EA-21013 · Momentum

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

CategoryMomentum
RiskMedium
Blow-up riskLow
Rating★★★☆☆
TypeTrading EA
TimeframesM15, H1, H4
IndicatorsErgodic MDI, Signal Line
AuthorCopyright © 2018, Nikolay Kositsin

Backtest results (H1, about 1 year)

SymbolP&LAnnualMax DDTradesWin rateSharpeRecoveryLosing streakPer tradeStatus
EURUSD0.00%0.00%0.00%0—————Not convertible yet
GBPUSD0.00%0.00%0.00%0—————Not convertible yet
USDJPY0.00%0.00%0.00%0—————Not convertible yet
XAUUSD0.00%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

Code quality3.0
Strategy logic3.0
Risk management2.0
Robustness3.0
Innovation3.0
Documentation2.0
Overall2.7

Parameters

ParameterDefaultDescription
InpErgodicMDIPeriod32Ergodic MDIcalculation period
InpSignalPeriod5Signal line smoothing period
InpAppliedPricePRICE_CLOSEApplied price type
InpLotSize0.1Fixed trading lot size
InpStopLoss0Stop loss in points
InpTakeProfit0Take profit in points
InpTimeFiltertrueEnable timefilter
InpStartHour8Trading start hour
InpEndHour20Trading end hour
InpTrailingStop0Trailing stop in points
InpMagicNumber21013EA magic number
InpMaxPositions1Maximum positions

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Backtests are historical simulations and do not guarantee future results. Not financial advice.

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