Thursday, June 15, 2017

Three Moving Averages Trader

Three Moving Averages Trader

To open a position Advisor uses indicator signals Three Moving Averages Signal.

Input parameters:

  • Period of fast ma - period indicator Three Moving Averages Signal;

  • Take in atr, 0 - do not use a take profit - size take profit of ATR (50) calculated on the current timeframe. If the value is 0, it is not used;

  • Stop in atr, 0 - do not use a stop - resolution stop loss. If the value is 0, it is not used;

  • Trailing in atr, 0 - do not use a trailing - Trailing Stop size. If the value is 0, it is not used;

  • Risk factor, volume eq Equty * Risk factor / 1000 - It is used to calculate the size of the working item, which is calculated as Equity * Risk factor / 1000. For example, when the value of Equity 10000, Risk factor 0.01, the amount will be equal to 10000 * 0.01 / 1000 = 0.1;

  • Volume in lots if Risk factor is 0 - the working volume of the lot. Risk factor if set to 0, the fixed amount will be used.

Settings in the default advisor, optimized for EURUSD and timeframe H1 2013. They are calculated as follows:

  • It is determined by the working tool and timeframe - EURUSD and H1.

  • Choose the size of the window optimization and testing period forward. For H1 timeframe they are 5 years and 1 year respectively.

  • Selects the optimal values ​​of the parameters using the strategy tester verified results of the advisor to the forward period.

  • The procedure for calculating the optimal parameters is performed several times. According to the analysis of the EA in the forward test concludes its roadworthiness.

The number of parameters to be optimized must be minimized in order to minimize the possibility of fitting a curve. Initially, one was chosen - Period of fast ma.

Setting the strategy tester before performing optimization reflected in the screenshots 1 (the "Options") and 2 (the "Options"). To speed up the use of the tester mode "Open prices only". You can use more accurate testing methods, but their results will not be very different, as the EA signals are recorded at the closing price.

The test results summarized in the table, and in a simplified form looks like this:

Optimization period window
The optimum value Period of fast ma
Testing period forward
Test Result striker profit

 01.01.2004-01.01.200923 01.01.2009-01.01.2010-1050.33
 01.01.2005-01.01.201024 01.01.2010-01.01.2011528.96
 01.01.2006-01.01.201146 01.01.2011-01.01.2012-263.25
 01.01.2007-01.01.201246 01.01.2012-01.01.2013-330.79
 in total   532.04

Trading system by the results of the test showed a profit striker.

One option to improve its performance can be further optimized input parameters. In this case, you need to realize that the increase in their number increases the risk of reoptimization.

When monitoring system revealed that she successfully captures the trend plots, but loses a lot of floating profit due to the fact that it picks up too late shift, it was decided to enter a trailing stop in this regard, for it is responsible for setting the EA Trailing in atr, 0 - do not use a trailing.

The results of optimization and testing forward are reflected in the table below:

Optimization period window
The optimum value Period of fast ma,
Trailing in atr
Testing period forward
Test Result striker profit

01.01.2003-01.01.200827, 501.01.2008-01.01.20092054.30
 01.01.2004-01.01.200923, 5 01.01.2009-01.01.2010-1133.12
 01.01.2005-01.01.201024, 5 01.01.2010-01.01.2011308.90
 01.01.2006-01.01.201154 4 01.01.2011-01.01.2012-1035.18
 01.01.2007-01.01.201254 4 01.01.2012-01.01.2013406.08
 in total  700.98

The results of trading systems have improved. Profit increased by 31%. The number of unprofitable periods decreased from three to two. In the same way the optimum parameters obtained for 2013, which are set to the default advisor, they are shown in the screenshot 2. The results of work in 2013 (up to 18/05/2013 inclusive) are shown in the screenshots 3-5. Note that to use the optimal parameters obtained at the beginning of the year and it is forward, not bektest.

You can in the same way to obtain the parameters for the operation of the adviser on other instruments, timeframes, the next working period.

Three Moving Averages Trader

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