Exp_BlauErgodicMDI_Tm
This EA trades based on William Blau's Ergodic MDI (Mean Deviation Indicator), a momentum oscillator that measures the deviation of price from its mean. It generates buy/sell signals when the ergodic MDI crosses its signal line, with additional trend filtering and time-based trade management.
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
None of the usual blow-up patterns were found in the code, 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
The strategy concept is based on William Blau's Ergodic MDI indicator, which measures market momentum direction and strength through double-smoothed price mean deviation. Entry conditions occur when the Ergodic MDI main line crosses its signal line — upward crossover for buy signals and downward crossover for sell signals, potentially with a trend filter confirming the broader direction. Exit conditions include signal reversal crossovers, fixed stop-loss and take-profit levels, and a time-based forced closure mechanism (Tm stands for Time management). Position sizing employs either fixed lot sizes or balance-proportional lot calculation, with no martingale or grid position-scaling logic detected. Money management provides stop-loss and take-profit parameter settings, though the completeness of position checks and capital protection mechanisms needs review. Overall, this is a classic momentum-following system relying on indicator crossover signals, performing well in trending markets but potentially generating frequent false signals in choppy conditions.
Strengths
- Based on Blau's Ergodic MDI theory, the indicator has mathematical rigor and double-smoothing properties that effectively reduce market noise
- Includes time filtering mechanism to avoid low-liquidity sessions and major news event periods
- Clear strategy logic with well-defined signal rules, making it easy to understand and optimize parameters
Weaknesses
- Momentum oscillators tend to generate frequent false signals in ranging markets, leading to consecutive losses
- Default stop-loss and take-profit values are 0, lacking basic risk protection if not manually configured
- Lacks market regime identification, unable to automatically switch between trending and ranging strategies
Possible improvements
- Add adaptive stop-loss mechanism using ATR or volatility-based dynamic stop distance adjustment
- Add market regime filter (e.g., ADX) to reduce trade frequency or pause trading during ranging conditions
Risk assessment
Overall risk: Medium
- Default stop-loss and take-profit values are 0, trading without risk protection if not manually set
- Momentum strategy may produce consecutive losing signals in ranging markets
- No slippage or spread filter, entry costs are uncontrollable in high-spread environments
Evaluation scores
Parameters
| Parameter | Default | Description |
|---|---|---|
InpErgodicMDIPeriod | 32 | Ergodic MDIcalculation period |
InpSignalPeriod | 5 | Signal line smoothing period |
InpAppliedPrice | PRICE_CLOSE | Applied price type |
InpLotSize | 0.1 | Fixed trading lot size |
InpStopLoss | 0 | Stop loss in points |
InpTakeProfit | 0 | Take profit in points |
InpTimeFilter | true | Enable timefilter |
InpStartHour | 8 | Trading start hour |
InpEndHour | 20 | Trading end hour |
InpTrailingStop | 0 | Trailing stop in points |
InpMagicNumber | 21013 | EA magic number |
InpMaxPositions | 1 | Maximum positions |
Similar Momentum EAs
Backtests are historical simulations and do not guarantee future results. Not financial advice.