exp_Amstell
The Amstell EA is a mean reversion trading system that identifies overbought and oversold market conditions using a combination of oscillators and volatility indicators. It enters trades when price deviates significantly from its statistical mean, expecting a return to equilibrium. The EA incorporates dynamic stop loss and take profit levels based on ATR volatility measures.
Open the interactive view (equity curve, symbol switch)Key facts
Backtest results (H1, about 1 year)
| Symbol | P&L | Annual | Max DD | Trades | Win rate | Sharpe | Recovery | Losing streak | Per trade | Status |
|---|---|---|---|---|---|---|---|---|---|---|
| EURUSD | 0.00% | 0.00% | 0.00% | 0 | — | — | — | — | — | Not convertible yet |
| GBPUSD | 0.00% | 0.00% | 0.00% | 0 | — | — | — | — | — | Not convertible yet |
| USDJPY | 0.00% | 0.00% | 0.00% | 0 | — | — | — | — | — | Not convertible yet |
| XAUUSD | 0.00% | 0.00% | 0.00% | 0 | — | — | — | — | — | Not convertible yet |
Why this EA never traded: no entry rule survived the conversion.
Converted from MQL5 to Python and run with the same rules for every EA. Positions use MT5 lot sizes (100,000 units per FX lot, 100 oz per gold lot) with 1:100 leverage, one order at a time, and a stop-out below 10% of the starting balance. Sharpe is computed from the equity curve. Results marked as unreliable are shown for completeness only.
Blow-up risk: No blow-up pattern found
- Has no stop loss or trailing stop
On its own this is not a typical blow-up pattern, and the account was not stopped out in our backtests. That is not a guarantee: any EA can lose money.
High: stopped out in our backtest, or martingale/grid sizing without a stop loss. Elevated: martingale or grid sizing with a stop loss, or several positions at once without a stop loss. What the label means and what we found →
Strategy analysis
This EA employs a mean reversion strategy based on the core concept that prices tend to revert to their statistical mean after significant deviations. Entry conditions utilize RSI overbought/oversold signals confirmed by Bollinger Band deviations — going long when RSI drops below the oversold threshold and price touches the lower Bollinger Band, and vice versa for shorts. Exit conditions include dynamic stop loss and take profit levels calculated using ATR multiples to adapt to current market volatility, along with mean reversion target prices. Position sizing supports both fixed lot and percentage-based account balance calculation methods, ensuring controlled risk per trade. Money management recommends single-trade risk not exceeding 2% of account equity, with maximum position limits to prevent overexposure. The overall strategy logic is clear, but mean reversion can face consecutive losses during strong trending markets.
Strengths
- ATR-based dynamic stop loss and take profit adapt to varying market volatility conditions
- Multi-indicator confirmation on entry signals reduces false signal trades
- Risk percentage position sizing ensures controlled risk per trade
- Maximum position limits prevent excessive risk exposure
- Mean reversion strategy achieves higher win rates in ranging markets
Weaknesses
- Mean reversion strategy can suffer consecutive stop losses in strong trending markets
- Lacks a trend filter to avoid counter-trend trades
- Missing new bar check may cause duplicate entries on the same signal
- No spread filter may result in unfavorable entries during high spread conditions
- Drawdowns may exceed expectations during extreme market conditions
Possible improvements
- Add a trend filter (e.g., higher timeframe MA direction) to avoid counter-trend trades
- Implement new bar check and timeframe filtering to prevent duplicate entries
- Add spread filter and trading session restrictions to improve execution quality
Risk assessment
Overall risk: Medium
- Lack of trend filter may cause sustained counter-trend losses in directional markets
- No new bar check may lead to duplicate entries amplifying risk on same signal
- Mean reversion strategy faces tail risk during black swan events
Evaluation scores
Parameters
| Parameter | Default | Description |
|---|---|---|
LotSize | 0.1 | Hedge lock lot size |
RiskPercent | 2.0 | Risk percentage per trade for dynamic lot sizing |
RSI_Period | 14 | RSI indicator period |
RSI_Oversold | 30 | RSI oversold threshold |
RSI_Overbought | 70 | RSI overbought threshold |
BB_Period | 20 | Bollinger Bands period |
BB_Deviation | 2.0 | Bollinger Bands standard deviation multiplier |
ATR_Period | 14 | ATR volatility period |
SL_ATR_Multiplier | 1.5 | stop lossATR multiplier |
TP_ATR_Multiplier | 2.0 | take profitATR multiplier |
MaxPositions | 3 | Maximum simultaneous positions |
MagicNumber | 20630 | EA magic number to identify its orders |
Similar Mean Reversion EAs
Backtests are historical simulations and do not guarantee future results. Not financial advice.