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Rating:
votes: 9
Published:
2016.07.01 11:11
Spazm.mq4 (5.23 KB)view
extern double k=5.0;// multiplier for opening a trade relative to the current volatility, i.e. movement_for_opening=volatility_over_period*k
extern int period=24;// period to calculate the volatility in bars
extern int exp=0;// volatility smoothing mode, 0-simple moving average, 1-linearly weighted
extern int open.close=0;// mode of volatility calculation by 1-open/close, 0-High/Low
extern double SL_pp=0;// set stop loss as a percentage of the movement that took place (from 0 to 1, 0-stop loss is not set at all)
extern bool visualize=true; // plot movements

Large drawdowns, suggestions on improvements are welcome

Strategy Tester Report
Spazm
TeleTrade-Server (Build 220)

SymbolEURUSD (Euro vs US Dollar)
Period1 Hour (H1) 2008.01.02 10:00 - 2009.01.16 17:00 (2008.01.01 - 2010.01.01)
ModelEvery tick (the most accurate mode based on the shortest available time frames)
Parametersk=6; period=24; exp=0; open.close=0; SL_pp=0; visualize=false;

Bars in test7413Ticks modelled3693207Modelling quality90.00%
Mismatched chart errors15




Initial deposit1000000.00



Net profit35223.60Gross profit89637.40Gross loss-54413.80
Profit factor1.65Expected payoff451.58

Absolute drawdown2399.60Maximum drawdown19886.20 (1.93%)Relative drawdown1.93% (19886.20)

Total trades78Short positions (won %)39 (53.85%)Long positions (won %)39 (43.59%)

Profit trades (% of total)38 (48.72%)Loss Trades (% of total)40 (51.28%)
Largestprofit trade14433.60loss trade-3496.80
Averageprofit trade2358.88loss trade-1360.34
Maximumconsecutive wins (profit in money)6 (24475.80)consecutive losses (loss in money)8 (-10623.20)
Maximalconsecutive profit (count of wins)24475.80 (6)consecutive loss (count)-10623.20 (8)
Averageconsecutive wins2consecutive losses2


Translated from Russian by MetaQuotes Software Corp.
Original code: https://www.mql5.com/ru/code/8683

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