• Visão global
  • Comentários
  • Discussão


About OverCross

Enhancing an Automated Trading Strategy Using Artificial Neural Networks:

A popular use for EMAs is to develop simple trading systems based on EMA crossovers. The trading system which we chose uses two moving averages and gives a buy signal when the shorter (faster) moving average advances above the longer (slower) moving average. A sell signal would be given when the shorter moving average crosses below the longer moving average. The speed of the systems and the number of signals generated will depend on the period of the Moving Averages. We used 10 periods and 50 period EMAs on 5 Minutes time frame. The buy signal is when the 10 Period EMA crossed over the 50 Period EMA from below and moves upwards and vice versa for sell. The exit for this strategy is simply by take profit or stop loss for each trade.

When our system trades according to this strategy it generates many false signals and the result becomes inappropriate. So, we tried to design an ANN to help our EA send more profitable trades. We thought the best moment which we can bring out some data from the market and use them to train our ANN is when a trading signal happens. At that moment, the EA extracts just closing prices of 10 previous candles. In this paper, we presented an ANN filtering method which helped an automated trading system to void sending wrong trading orders. We tried to test different kinds of neural networks with changes in their parameters, layers, and neurons in their hidden layers.

Expert Advisor recommended configuration

  1. Recommended forex Pairs: EURUSD, GBPUSD, EURJPY
  2. Time-frame: M5 Chart
  3. Minimum deposit: $100
  4. SetFiles: https://www.mql5.com/en/blogs/post/722810

Inputs Description

  • Weight 0... Weight 9 - The weights in an artificial neural network are an approximation of multiple processes combined that take place in biological neurons
  • b0 - (-1 to 1) Bias values for opening grid trades
  • Lots
  • StopLoss
  • TakeProfit
  • TrailingStop
  • Slippage
  • expert Comment
  • magicNumber
  • Period MA1 - Moving average period
  • Period MA2 - Moving average period
  • MA_Method - Moving average Method
  • Minimum difference MAs for a Cross - Distance between the MAs to open a position
  • UseMM - Use Money Management
  • Amount of lots per every 10K

Sem comentários