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Price: $149

PercivalFX

Added on February 5, 2013 01:13 AM
Trading style: based on a custom indicator
Currency pairs: EURUSD, AUDUSD, USDCHF, EURJPY
Time frame: H4
Money-back guarantee: 30-day
NFA compliance: No

This is the new robot from the PimpMyEa team, based on the concept of “Fuzzy Indicators”. A “fuzzy indicator” is a set made up of multiple instances of the same indicator, each of them with different settings (usually the period).

When we started developing the EA strategy we used the fuzzy version of a single indicator (specifically the Parabolic SAR) scaling in and out trades based on our DLS (Dynamic Lot Sizing) algorithm. In other words the lot size increases as more indicators in a “fuzzy pool” agree on a Long direction of the market, the lot size decreases to zero when the indicators are equally divided between a Long and a Short outlook, and finally the lot size gets more and more “negative” as more indicators suggest a Short direction of the market. While this approach seems to make perfect sense, it turns out it is pretty difficult to find the right parameters that make it work over an extended period of time.

That’s why we experimented a different approach that looked much more promising from the beginning. Let’s say our “fuzzy pool” is a set of 11 fuzzy indicators. Let’s imagine each indicator participates in a “Round Table” and each one expresses its opinion about being Long or Short in the market. Like King Arthur’s legendary Knights of the Round Table each indicator has equal rights. Each of them gives a score (+1 for Long and -1 for Short) and we end up with a global score that can be any number in this set: {-11, -9, -7, -5, -3, -1, +1, +3, +5, +7, +9, +11}. This Round Table will be Long when score >=7 and it will be short when score <= -7. This is the basic idea behind our new robot PercivalFX.

Then we got a step further: Round Table to the square! PercivalFX actually combines multiple RoundTables, each of them being based on a different fuzzy indicator. This helps a lot smoothing the equity line over extended periods of time.

Percival was one of King Arthur’s Knights who completed the quest for the Holy Grail, that’s why we think PercivalFX is a name of good omen for our latest robot.

This is a robot that anyone can backtest and optimize quite easily (thanks to the fact that trading decisions are taken only at the opening of each new bar), and it has a lot of flexibility. Here is the list of indicators it can work with: PSAR (Parabolic SAR), RSI (Relative Strength Index), WPR (William’s Percent Range), SMA – EMA – SMMA – LWMA (different flavours of Moving Averages), STOCH (Stochastic’s Oscillator), CCI (Commodity Channel Index), MACD(Moving Average Convergence/Divergence), RVI (Relative Vigor Index).

We are working on expanding this list with other standard and custom MT4 indicators.

Are you just curious and want to see it at work? If you have a couple of spare minutes you can enjoy this “pips-churning” video:

This video highlights the most important features of PercivalFX EA:

  • it makes new equity highs generally every 2/3 months (unless there ia a major trend happening) however each new high is sensibly bigger than the previous one
  • it opens multiple trades at the same time (and many times it also hedges positions), because each strategy (based on a fuzzy indicator) works independently from the others
  • it is a classic trend follower which hits big during trending periods – it is able to capture a portion of almost all the major market moves - however it is also able to capture small profits during ranging periods, thus reducing losses

The backtest you have just watched is based on a mix of the following “classic” indicators: PSAR (Parabolic SAR), RSI (Relative Strength Index), WPR (William’s Percent Range), EMA (Exponential Moving Average), STOCH (Stochastic’s Ocillator), CCI (Commodity Channel Index), and MACD (Moving Average Convergence/Divergence). Each strategy in this backtest works with 1 minilot, however the user is free to assign a specific lot size to each strategy (also lot_size=0, meaning a strategy is disabled).

We are sure each user will find his/her own best way to run PercivalFX. It only requires some time to explore the wide range of options available (currency pair, timeframe, input parameters).

But results are not really due to optimization. Please give a look at the following Optimization Graphs that clearly point out that the strategy implemented by this EA is pretty solid (click on the screenshots below for a better view):

This is just the first of only three stages of optimization. You can notice that each optimization graph is a “cloud” that extends all over the combination of input parameters.  That means that each backtest (a cloud is made up of 1694 backtests) ends with a positive result. This first stage of optimization takes into account three input parameters: period_numbers (the number of participants in a Fuzzy Round Table), open_score (the minimum score that allows opening a trade), and exit_score (the score that forces the closure of a trade if it was not yet closed with a stoploss or takeprofit level).The fact that all backtests produce a gain (and not a loss) is a clear sign that the “Fuzzy Round Table” algorithm is intrinsically valuable.

But let’s stop talking and let facts talk.

We’ve put our strategy under a long and deep series of tests and what we’ve found is that it performs very well only by doing a mild optimization for each pair/timeframe set.
So far we’ve found 3 pairs working well on the 4 hour timeframe and 2 on the 1 hour timeframe. But the search continues and you’ll be able to find your mix as well.

Backtest results:

And if we put all the 3 curves in the 4H timeframe together here is what it looks like:

I’d like to draw 3 considerations from the picture above:

  • the starting balance is 30k USD and the lot size of each strategy (there are 3 x 7 = 21 of them) is 1 minilot, therefore the maximum leverage is about 7:1 (in theory this can happen if all 21 strategies are all Long or Short at the same time, however this situation never happened during backtests). You can easily scale this strategy on a 3K USD account using 1 microlot per trade. If you are pretty risk-averse then you may allocate 5K USD of your balance to this strategy.
  • most of the time the equity line is above the balance line: that means the strategy never tries to greedily bank profits while allowing losing trades to accumulate a floating loss; on the contrary PercivalFX tries to follow big trends as much as possible, therefore the floating profit&loss on the account is positive most of the time.
  • there are periods when the balance line drops noticeably (the worst case is between March 2008 and July 2008 in this backtest) becausePercivalFX accept losses during a market phase which is not in accordance with its trend following nature; however when trends do develop the EA quickly recover losses and makes new equity and balance highs very frequently. In general each 2-3 months we can expect a new equity high.

You may be wondering if a robot involving so many strategies that work simultaneously can be considered reliable, since it involves quite a bit of calculations on all the “scores” from a plethora of indicators and all the open trades to be managed. We can assure that we’ve coded PercivalFX taking all these concerns into account. You can also stop the EA working on one computer (e.g. your PC) and put it to work on a completely different machine (e.g. a VPS) and PercivalFX will automatically recover the status of each strategy and manage all current open trades.

What you get after purchasing PercivalFX:

  • PercivalFX EA
  • Setting Files for each pair and timeframe we backtested successfully
  • An online manual with instructions
  • Subscription to PercivalFX private Yahoo! Group in order to partecipate to the performance improvement process of the EA

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