Developing an Automated FOREX Trading System

The last couple of days I've been playing with Metatrader4 and experimenting with creating expert advisors, I've been trialing them on historical data and believe it or not, I actually managed to run profitable simulations!!! sometimes hehe

It seems that creating a system which runs profitably across all the currencies and across various time periods is a little more involved. I'm not sure if this is due to the quality of the historical data or if it's just the nature of the game.

The experts I created all only focused on finding and executing long positions (just laziness, if I created something that worked well with long positions then I was going to add in short position detection). The first one I created looked at weighted moving averages and opened a position when the short term average crossed to the high side, it also closed out when it crossed back across the long term average. Obviously if this is all that the system does then there is a lot of money being thrown away as you can normally exit a long time before it crosses back across the long term average. To combat this I experimented with detecting the peak of the short term average, being lazy I only did this by finding out when it started going back downwards.

Of the systems I experimented with I thought that the moving averages had the most promise and sometime I may return to it and add some of the following features:

1. Detection of the angle of the short term average.
   If it is going up quickly then I want in, if it is almost at the same angle as the long term average then it's probably nothing special.
   
2. Better detection of the peak of a trend will help the profit go up by a lot.
3. Opening Short as well as Long positions... this should hopefully double(?) the profitability of the sytem.

When/if I make these changes I will post the code for you guys to hack to pieces, or maybe to make your millions :)

As I look a little more at the maths behind investing, it is a little more obvious to me that it isn't an easy way to make a living... and it's not just the picking the right trades part of it ;) The less you take out of your trading account to pay bills etc. then the more profitable you will be in the future, will do some research into when is the right time to take money out and how much sometime in the future... not that I'm anywhere near putting my real money into the big trash can. 

I think for a little while now I will just look at doing manual trading and see if I can keep making back my deficit. I think it's always good to do things the hard way at first and then when you are good at them then look for shortcuts to make your life easier.

Related

1. The best trading platform?
2. Exploring other things
3. Current FOREX Data?
4. Linux Charting Application
5. Automated Trading Systems

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