Combining Simple Forex Strategies with Optimal-F Money Management

Summary

In this interview, Automated Trading Championship participant Valery Mazurenko describes building a multi-currency expert advisor from simple entry rules, then using optimization to select logical combinations of those rules. The system combined seven or eight strategies with different entry directions and common fixed stop-loss and take-profit levels. The interview explains a staged search: test combinations for each currency pair, retain candidates using profit-factor and trade-count criteria, and then assign weights to strategies. The author says he used optimal F and Ralph Vince’s fundamental trading equation as part of selection and optimization.

For portfolio construction, he grouped currency pairs to reduce a high-dimensional weight search, while acknowledging that random grouping was a mistake; he would instead use correlations to combine less-related strategies. He reports roughly a month of preparation using the MQL5 Cloud Network and says the competition system was not ready for live trading without further risk criteria and safeguards. The results are a participant’s account, not an independently verified study, and the proposed method risks overfitting through extensive optimization.

Key ideas

• The expert advisor combined multiple simple entry strategies with shared fixed stop-loss and take-profit rules.
• The participant optimized logical combinations of boolean market conditions for each currency pair.
• Optimal F and a trading growth equation were used to guide money management and strategy selection.
• Strategy weights were searched in smaller groups, though the interview identifies correlation-based grouping as a better approach.
• The author cautions that the competition system required additional safeguards before live use.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.