Movable antenna (MA) is a new technology which leverages local movement of antennas to improve channel qualities and enhance the communication performance. Nevertheless, to fully realize the potential of MA systems, complete channel state information (CSI) between the transmitter-MA and the receiver-MA is required, which involves estimating a large number of channel parameters and incurs an excessive amount of training overhead. To address this challenge, in this paper, we propose a CSI-free MA position optimization method. The basic idea is to treat position optimization as a black-box optimization problem and calculate the gradient of the unknown objective function using zeroth-order (ZO) gradient approximation techniques. Simulation results show that the proposed ZO-based method, through adaptively adjusting the position of the MA, can achieve a favorable signal-to-noise-ratio (SNR) using a smaller number of position measurements than the CSI-based approach. Such a merit makes the proposed algorithm more adaptable to fast-changing propagation channels.