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Thursday, March 1, 2012

Rubberbands_2 Expert Advisor Strategy Review

This month's strategy, Rubberbands_2, is available for free from MQL4 Code base and is offered by StJojo.  The strategy is an enhancement from version 1.  It trades long and short and works for any currency pair, commodity or time interval.

The strategy downloaded and compiled successfully and I was able to start back testing straight away. The strategy uses a conservative Lot size of 0.02 (a positive) and allows for no more than 10 orders in any one session. However, the strategy does not employ a stop and those who like to tinker around with their EAs may wish to add a stop loss.

Expert Advisor Setup

A Starting account of $10,000 using 0.1 Lots on a 15-minute timeframe for EURUSD.  The strategy is already built to go Long/Short, but Optimization was switched off from the default 'On'.

Comparative Test Period

Three 12-month periods randomly selected between Jan 1st 2000 to January 1st 2010 are used for all Expert Advisor tests to offer a standard which one EA can be compared with another. These  were:

March 31 2000-2001
June 29 2003-2004
May 17 2001-2002

Comparative Test Period

The Expert Advisor performed admirably, if a little erratically. While it enjoyed a significant advantage in Profit/Trade over Forex MegaDroid, it wasn't able to compete on other metrics.  For example, the Relative Drawdown of Rubberbands ranged between 5% and 37% compared to the more consistent 17-21% of MegaDroid over the same period.  Much of this is to do with how the Backtest exits positions at the end of the run, but the lack of a stop loss - even a large one - does hurt.

A positive aspect to this strategy is its lack of overtrading.  There were only a handful of trades (with mixed results) over 2003-2004, but even in a busy year it wasn't over committing.

The Cash-Equity curves for the three, 12-month period show the vulnerabilities of the strategy as existing holdings exit at the stop point.  Remember, the strategy can hold up to 10 'separate' positions at any one time; some of these will be profitable, others not.

When Optimization was employed there was no difference in the results. For example, in the May 2001-02 period, net profit was $214 Optimized vs $207 non-Optimized.

Random Test Period

For the purpose of robustness, a further three 12-month period set was selected. The following dates were randomized:

Feb 19 2004-2005
Dec 17 2010-2011
Nov 10 2008-2009

Random Test Period Results

The Random results were not as good as the Comparative period.  Two of the three test periods reported a slight net loss.

And the Cash:Equity curves show how the losing strategies generated very few trades. While the one winning period only showed a modest profit from 219 trades.


Rubberbands_2 is not the worst EA out there. As a free strategy it offers the beginner something to start with and perhaps build on.  It runs a relatively consistent 70% win percentage, so if the losses can be managed more effectively it might be able to turn the minor losses into consistent - if small - gains.

As it stands, Forex MegaDroid hasn't been knocked off its perch, but it's still early days.

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P.S. Updates to this blog have not been as regular as I would have liked, but it's a goal of mine to build a resource pool of EA reviews from the freebies to the robot scamsters. Perhaps one day I delve into building strategies of my own on MT4.  If you are not familiar with my long-standing (equity markets) blog of 7 years, you can find it here.