Latest Updates:
12/26/2008 - Fixed the lots calculation function.
Meet the Burg Extrapolator, a cutting-edge EA designed to enhance your trading experience on MetaTrader 4! This expert advisor operates based on Burg's linear prediction model, which forecasts future price movements using past price data. Imagine having a tool that can help you predict future prices with some solid statistical backing!
The underlying principle of this EA involves using historical price data, denoted as x[0] to x[n-1], where the most recent prices have the highest index. The future price prediction, x[n], is calculated using the formula:
x[n] = -Sum(a[i]*x[n-i], i=1..p)
Here, a[i=1..p represents the model's coefficients, while p is the model's order. Burg's method cleverly identifies the coefficients a[] by minimizing the mean-root-square error over the last n-p bars in your trading data.
When configuring the Burg Extrapolator, you'll need to input several key parameters:
- MaxRisk: Maximum risk across all open trades.
- ntmax: Maximum number of trades in the same direction.
- MinProfit: Minimum predicted price to open positions.
- MaxLoss: Maximum predicted loss for closing positions.
- TakeProfit: Set your profit target.
- StopLoss: Limit your losses.
- TrailingStop: Lock in profits as the market moves.
- PastBars: Number of historical bars used for predictions.
- ModelOrder: The fraction of past bars that determines the model's order (0..1).
- UseMOM: Activates detrending using momentum: mom(i)=log[p(i)/p(i-1)].
- UseROC: Activates detrending using rate of change: roc=100*(p(i)/p(i-1)-1).
Note: Only one of the detrending options (UseMOM or UseROC) can be true at a time. You can't have both activated simultaneously.
Like many optimized EAs, the Burg Extrapolator shines during training periods but can struggle without regular reoptimization. Keep this in mind to maintain its performance!
| Symbol | EURUSD (Euro vs US Dollar) | ||||
| Period | 4 Hours (H4) 2007.12.03 00:00 - 2008.12.02 20:00 | ||||
| Model | Every tick (the most accurate method based on all available 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 | £10,000.00 | ||||
| Total net profit | £2,150,865.30 | Gross profit | £3,755,013.80 | Gross loss | -£1,604,148.50 |
| Profit factor | 2.34 | Expected payoff | £8,467.97 | ||
| Absolute drawdown | £2,463.43 | Maximal drawdown | £763,930.92 (38.56%) | Relative drawdown | 70.14% (£47,506.11) |
| 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 | £314,280.00 | loss trade | -£90,000.00 | |
| Average | profit trade | £18,775.07 | loss trade | -£29,706.45 | |
| Maximum | consecutive wins (profit in money) | 26 (£21,889.31) | consecutive losses (loss in money) | 6 (-£26,080.89) | |
| Maximal | consecutive profit (count of wins) | £1,372,487.83 (6) | consecutive loss (count of losses) | -£314,864.76 (4) | |
| Average | consecutive wins | 7 | consecutive losses | 2 | |
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