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Burg Extrapolator EA

Topic: Burg Extrapolator EA

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[0]..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.
https://c.mql5.com/18/19/TesterGraph_1_small.gif

Strategy Tester Report
Burg Extrapolator - opt
InterbankFX-MT4 Demo Accounts 2 (Build 220)

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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Burg_Extrapolator.mq4 8.83 kb, 8 downloads since 2014-10-18 

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