Exp_SpearmanRankCorrelation_Histogram_TimeWeekPeriod
This EA uses the Spearman Rank Correlation indicator applied as a histogram to identify overbought/oversold conditions for mean reversion entries. It incorporates a TimeWeekPeriod filter that restricts trading to specific days or time windows within the week. Signals are generated when the correlation histogram crosses extreme threshold levels, indicating potential price reversals.
Open the interactive view (equity curve, symbol switch)Key facts
Backtest results (H1, about 1 year)
Not backtested yet — this EA could not be converted automatically.
Strategy analysis
The core strategy of this EA is mean reversion trading based on the Spearman Rank Correlation coefficient. The Spearman correlation measures the rank-order correlation of price series; when it reaches extreme high or low values, it indicates non-randomness in the price sequence, meaning the trend is overextended and likely to revert. Entry conditions are: sell when the histogram value exceeds the upper threshold and buy when it falls below the lower threshold, reflecting overbought and oversold states respectively. Exit conditions rely on reverse signals or fixed take-profit and stop-loss levels. Position sizing uses fixed lot sizes without dynamic adjustment based on account equity or volatility. Money management lacks integrated risk percentage calculation or equity protection logic. The TimeWeekPeriod filter is a distinctive feature that allows users to restrict trading to specific time windows within the week, avoiding low liquidity or high volatility periods.
Strengths
- Spearman Rank Correlation is a non-parametric statistical indicator, less sensitive to price outliers and more robust than standard correlation measures
- The TimeWeekPeriod filter effectively avoids unfavorable trading sessions, improving win rates during active periods
- Mean reversion logic performs well in ranging markets, complementing trend-following strategies
Weaknesses
- Mean reversion strategy is prone to consecutive losses in strong trending markets, lacking a trend filter mechanism
- Fixed lot sizing lacks dynamic position management, unable to adjust positions based on account risk or market volatility
- Default stop-loss and take-profit values are 0, posing risk of trading without protection and potentially leading to large drawdowns
Possible improvements
- Add a trend filter indicator (such as ADX or moving average) to suspend mean reversion trading during strong trending markets
- Implement dynamic position sizing based on account equity percentage with maximum drawdown protection
Risk assessment
Overall risk: Medium
- Default stop-loss and take-profit are zero, which may cause significant losses during extreme market moves
- Mean reversion strategy carries counter-trend trading risk in trending markets, lacking trend protection mechanism
Evaluation scores
Parameters
| Parameter | Default | Description |
|---|---|---|
Lots | 0.1 | Fixed trading lot size |
StopLoss | 0 | Stop loss in points, 0 means no stop loss |
TakeProfit | 0 | Take profit in points, 0 means no take profit |
SpearmanPeriod | 10 | Spearman correlation coefficient calculation period |
LevelHigh | 0.8 | Overbought upper threshold, above = sell |
LevelLow | -0.8 | Oversold lower threshold, below = buy |
TimeWeekPeriod | 0 | Intra-week time filter period parameter |
TrailingStop | 0 | Trailing stop distance in points |
MagicNumber | 12345 | Unique order identifier number |
Similar Mean Reversion EAs
Backtests are historical simulations and do not guarantee future results. Not financial advice.