Wednesday, May 6, 2009

MT4 EA: Average Position Based Trading

While I don't have any pictures to show, yet, I am working on an EA that trades AUDJPY based on the market price relative to the average price of positions held.

The first few passes at this type of system were pitiful. My testing starts from September of last year to now while only opening long positions. As you can imagine this is a difficult period of time for a long only system!

However, late last night I was able to complete a test that showed profits.

The strategy behind this EA is basically as follows:
  • If you've just seen a recent downward movement open an initial position.
  • If the price is high enough above or below your average order open price, open another.
  • If the current price is above your average price close your lowest and most profitable position.
  • Try not to open any position while in a downward movement regardless of the above rules.
Obviously, the last item mentioned is not simple, but it is the key to account survival. If you open too many positions and the market falls too far you will get a margin call.

As ever, I'm basically using the AUDJPY for this. I am interested in strategies that can accumulate a safe quantity of long positions such that they pay me to wait for the eventual upturn.

I'll provide updates once/if I'm able to get appropriate results.

... continuing ...

Here's a chart showing this:

Notice the wicked looking draw down during challenging periods of AUDJPY decline?

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