A Trend-Following Forex Robot Using Weighted Moving Averages and Reversals
Summary
Alexey Masterov describes the Expert Advisor that placed third in the 2012 Automated Trading Championship. It trades GBPJPY with a reversal approach based on a fast and a slow moving average, calculated across the traded pair and other currency symbols using weights. The robot has no stop loss and uses a large take-profit target; its relatively small number of deals gave the impression of near-continuous market exposure.
The interview attributes its late rise in the rankings to favorable trends in the competition’s final weeks, including a gap after December 25. The author also says limited funds initially constrained trade size, and that the strategy’s performance on other symbols was unimpressive. This is a participant’s account of one contest outcome, not a controlled test: the interview provides no full trade record, risk-adjusted comparison, or evidence that the approach generalizes. Masterov says he would make the strategy less aggressive for live trading.
Key ideas
- The Expert Advisor combines fast and slow moving averages calculated across multiple currency symbols with assigned weights.
- It uses position reversals, does not set stop losses, and aims for a relatively large take-profit.
- Its ranking improved sharply during a late period that the author says favored trend strategies.
- The author reports weak results when testing the approach on other symbols and viewed its contest performance as insufficient evidence for live trading.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.