||-70.00 (1)|
|Average||consecutive wins||7||consecutive losses||1|
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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