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votes: 7
2008.12.25 07:18
2016.11.22 07:32


12/26/2008 - corrected the lots calculation function

The EA uses the method of Burg's linear prediction. The linear prediction is based on finding the future values as the values of the lienar functions of the past values. Assume that we have a number of prices x[0]..x[n-1] where the higher index is compliant with the recent price. The prediction of the future price x[n] is calculated as

x[n] = -Sum(a[i]*x[n-i], i=1..p)

where a[i=1..p] - coefficients of the model, p - order of the model. The Burg's method finds the a[] coefficients by decreasing the mean-root-square error on the training last n-p bars.

The inputted data are:

MaxRisk - the maximum risk of all simultaneous deals
ntmax - the maximum number of deals in the same direction
MinProfit - the minimum predicted price the positions should be opened by
MaxLoss - the maximum predicted loss the positions should be closed at
PastBars - the number of past bars to be used for future prediction
ModelOrder - the order of the Burg's model as a fraction of the past bars number (0..1)
UseMOM - turns on the detrend of the input data: mom(i)=log[p(i)/p(i-1)]
UseROC - turns on the detrend of the input data: roc=100*(p(i)/p(i-1)-1)

Only one of the variables UseMOM and UseROC can have the true value simultaneously, i.e. UseMOM=true and UseROC=true are not allowed.

As the most of optimized EAs, Burg Extrapolator work well only on the training bars. The EA will steadily lose without a constant reoptimization.

Strategy Tester Report
Burg Extrapolator - opt
InterbankFX-MT4 Demo Accounts 2 (Build 220)

Symbol EURUSD (Euro vs US Dollar)
Period 4 Hours (H4) 2007.12.03 00:00 - 2008.12.02 20:00 (2007.12.03 - 2008.12.03)
Model Every tick (the most precise method based on all available least timeframes)
Parameters MaxRisk=0.5; ntmax=5; MinProfit=160; MaxLoss=130; TakeProfit=0; StopLoss=180; TrailingStop=10; PastBars=200; ModelOrder=0.37; UseMOM=true; UseROC=false;
Bars in test 2584 Ticks modelled 3936616 Modelling quality n/a
Mismatched charts errors 5263
Initial deposit 10000.00
Total net profit 2150865.30 Gross profit 3755013.80 Gross loss -1604148.50
Profit factor 2.34 Expected payoff 8467.97
Absolute drawdown 2463.43 Maximal drawdown 763930.92 (38.56%) Relative drawdown 70.14% (47506.11)
Total trades 254 Short positions (won %) 92 (71.74%) Long positions (won %) 162 (82.72%)
Profit trades (% of total) 200 (78.74%) Loss trades (% of total) 54 (21.26%)
Largest profit trade 314280.00 loss trade -90000.00
Average profit trade 18775.07 loss trade -29706.45
Maximum consecutive wins (profit in money) 26 (21889.31) consecutive losses (loss in money) 6 (-26080.89)
Maximal consecutive profit (count of wins) 1372487.83 (6) consecutive loss (count of losses) -314864.76 (4)
Average consecutive wins 7 consecutive losses 2

Translated from Russian by MetaQuotes Software Corp.
Original code:

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