MetaTrader - Donchian EA

Welcome back Forex Fans.

In this post, let's take a quick look at trading functions and then my first fully-functioning Expert Advisor.

Trading functions are described in the MQL programming book here at Trading Functions. New orders are opened using the OrderSend() function. Here's a typical function call:

iTicket = OrderSend(Symbol(), OP_BUY, dLots, NormalizeDouble(Ask,Digits), Slippage, dStopLossPrice, dTakeProfitPrice, "Buy(#" + MagicNumber + ")", MagicNumber, 0, DodgerBlue);

A few key points here:

• Don't trade a fixed lot size, calculate lots ahead of time using the money management algorithm described in my previous post here MetaTrader Account and Position Sizing
• For market orders, buy and the Ask and sell at the Bid using the built-in keywords.
• Round the price to the correct number of digits by calling the NormalizeDouble() function with the Ask (or Bid) and Digits built-in keywords. Otherwise, you will get OrderSend 4107 error.
• Specify the StopLoss and TakeProfits prices if you have them or set them to zero to exit on the reverse of our entry condition.
• Once your order is submitted, you can review each of the open orders with a loop structure which is too much trouble to include here, but can be found in my first EA described below.

Let's move on to our first full-functioning EA called Donchian. This EA is named after Richard Donchian who popularized a simple method of trend-following that takes a position when a bar closes above the highest high or lowest low for a given lookback period.

You can find the complete code for the Donchian EA on my new Yahoo group http://finance.groups.yahoo.com/group/fx-mon/. You will also find the code for each of the learning EA's i've created so far as part of the blog. To get access to the Yahoo group, you can leave me your e-mail address as a comment, or send your e-mail address to me via direct message using Twitter at: http://twitter.com/tcxmon. I'll invite you to the group and you can download the EA's and upload your own.

So how does the EA perform? I tested it with a 6-bar lookback against an hourly chart of EUR/USD. The good news is that the system never fails to catch a big trend. The bad news is that it gets chopped up on sideways or ranging markets, which the markets do most of the time. So its clearly not a profitable EA, but a good learning exercise.

So what I have learned from this exercise?

• Don't try to write your own EA from scratch, use someone else's as a model and modify it
  
• Parameters add a lot of complexity to EA testing, and the ideal EA should have as few parameters as possbile.


• My sample EA has parameters for Lookback (# of bars breakout), Risk, Slippage, and Boolean for TakeProfit, StopLoss and Trailing Stop modes as well as values for those items
  
• I added those parameters so I can use this EA as a model and move forward to test other ideas.

Overall, finding a profitable EA isn't going to be easy, but i'm off the ground now as an EA coder a ready to start testing some ideas. Leave me a comment if you have any ideas and i'll code it and review the results here.

Thanks for reading and drop me a line if you want access to the Yahoo group.

Chris