Gandalf_PRO – EA MetaTrader 4

                                                                                 The world has changed… I feel it in water, I feel it in the ground,

                                                                                  I feel in air. Much, that was before – will not return never…

                                                                                                                            ” The Lord of Rings “, Tolkien.

The idea of creation  Gandalf_PRO  EA is taken from this branch of a forum.

The  EA  holds open one buy and one sell orders (without dependence from each other)

 Until the market of them will not close with fixed TP or SL.

The input in the market occurs on the basis of two-parametrical Exponential Smoothings

Time Series in view of 2 parameters:

1-st parameter: it is parameter of accommodation of the price-S,

2-nd parameter: it is parameter of an inclination of trend T,

Calculations go under recurrent formulas:

                                                       S [n] =w*y [n] + (1-w) * (S [n-1] +T [n-1])     

                                                                    T [n] =t * (S [n]-S [n-1]) + (1-t) *T [n-1]

Then, the predicted value:                     y [n+1] =S [n] +T [n]

As initial (i.e. initial) values (estimations) for 1-st and 2-nd parameter it is possible

To take factors from the formula of linear regress – from here.

_____________________________________________________________________________________

Entrance variables in the EA : 

For longs:

                  In_BUY=true;                     long positions allowed,

                 Count_buy=24;                 number of bars in a history on which smooths out ВР,

                 w_price=0.18;                    factor of the price,

                 w_trend=0.18;                   factor  of a trend,

                 SL_buy=62;                      a level stoploss in pips,

                 Risk_buy=0;                      a risk level in % .

For shorts: variables In_SELL, Count_sell, m_price, m_trend, SL_sell, Risk_sell – are similar.

_____________________________________________________________________________________

Optimization passes in 2 stages, on constant lot, i.e. when Risk_buy=0; and Risk_sell =0; 

Stage 1, for longs:            In_BUY=true; In_SELL=false; Count_buy from 3 up to 120, with step 1;

                                    w_price  and  w_trend from 0.05 up to 0.6 with step 0.01;   SL_buy from 30 up to 100, with step 1.

Stage 2, for shorts: In_BUY=false; In_SELL=true; the other-is similar.

The EA well trades on “fat” sites of a trend on periods H4 and D – EURUSD,

 However, the additional filtration is necessary for an input in the market with application of indicators

 on the higher periods.

__________________________________________________________________________________________

Examples.

1. Movement on the north from March, 9 till March, 20, 2009:

Symbol		EURUSD (Euro vs US Dollar)
Period		4 Hours (H4) 2009.03.09 00:00 – 2009.03.19 20:00 (2009.03.09 – 2009.03.20)
Model		Every tick (the most precise method based on all available least timeframes)
Parameters		In_BUY=true; Count_buy=24; w_price=0.18; w_trend=0.18; SL_buy=62; Risk_buy=0; In_SELL=false; Count_sell=24; m_price=0.18; m_trend=0.18; SL_sell=62; Risk_sell=0;
Bars in test	1055	Ticks modelled	420744	Modelling quality	90.00%
Mismatched charts errors	3
Initial deposit	10000.00
Total net profit	326.02	Gross profit	389.82	Gross loss	-63.80
Profit factor	6.11	Expected payoff	27.17
Absolute drawdown	116.90	Maximal drawdown	142.10 (1.42%)	Relative drawdown	1.42% (142.10)
Total trades	12	Short positions (won %)	0 (0.00%)	Long positions (won %)	12 (91.67%)
		Profit trades (% of total)	11 (91.67%)	Loss trades (% of total)	1 (8.33%)
Largest		profit trade	58.10	loss trade	-63.80
Average		profit trade	35.44	loss trade	-63.80
Maximum		consecutive wins (profit in money)	11 (389.82)	consecutive losses (loss in money)	1 (-63.80)
Maximal		consecutive profit (count of wins)	389.82 (11)	consecutive loss (count of losses)	-63.80 (1)
Average		consecutive wins	11	consecutive losses	1

__________________________________________________________________________________________

№2. Movement on the south from September, 24 till October, 31, 2008:

Symbol		EURUSD (Euro vs US Dollar)
Period		4 Hours (H4) 2008.09.24 00:00 – 2008.10.30 20:00 (2008.09.24 – 2008.10.31)
Model		Every tick (the most precise method based on all available least timeframes)
Parameters		In_BUY=false; Count_buy=24; w_price=0.18; w_trend=0.18; SL_buy=62; Risk_buy=0; In_SELL=true; Count_sell=24; m_price=0.18; m_trend=0.18; SL_sell=62; Risk_sell=0;
Bars in test	1163	Ticks modelled	780695	Modelling quality	90.00%
Mismatched charts errors	32
Initial deposit	10000.00
Total net profit	857.40	Gross profit	2007.24	Gross loss	-1149.84
Profit factor	1.75	Expected payoff	17.86
Absolute drawdown	67.70	Maximal drawdown	362.48 (3.31%)	Relative drawdown	3.31% (362.48)
Total trades	48	Short positions (won %)	48 (62.50%)	Long positions (won %)	0 (0.00%)
		Profit trades (% of total)	30 (62.50%)	Loss trades (% of total)	18 (37.50%)
Largest		profit trade	251.20	loss trade	-64.88
Average		profit trade	66.91	loss trade	-63.88
Maximum		consecutive wins (profit in money)	7 (384.44)	consecutive losses (loss in money)	5 (-319.36)
Maximal		consecutive profit (count of wins)	394.04 (3)	consecutive loss (count of losses)	-319.36 (5)
Average		consecutive wins	3	consecutive losses	2