Robot Example 3 – Moving Average Crossover
Prompted by Boston Technologies moving average crossover EA here is a robot based around a basic moving average crossover system. Like the Boston Technologies version this robot stays in the market 100% of the time, and changes between long and short positions when a fast exponential moving average crosses over a slower EMA. Unlike the Boston Technologies version, it does not (yet!) include money management, but does come complete with the source code, so you can see what happens under the hood.
It demonstrates how you can use MetaTrader's built in indicators as part of a forex trading system. It also demonstrates a trading system that doesn't use any stop-loss orders!
Feel free to experiment with different values for the Fast Period and Slow Period input settings, and try it using different time frames. Does it work better with minute, hour or daily bars?
Here are the results from the MetaTrader strategy tester for the first quarter of 2008 using the input settings suggested by Boston Technologies (Hourly Bars, FastPeriod = 20, SlowPeriod = 33)
For comparison purposes here are the results using the same input settings but for the first quarter of 2009. Notice any difference?
| Symbol | EURUSD (Euro vs US Dollar) | ||||
| Period | 1 Hour (H1) 2009.01.05 00:00 – 2009.03.27 22:00 (2009.01.05 – 2009.03.29) | ||||
| Model | Every tick (the most precise method based on all available least timeframes) | ||||
| Parameters | Magic=12347; Slippage=30; Lots=1; FastPeriod=20; SlowPeriod=33; Hysteresis=4; | ||||
| Bars in test | 2427 | Ticks modelled | 2203801 | Modelling quality | 90.00% |
| Mismatched charts errors | 0 | ||||
| Initial deposit | 10000.00 | ||||
| Total net profit | -9950.60 | Gross profit | 8629.00 | Gross loss | -18579.60 |
| Profit factor | 0.46 | Expected payoff | -382.72 | ||
| Absolute drawdown | 9950.60 | Maximal drawdown | 14989.40 (99.67%) | Relative drawdown | 99.67% (14989.40) |
| Total trades | 26 | Short positions (won %) | 13 (30.77%) | Long positions (won %) | 13 (7.69%) |
| Profit trades (% of total) | 5 (19.23%) | Loss trades (% of total) | 21 (80.77%) | ||
| Largest | profit trade | 2535.20 | loss trade | -2402.80 | |
| Average | profit trade | 1725.80 | loss trade | -884.74 | |
| Maximum | consecutive wins (profit in money) | 2 (3763.80) | consecutive losses (loss in money) | 11 (-8341.40) | |
| Maximal | consecutive profit (count of wins) | 3763.80 (2) | consecutive loss (count of losses) | -8341.40 (11) | |
| Average | consecutive wins | 1 | consecutive losses | 4 | |
| # | Time | Type | Order | Size | Price | S / L | T / P | Profit | Balance |
| 1 | 2009.01.07 14:38 | buy | 1 | 1.00 | 1.37249 | 0.00000 | 0.00000 | ||
| 2 | 2009.01.09 16:31 | close | 1 | 1.00 | 1.34843 | 0.00000 | 0.00000 | -2402.80 | 7597.20 |
| 3 | 2009.01.09 16:31 | sell | 2 | 1.00 | 1.34843 | 0.00000 | 0.00000 | ||
| 4 | 2009.01.16 07:00 | close | 2 | 1.00 | 1.32298 | 0.00000 | 0.00000 | 2535.20 | 10132.40 |
| 5 | 2009.01.16 07:00 | buy | 3 | 1.00 | 1.32298 | 0.00000 | 0.00000 | ||
| 6 | 2009.01.19 16:00 | close | 3 | 1.00 | 1.31310 | 0.00000 | 0.00000 | -987.20 | 9145.20 |
| 7 | 2009.01.19 16:00 | sell | 4 | 1.00 | 1.31310 | 0.00000 | 0.00000 | ||
| 8 | 2009.01.22 04:00 | close | 4 | 1.00 | 1.30208 | 0.00000 | 0.00000 | 1095.00 | 10240.20 |
| 9 | 2009.01.22 04:00 | buy | 5 | 1.00 | 1.30208 | 0.00000 | 0.00000 | ||
| 10 | 2009.01.23 06:00 | close | 5 | 1.00 | 1.29420 | 0.00000 | 0.00000 | -787.20 | 9453.00 |
| 11 | 2009.01.23 06:00 | sell | 6 | 1.00 | 1.29420 | 0.00000 | 0.00000 | ||
| 12 | 2009.01.26 13:00 | close | 6 | 1.00 | 1.29558 | 0.00000 | 0.00000 | -139.40 | 9313.60 |
| 13 | 2009.01.26 13:00 | buy | 7 | 1.00 | 1.29558 | 0.00000 | 0.00000 | ||
| 14 | 2009.01.29 02:00 | close | 7 | 1.00 | 1.31180 | 0.00000 | 0.00000 | 1626.00 | 10939.60 |
| 15 | 2009.01.29 02:00 | sell | 8 | 1.00 | 1.31180 | 0.00000 | 0.00000 | ||
| 16 | 2009.02.03 05:00 | close | 8 | 1.00 | 1.29038 | 0.00000 | 0.00000 | 2137.80 | 13077.40 |
| 17 | 2009.02.03 05:00 | buy | 9 | 1.00 | 1.29038 | 0.00000 | 0.00000 | ||
| 18 | 2009.02.04 18:00 | close | 9 | 1.00 | 1.28540 | 0.00000 | 0.00000 | -497.20 | 12580.20 |
| 19 | 2009.02.04 18:00 | sell | 10 | 1.00 | 1.28540 | 0.00000 | 0.00000 | ||
| 20 | 2009.02.06 19:00 | close | 10 | 1.00 | 1.28998 | 0.00000 | 0.00000 | -463.60 | 12116.60 |
| 21 | 2009.02.06 19:00 | buy | 11 | 1.00 | 1.28998 | 0.00000 | 0.00000 | ||
| 22 | 2009.02.10 06:00 | close | 11 | 1.00 | 1.28210 | 0.00000 | 0.00000 | -786.40 | 11330.20 |
| 23 | 2009.02.10 06:00 | sell | 12 | 1.00 | 1.28210 | 0.00000 | 0.00000 | ||
| 24 | 2009.02.10 13:22 | close | 12 | 1.00 | 1.29928 | 0.00000 | 0.00000 | -1718.00 | 9612.20 |
| 25 | 2009.02.10 13:22 | buy | 13 | 1.00 | 1.29928 | 0.00000 | 0.00000 | ||
| 26 | 2009.02.10 22:00 | close | 13 | 1.00 | 1.28830 | 0.00000 | 0.00000 | -1098.00 | 8514.20 |
| 27 | 2009.02.10 22:00 | sell | 14 | 1.00 | 1.28830 | 0.00000 | 0.00000 | ||
| 28 | 2009.02.11 13:00 | close | 14 | 1.00 | 1.29395 | 0.00000 | 0.00000 | -566.40 | 7947.80 |
| 29 | 2009.02.11 13:00 | buy | 15 | 1.00 | 1.29395 | 0.00000 | 0.00000 | ||
| 30 | 2009.02.11 18:00 | close | 15 | 1.00 | 1.28920 | 0.00000 | 0.00000 | -475.00 | 7472.80 |
| 31 | 2009.02.11 18:00 | sell | 16 | 1.00 | 1.28920 | 0.00000 | 0.00000 | ||
| 32 | 2009.02.13 07:00 | close | 16 | 1.00 | 1.29258 | 0.00000 | 0.00000 | -343.60 | 7129.20 |
| 33 | 2009.02.13 07:00 | buy | 17 | 1.00 | 1.29258 | 0.00000 | 0.00000 | ||
| 34 | 2009.02.13 15:00 | close | 17 | 1.00 | 1.28370 | 0.00000 | 0.00000 | -888.00 | 6241.20 |
| 35 | 2009.02.13 15:00 | sell | 18 | 1.00 | 1.28370 | 0.00000 | 0.00000 | ||
| 36 | 2009.02.13 19:01 | close | 18 | 1.00 | 1.28888 | 0.00000 | 0.00000 | -518.00 | 5723.20 |
| 37 | 2009.02.13 19:01 | buy | 19 | 1.00 | 1.28888 | 0.00000 | 0.00000 | ||
| 38 | 2009.02.16 00:00 | close | 19 | 1.00 | 1.27900 | 0.00000 | 0.00000 | -987.20 | 4736.00 |
| 39 | 2009.02.16 00:00 | sell | 20 | 1.00 | 1.27900 | 0.00000 | 0.00000 | ||
| 40 | 2009.02.19 12:00 | close | 20 | 1.00 | 1.26658 | 0.00000 | 0.00000 | 1235.00 | 5971.00 |
| 41 | 2009.02.19 12:00 | buy | 21 | 1.00 | 1.26658 | 0.00000 | 0.00000 | ||
| 42 | 2009.02.20 08:08 | close | 21 | 1.00 | 1.25700 | 0.00000 | 0.00000 | -957.20 | 5013.80 |
| 43 | 2009.02.20 08:08 | sell | 22 | 1.00 | 1.25700 | 0.00000 | 0.00000 | ||
| 44 | 2009.02.20 18:00 | close | 22 | 1.00 | 1.26966 | 0.00000 | 0.00000 | -1266.00 | 3747.80 |
| 45 | 2009.02.20 18:00 | buy | 23 | 1.00 | 1.26966 | 0.00000 | 0.00000 | ||
| 46 | 2009.02.24 01:00 | close | 23 | 1.00 | 1.26710 | 0.00000 | 0.00000 | -254.40 | 3493.40 |
| 47 | 2009.02.24 01:00 | sell | 24 | 1.00 | 1.26710 | 0.00000 | 0.00000 | ||
| 48 | 2009.02.24 12:00 | close | 24 | 1.00 | 1.28208 | 0.00000 | 0.00000 | -1498.00 | 1995.40 |
| 49 | 2009.02.24 12:00 | buy | 25 | 1.00 | 1.28208 | 0.00000 | 0.00000 | ||
| 50 | 2009.02.24 16:01 | close | 25 | 1.00 | 1.27130 | 0.00000 | 0.00000 | -1078.00 | 917.40 |
| 51 | 2009.02.24 16:01 | sell | 26 | 1.00 | 1.27130 | 0.00000 | 0.00000 | ||
| 52 | 2009.02.24 18:52 | close at stop | 26 | 1.00 | 1.27998 | 0.00000 | 0.00000 | -868.00 | 49.40 |
Use the following links to view the source code for the "robot" that produced another set of "astonishing" results:
In the MetaTrader MQL4 language
In the MetaTrader MQL5 language, using a traditional procedural style
In the MetaTrader MQL5 language, using an object oriented style
Leave a Comment