移动平均线通道交易系统 (Moving Average Channels Trading System)

The Moving Average Channels System was presented by Alexander Elder. The detailed description of the system can be found in his classical trading book, Trading for a Living, one of the most popular trading books.

I wrote an EA and optimized the parameters, and would like to share my results with you guys. With these optimized paratmeter, the trading system can be summarised as follows:

EURUSD
(1) When EMA13 typical price rises 15 pips or more than 15 pips, buy at (EMA13 + 20 pips). Stop Loss and Take Profit are 200 and 400 pips respectively.

(2) When EMA13 typical price decreases 15 pips or more than 15 pips, sell at (EMA13 - 20 pips). Stop Loss and Take Profit are 200 and 400 pips respectively.

GBPUSD
(1) When EMA13 typical price rises 10 pips or more than 10 pips, buy at EMA13. Stop Loss and Take Profit are 50 and 300 pips respectively.

(2) When EMA13 typical price decreases 15 pips or more than 15 pips, sell at EMA13. Stop Loss and Take Profit are 50 and 300 pips respectively.

The optimization results can be summaried as follows:
EURUSD
For EURUSD, the STOP LOSS is 200 pips. If you have G USD in your account, and you want to control the risk under 2.00% for each trade, then trade size y should satisfy:

G x 2% = 200 pips x 0.0001 x y,

so y = G x 0.02 / 0.02 = G. That means the actual leverage should be 1:1. As Take Profit is 400 pips, this means the potential reward is 4%. The annual trade is 22, and the over-all winning chance is 0.56. So the annual return is expected to be

22x0.56x0.04-2x0.44x0.02= 29.92%

GBPUSD
For GBPUSD, the STOP LOSS is 50 pips. Again if you have G USD in your account, and you want to control the risk under 2.00% for each trade, then trade size y should satisfy:

G x 2% = 50 pips x 0.0001 x y,

so y = G x 0.02 / 0.005 = 4G. That means the actual leverage should be 1:4. As Take Profit is 300 pips, this means the potential reward is 12%. If the annual trade is 36, and the winning ratio is 0.3, then the annual return is

36 x0.3x0.12-36x0.7x0.02= 79.20%

The compound annual return of EURUSD and GBPUSD is 109.12%. I expect the real annual return is around 30%.

Please visit my website for the demo results:
http://www.fx-trade.co.uk

I welcome your feedback.