The EA uses the method of Burg's linear prediction. The linear prediction is based on finding the future values as the values of the lienar functions of the past values. Assume that we have a number of prices x..x[n-1] where the higher index is compliant with the recent price. The prediction of the future price x[n] is calculated as
xn = -Sum(ai*xn-i, i=1..p)
where ai=1..p - coefficients of the model, p - order of the model. The Burg's method finds the a coefficients by decreasing the mean-root-square error on the training last n-p bars.
Symbol EURUSD (Euro vs US Dollar) Period 4 Hours (H4) 2007.12.03 00:00 - 2008.12.02 20:00 (2007.12.03 - 2008.12.03) Model Every tick (the most precise method based on all available least timeframes) Parameters MaxRisk=0.5; ntmax=5; MinProfit=160; MaxLoss=130; TakeProfit=0; StopLoss=180; TrailingStop=10; PastBars=200; ModelOrder=0.37; UseMOM=true; UseROC=false; Bars in test 2584 Ticks modelled 3936616 Modelling quality n/a Mismatched charts errors 5263 Initial deposit 10000.00 Total net profit 2150865.30 Gross profit 3755013.80 Gross loss -1604148.50 Profit factor 2.34 Expected payoff 8467.97 Absolute drawdown 2463.43 Maximal drawdown 763930.92 (38.56%) Relative drawdown 70.14% (47506.11) Total trades 254 Short positions (won %) 92 (71.74%) Long positions (won %) 162 (82.72%) Profit trades (% of total) 200 (78.74%) Loss trades (% of total) 54 (21.26%) Largest profit trade 314280.00 loss trade -90000.00 Average profit trade 18775.07 loss trade -29706.45 Maximum consecutive wins (profit in money) 26 (21889.31) consecutive losses (loss in money) 6 (-26080.89) Maximal consecutive profit (count of wins) 1372487.83 (6) consecutive loss (count of losses) -314864.76 (4) Average consecutive wins 7 consecutive losses 2
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