MQL5 Algo Trading

GapTracker scans any symbol and timeframe for opening gaps where the bar open is a configurable number of points away from the prior close. Gaps are categorized as daily (first bar of a new server day), weekend/holiday (first bar after a pause beyond a threshold, 36h default), and optionally intraday bar-to-bar. Each gap is tracked until filled, defined as price trading back to the previous close. The gap bar counts, so same-bar closures report as 0 bars to fill, with an optional cutoff after N…

Single-layer neurons can learn linearly separable logic (AND/OR/NAND/NOR) but fail on XOR/XNOR, a concrete example of why “one neuron learns everything” is false. The workaround borrows from digital electronics: build XOR as a small circuit composed of gates the neuron can already model. A NOR and an AND feed a second NOR, matching the XOR truth table. In MQL5, this is implemented by storing separate weights and biases per internal gate, training only NOR and AND via finite-difference gradient…

Most “EA does not work” reports come from the trading environment, not the code: terminal AutoTrading disabled, netting vs hedging mismatch, unsupported filling mode, stops inside StopsLevel/FreezeLevel, or volume not matching step and limits. TradeEnvCheck is a read-only script that generates a single report before installing or commissioning an EA. Run it once on a chart for the target symbol. Output goes to the Experts log, a short on-chart summary, and a text file at MQL5\Files\TradeEnvChec…

BacktestOverfitting.mqh calculates the Probability of Backtest Overfitting (PBO) for an MT5 optimization. PBO measures how often the pass that ranks best in one half of the history ends up in the lower half across all passes on the other half. High PBO indicates parameter selection driven mainly by noise rather than repeatable edge. The implementation follows combinatorially symmetric cross-validation (Bailey, Borwein, Lopez de Prado, Zhu, 2017). Daily results are emitted per pass from OnTester…

A filter is available for detecting whether the current bar is pushing into a local extreme, based on local high/low extrema with an ATR buffer. Breach conditions are defined as: High breach when high[i] exceeds (local high extremum minus ATR times a multiplier). Low breach when low[i] falls below (local low extremum plus ATR times a multiplier). The ATR multiplier controls tolerance around the extremum. Two operating modes are supported. Live bar mode evaluates the active, unclosed bar in rea…

DrawdownBootstrap.mqh estimates prospective drawdown depth over coming months using historical daily P/L series. Instead of treating the backtest’s single time order as representative, it applies Monte Carlo reordering to quantify expected drawdown percentiles and the frequency of exceeding the historical worst. The implementation uses stationary bootstrap (Politis/Romano, 1994): each simulated path starts at a random day, advances sequentially, and jumps to a new random day with probability 1/…

ICT Model Tracker is a non-trading indicator that detects and measures a strict ICT setup sequence on any chart using closed bars only. It marks the liquidity sweep inside a killzone, the MSS with displacement and FVG (or iFVG), then the limit entry with SL/TP, and tracks each setup through expiry or outcome without repainting. Single file, no DLL. A deliberately published negative baseline is included: US100.cash M5, Jan 2025 to Aug 2026, default settings averaged -0.05R per trade across 690 s…

PortfolioWeights.mqh adds portfolio-weight computation to MQL5 using matrix/vector types and no DLL. Inputs are return series per component, including symbols or daily PnL streams from multiple Expert Advisors. Five long-only allocations are provided: InverseVolatility, RiskParity (cyclical coordinate descent), HierarchicalRiskParity using single-linkage on distance sqrt((1-corr)/2) with order[] output, MinimumVariance with optional per-component cap, and MaximumDiversification. Risk contributi…

A chart-side risk panel calculates position size before any order is sent, with explicit handling of broker volume rules. For the active symbol it shows spread in points and the spread cost per 1.00 lot, plus point value per 1.00 lot derived from tick value and tick size for correct pricing on metals, indices, and non-USD crosses. It also prints the broker’s min/step/max volume. Risk can be set as % of balance, % of equity, or fixed account-currency amount. With a stop distance in points, it c…

TesterReport.mqh parses Strategy Tester reports saved as HTML (Backtest tab -> Report -> HTML) and exposes deals, reconstructed closed trades, and key summary figures for post-processing in MQL5. Typical uses include report comparison, portfolio aggregation, CSV export, and validation against account history. Parsed settings include EA name, timeframe, currency, and initial deposit. Each Deals row is mapped to SReportDeal with time, ticket, symbol, type/direction, volume, price, commission, swa…

Strategy Tester does not cover live-chart conditions such as terminal restarts, EAs starting before account connect, multiple chart instances, server-side history changes, or chart button clicks. A demo-account bench is provided to validate these scenarios and emit a PASS/FAIL report. LiveTestDriver.mq5 reads phase A/B/C from MQL5\Files\LiveTestBench\phase.txt, runs phase checks, then exits via TerminalClose(). Execution is blocked on non-demo accounts. ExampleDailyLock.mq5 is the EA under test…

AccountGuard provides a single-header account lock for MT5 Expert Advisors, controlled via compile-time #define settings and embedded into the .ex5. Licensed accounts can be listed as login-only or server:login pairs, with flexible separators. Optional switches allow any demo account, a fixed expiry timestamp, and a Strategy Tester bypass for backtesting. Integration uses AG_Init() in OnInit() and AG_Allowed() as a gate before any new orders, while existing exits and trailing logic continue to …

PropGuard Lite is a risk guard for prop firm accounts (FTMO-style rules) and any MT5 setup that needs enforced loss limits. It never opens trades on live or demo charts; it monitors equity including floating P/L and acts only on risk events. When a limit is hit, it closes positions (all or one magic number), oldest first, deletes pending orders, and keeps closing anything reopened by other EAs. Daily halts clear on the next trading day; max-loss halts persist until manually reset. Daily loss c…

Spread Monitor is a single-file MQL5 Expert Advisor that displays the current spread for the attached symbol in a chart-corner panel with color status. The EA reads SYMBOL_SPREAD (points) on a throttled, user-defined interval and stores samples in a fixed-size rolling buffer. From this in-memory history it recalculates current, average, minimum, and maximum spread, and counts how many samples exceed a configurable warning level to quantify how often spreads are elevated. The status row switche…

Educational breakout Expert Advisor using pending orders and a daily range built from M1 bars. After the configured range window (for example 00:00–07:00 server time), the EA calculates High/Low and places one set of orders per day: BuyStop above High with spread/shift, and SellStop below Low with shift. SL is set beyond the opposite side of the range, while TP is computed via a configurable risk/reward ratio. On fill, the opposite pending order is deleted. Unfilled orders are removed at a canc…

Educational mean-reversion Expert Advisor built around Bollinger Bands, with an optional RSI filter. Entry logic uses two completed bars: BUY when bar 2 closes below the lower band and bar 1 returns inside the bands (optional RSI on bar 2 below 30). SELL mirrors this using the upper band (optional RSI above 70). Exits trigger on a touch of the current middle band (BUY: Bid ≥ middle, SELL: Ask ≤ middle) or Stop Loss. Trading hours restrict only new entries, including overnight windows such as 22…

Educational example of a trend-following Expert Advisor in MQL5, focused on structure and runtime safety. Signals are generated on closed bars and evaluated only once per new bar: BUY when fast MA crosses above slow MA (bar 2: fast ≤ slow, bar 1: fast > slow), SELL on the inverse. The EA waits for the first new crossover after startup, maintains a single position, and reverses on an opposite signal. Order logic includes free margin validation via OrderCalcMargin, lot normalization to symbol min…

Educational example of a trend-following Expert Advisor in MQL5, focused on structure and runtime safety. Signals are generated on closed bars and evaluated only once per new bar: BUY when fast MA crosses above slow MA (bar 2: fast ≤ slow, bar 1: fast > slow), SELL on the inverse. The EA waits for the first new crossover after startup, maintains a single position, and reverses on an opposite signal. Order logic includes free margin validation via OrderCalcMargin, lot normalization to symbol min…

Classic volatility indicators (EWMA, ATR, GARCH) collapse price action into squared returns, so a steady selloff and a noisy range can look identical. This article implements the Guyon–Lekeufack path-dependent volatility model in MQL5, explicitly retaining direction. The model predicts volatility from two streaming features: a trend term (kernel-weighted signed returns) and an activity term (kernel-weighted squared returns). Both use a two-timescale exponential mixture (fast/slow half-lives). T…

A PPO-based RL trading pipeline tested a behavioural-cloning loop that re-trains the policy from its own live demo trades. Over two months, models produced under heavier cloning degraded and shifted toward inaction, including cases where they stopped trading entirely. Live decisions were logged as (observation, action) with outcome metadata. Cloning applied weighted cross-entropy after each rollout plus a two-epoch pre-training pass for final models. Weights came from trade R-multiples, spread …