Sure enough, it continued to win, so I upped the lot size, and went merrily off to the bar on that fine summers day to drink beer with my friend and tell him tales of my impending riches.
I came home to find it had gone belly up, and I had lost several days of profits, multiplied by about 10. Sigh.
This strategy calculates a 21 period EMA (exponential moving average) of 6 time frames (hence the "mtf" in the EA's name - "multi time frame") . If the price is above all of them, it opens a market BUY order (reverse for SELL).
Brilliant! A very simple strategy that I thought was also very clever.
I back-tested it with my usual parameters (60 min EURUSD chart, from 1-1-2011 to 1-1-2012), and it was a loser.
Looking at the code, it had some strange order closing logic, so I applied my coding magic and adjusted the take-profit from 50 to 500 pips. Et voilà!
That, my friends, is a mostly decent equity curve, 36% return on your money, and a 93% win rate!
But before you go stealing the code, giving it a cool name, and selling it as your own for millions of dollars to unsuspecting chumps, let's check the back-test results on our friends AUDUSD and GBPUSD:
Not so pretty, huh?
Not even a small profit on AUDUSD, despite a good win rate. Massaging the settings may yield better results, but I kind of doubt it. When robots fail in such a fashion on more than one currency, it's usually a sign that you just got lucky with whatever pair it showed a profit on.
Since I already suspect my history data of being highly dodgy, particularly the EURUSD data, I doubt this robot would ever work.
Go on. Try it on your live account. I dare you.
Last year I designed another similar robot based on multi-time frame 100 period moving averages, and it made a lot of money - sometimes. Then it would lose it's ass.
Eventually I figured out what was happening. Break-outs. Every so often the price action would break-out of a range, and money would rain down from the sky. But when the break-out ended, the robot suffered.
This is why I'm now currently demoing break-out strategies, both manual and some automated. I'm having slightly better (but not spectacular, so far) success with these strategies.
