Introduction to MetaTrader 5 and Programming with

MQL5

Create your 1st Investment Robot with MQL5 step by step

from ZERO.

All rights reserved. This e-book or any part thereof may not be
reproduced or used in any way without the express written permission
of the author or publisher, except for the use of short quotations in a
review of the e-book.

First edition, 2018.

Author: Rafael F. V. C. Santos ([email protected])

Specialist in strategic risk management applied to the financial

market. He works with the development of automated investment
strategies (Robots of investment - Expert Advisor) using machine
learning and spatial statistics. Graduated in Chemical Engineering
from the Federal University of Pernambuco (UFPE) - Brazil. He holds
a Masters and PhD in Civil Engineering (UFPE) in the areas of
characterization, modeling and statistical simulation, applied to oil
wells and reservoirs. He has several articles, with the theme of
applied statistics, published in national and international magazines
and congresses.

Copyright©2018 de Rafael F. V. C. Santos.

Summary
1. Introduction
1.1. Digital Age
1.2. Artificial Intelligence
1.3. High Frequency Trading - HFT
1.4. Computer Programming
1.5. What will we learn?
1.6. Why MetaTrader 5?
1.7. EA Strategy
1.8. Advantages of Using EA
1.9. E-book Summary
2. MetaTrader 5
2.1. Downloading and installing MetaTrader 5
2.2. Main elements of the MetaTrader 5
2.3. Navigator Field
2.4. Field Toolbox
2.5. Looking for Candels
2.6. Saving Templates
2.7. Drawing Objects
2.8. Transition between Graph Times
2.9. Adding Indicators
2.10. Data Window
3. MQL5 Community
4. MetaEditor MQL5
4.1. MetaEditor
4.2. Creating a new Project
4.3. OnInit()
4.4. OnDeinit()
4.5. OnTick()
4.6. Programming Accessories
4.6.1. Comments
4.7. EA Properties
 4.8. MetaTrader and MetaEditor File Types
4.9. Adding Libraries
5. Basic Programming Logic with MQL5
5.1. Types of Variables
5.2. Declaration of Variables
5.2.1. Integer Type
5.2.2. Type Double
5.2.3. Type String
5.2.4. Type bool
5.2.5. Type Datetime
5.3. Declaring Constants
5.4. Vector Variables: Arrays
5.5. For loop
5.6. Enum
5.7. Input Type Variables
5.8. Local and Global Variables
5.8.1. Local variables
5.8.2. Global Variables
5.9. Variables Predefined by MQL5
5.10. Math Operations
5.11. Logical and Conditional Relationships
5.12. Ternary Operator
5.13. Methods or Functions
5.14. Candles and Tick Variables
5.15. Functions Comment () and Alert ()
5.15.1. Comment()
5.15.2. Alert()
5.16. Adding MQL5 Indicators
6. Programming the EA
6.1. Strategy overview
6.1.1. Moving Averages
6.1.2. Relative Strength Index (RSI)
6.2. Creating EA
6.3. Declaration of Global Variables
 6.3.1. Variables for the User
6.3.2. Global Variables
6.4. OnInit () Function
6.5. Function OnDeinit()
6.6. Expert Advisor Functions
6.6.1. Error Handling
6.7. Function: OnTick()
7. Backtests
7.1. Backtest in MetaTrader 5
7.2. Analyzing the Backtest
7.3. Performance Charts
Chapter 1
1. Introduction
1.1. Digital Age

We are living in the digital age. Nowadays, information and

knowledge travel through the optical fibers. Everything is in constant
development and accelerated growth. This evolutionary dynamic is
unprecedented in the history of mankind.
Devices and objects are becoming increasingly intelligent and
independent. Nowadays, it is possible to find, for sale, smart phones
and watches that recharge the battery with even the temperature of
the human body. Research shows that by 2025, at least half of the US
fleet will be traveling completely autonomously. That's right, the
profession of driver, taxi driver and many others, are counting their
days. And for the financial market this is no different. Professional
traders are being replaced by algorithms.
These are just small examples of the avalanche of modifications and
benefits brought in from the world shouting for change. We are
changing the world and the world forcing us to change into a virtuous
circle of prosperity.
1.2. Artificial Intelligence

Embedded systems are gradually dominating our daily lives. People

and things are becoming more and more connected to the internet. A
new intelligence is created from this new cosmos. We are opening the
doors to Artificial Intelligence (AI). Practically everyone benefits (or
will benefit) in some way from the wonders brought by AI.
Many say that this new generation may bring us problems, but we
must be optimistic about the uncertainties, as we are on the way to an
inevitable and non-return path.
Several companies and investment funds are currently working
heavily on the use of artificial intelligence to make their investment
decisions. From AI, we can filter and group information and
knowledge hidden in apparently meaningless numeric data and
connection.
In this race, it is advantageous to dominate subjects and knowledge
related to mathematics, statistics and computer programming.
1.3. High Frequency Trading - HFT

Investors and speculators in the financial market know that the main
enemy to make money in this world is precisely the emotional factor.
Human beings have desires, wants, greed, fears and fears that make
the activity decide the best time to buy and / or sell a real challenge.
When we are working with Investment Robots, we are discussing a
strategy that has been previously defined and structured so that it can
be executed in a timely manner. Fortunately, robots do not get tired,
stress or have any feelings that allow misunderstandings and / or
biases when buying or selling.
Optical fibers allowed for a revolution in communication. In the
investment world, for example, every thousandth of a second can cost
millions of dollars. So-called High Frequency Traders (HFTs)
operating on the world's top stock exchanges makes decisions at
infinitesimal speeds and thus are threatening many professional
brokers and traders.
The HFTs' decision to buy and / or sell is taken in milliseconds, up to
ten to fifty times faster than a simple wink of the human eye (lasting
approximately 300 milliseconds). It is practically unfeasible and unfair
the operational comparison of any computational system of this
category with a normal human being.
Recent data (year 2018) show that more than 50% of US financial
operations are carried out by investment robots. And the results show
that these robots can increase financial returns by up to 15%. There
are some stock exchanges where more than 90% of operations are
carried out by investment robots.
1.4. Computer Programming

Most people have the following objections when it comes to

programming: it's very difficult, needs a lot of practice, has to know a
lot of math, I've never been good with numbers. However, many of
these objections are nothing more than a misunderstanding of this
programming activity, which is as trivial as telling a brief story with
beginning middle and end.
The interesting thing is that anyone able to write the steps of running
a cake recipe on a sheet of paper is able to create a computer
program. To program is to communicate with the outside, with the
other, in order to conduct actions. For our case, this other is the
machine.
We have a structure of activities to be followed and we need, for a
good realization of it, an adequate sequence of order of execution.
Programming is to master a language the machine understands and
know how to position our deliberative needs in time and space, so
that they are executed correctly.
Therefore, it is up to every curious investor and with the patience to
learn something new to look at in the world of programming. This is
because scheduling computers is a much simpler activity than many
imagine.
1.5. What will we learn?

In this e-book we will learn how to create, step by step, an automated

investment strategy. We will create an Investment Robot (Expert
Advisor - EA) from scratch using the MetaTrader 5 and MQL5
programming language.
Thus, having a program written in a high-level language (MQL5)
(those closest to the understanding of humans, low-level languages
are closer to the understanding of machines) we will be able to leave
the arduous and exhausting work of monitoring purchase and sale of
a financial asset on the stock exchange for the robot.
We will spend a few hours to program a robot known as Expert
Advisor and spend the rest of the time monitoring the execution of
the strategy in a much quieter and safer way. That leaves more time
for a contemplative and pleasurable life.
1.6. Why MetaTrader 5?

MetaTrader 5 is a powerful platform for visualizing, operating and

scheduling investment strategies for various types of financial
markets.
It was created in the year 2005 and continues to be improved and
distributed by MetaQuotes (https://www.metaquotes.net). We can use
MetaTrader 5 to operate in the stock markets, futures, options,
currency pairs (FOREX) among others.
MetaTrader 5 was chosen to build our first EA, as it is a 'free' tool,
quite powerful and complete from the point of view of the main
functionalities that a trader platform should have.
Inside MetaTrader 5 we have the option to create scripts, indicators
and, of course, investment robots using the MQL5 programming
language. This language is very similar to C ++, Java and C #. So
anyone who already knows any of them will feel extremely
comfortable learning MQL5.
1.7. EA Strategy

We will develop from scratch a strategy of crossing two moving

averages (one fast and one slow) with the possibility of an input filter
in operations with the rather popular indicator RSI (relative strength
index).
Our robot will be multi-strategy. It will be able to work, using as input
triggers in the operations, only the crossing of the moving averages,
only the RSI or both (crossing of averages plus RSI).
We will also learn how to make backtests of the created robot. Thus
we will be able to test various setups on historical data of various
financial assets. The book is full of guidelines, with screenshots, using
the key parts of MetaTrader 5 and MetaEditor.
We will learn the programming syntax in MetaEditor. We have several
features when programming with MQL5. It already presents a very
significant set of libraries to work with graphical manipulation,
mathematical operations, statistics, with price structures and control
of the sending of trading orders.
1.8. Advantages of Using EA

Let's go to the advantages behind using investment robots. They are

many, but we go to the main ones:
- Eliminates all emotional side;
- Test ready strategies with backtests;
- Simulate adverse market situations;
- EA are free from fatigue, stress, lose attention, or fail to
execute the strategy;
- We can optimize the strategy from a Robot;
- EA are infinitely disciplined and speedy compared to us;
- Statistical validations can be made. EA statistically validated
are winners and consistent in the medium and long term.
- EA has a single mindset that is to execute the scheduled
strategy;
- EA operate from the first second of market opening to the last
second before closing, without truce and misconduct.
1.9. E-book Summary

So to achieve the goal of creating our first Expert Advisor, this e-book
organizes and simplifies in a didactic way the necessary steps with
the knowledge and usage information of MetaTrader 5 and its MQL5
programming language.
Here's a summary of what you will learn from reading this e-book:
- Learn how to install MetaTrader 5;
- Know the main benefits of the MetaTrader online portal;
- Understand the main features and differences between MetaTrader
and MQL5:
- Learn to add indicators and EA;
- Know MetaEditor and some of the main shortcuts to facilitate
programming;
- Learn the programming syntax of MQL5;
- Understand the main functions of the MQL5 development libraries.
- Create a strategy using trend indicators (moving averages) and
consolidated market indicators (Relative Strength Index - RSI);
- Program step-by-step a Multistrategy EA;
- Make backtests of the created EA;
- Know the backtest statistics;
- And much more.

Now we are moving towards the future of investments.

Congratulations on your decision to enter this grand and fascinating
world of automated investments.
Thank you for your confidence in purchasing this material. The future
is here and we will build it together.
Everyone a great read!
Important note[1].
Chapter 2
2. MetaTrader 5

MetaTrader is a platform developed to assist in the visualization of

prices of financial assets and execution of buy and sell orders on the
stock exchange. It is also possible to create scripts (algorithms for
specific actions), indicators and investment robots.
It is a free tool developed and distributed by MetaQuotes Softwares
(https://www.metaquotes.net/). Initially, it was developed thinking
about the Forex market. However, several brokerages have been
allowing for the use in the stock market, options and futures.

We need a company (investment broker) to provide routing pricing

data for the platform. Many investment brokers offer this service for
free. Some even offer a demo account where we can simulate buy
and sell operations in the financial market with dummy money. Also,
in the demo account, we can put our robots to test in real time before
using them in a real account.
MetaTrader 4 was created in 2005 and since then has been
undergoing major transformation of improvements in its system and
security features. It is currently in its second major release called
MetaTrader 5 which was released in 2010.
We can use MetaTrader on both desktop and smartphones. It is
available to work on the Web, on Mac, Linux, Windows and Android
systems. The leading Internet browsers on the market support
MetaTrader 5 online.

MetaTrader 5 is not only a tool for visualizing and routing orders

(buy/sell) of financial assets, but also an excellent platform for
developing investment strategies from scripts, indicators and robots
(Expert Advisors). For this it counts on the environment of
development for the language MQL5 (MetaQuotes Language) that
presents/displays great similarities with C ++, Java and C #.
Therefore, those who have had some knowledge in any of these
programming languages will feel comfortable with the MQL5 syntax.
In comparison to MetaTrader 4, MetaTrader 5 allows developing
strategies using the object-oriented programming paradigm (OOP).
2.1. Downloading and installing MetaTrader 5

In the world several brokerages offer free use of MetaTrader 5. All we

need is that we are a client of the investment broker. We need, after
downloading the platform, to request a release of a demo and / or real
account so that we can have access to the routing of the data of the
financial assets.
The direct download of the platform can be done by the site:
https://www.metaquotes.net/en/metatrader5/.
As said before, several brokers around the world offer free routing,
but many for the Forex market. Some Forex brokers only need a valid
phone number to release a demo account. In this e-book we will use
the systems with the prices of financial assets present in the São
Paulo (Brazil) BM&FBovespa stock exchange.
However, to follow the studies in the book, you do not necessarily
need to have an account with a Brazilian investment broker.
The installation process is very simple and straightforward. After two
clicks on the file an installation wizard will guide us with the necessary
steps.

Just go ahead until the end of the installation. At the end you will be
asked for an account with login and password. It is necessary for us
to use the pricing data for financial assets. In this e-book we will use a
demo account from XP Investimentos.
See below the open program requesting the login, password and
type of server (if real or demo).
2.2. Main elements of the MetaTrader 5

One of our main interests is to visualize asset prices from candles

(candlesticks). So, let's get to know the main visualization features of
the MetaTrader 5 platform.
In the menu: View -> Symbols, we have the option to choose the
financial assets that we wish to work.

We can choose between Bovespa and BMF Assets (continuous

series). In the assets of Bovespa we have the OPTIONS (calls and
puts), the shares in A VISTA and the INDICES (futures market) traded
in the Brazilian market.
It is important to note that each brokerage will provide distinct data
routing. Some with more data and some with less. For example, if we
were with some brokerage that works with the Forex market, the
options that would appear in this window of Assets would be
completely different.

The addition of a symbol that represents a company, which is being

consulted in the prices, can be executed in the Market Watch.
In this Market Observation field we can add the assets related to the
companies traded on the stock exchange in which the brokerage firm
is released to operate.
Still within the Market Watch field we have the Details tab that offers
additional information regarding the financial asset being evaluated.
Below, for example, we can see the information on this tab for
Petrobras shares. In the Trading tab we have several options where
we can make purchases and sales with just one click.
2.3. Navigator Field

The field Navigator is where it contains the information regarding the

type of account of the user if demo or real, as well as the indicators
and robots of investments available by the platform and those that
were developed by ourselves.
In this field, we can choose the type of indicator, script or EA and drag
it directly to the financial asset chart of interest.

Another way to add indicators or EA is from the menu Insert ->

Indicators, Insert -> Expert (Robots).
Let's add an indicator from the menu:

In the figure above, we can see that the indicators are separated by
trend indicators, oscillators, volumes, Bill Williams and Custom. Trend
indicators, as the name implies, are more apt to warn when the
market is within some well-defined directional behavior. On the other
hand, the Oscillator indicators are more adequate to warn of
opportunities within a lateralized market, a market in consolidation.
Bill Williams[2] is a very popular trader who has developed several
important and widely used indicators. Therefore, a specific section
was created for the indicators created by it.
It is interesting the possibility that we have to use indicators and
native EA of MetaTrader itself and indicators and EA created by us or
even offered in the Market tab of the field Toolbox.
2.4. Field Toolbox

In the Toolbox field we can find several importants informations

regarding the sale of the main indicators and investment robots
developed for MetaTrader platform. We can also download those
provided for free (tab Libraries). We can view the main news (tab
News) in real time of trading as market in auction and output of news
relevant to the market.

In the Experts tab, we can view the main information logs regarding
the operation of our robots. In this place, we are informed about the
sending and execution of orders, problems with variables, errors of
execution and operations.
Now that we already know, in general, the main fields of MetaTrader
5, we go to the main graphic field, which is the window of visualization
of the price candles.
2.5. Looking for Candels

The MetaTrader 5 platform allows us to customize the way we

visualize prices in different ways. For example, we can change the
background of the screen, the colors of the contours and fill of the
high/low/doji candles, the separation lines of periods, grids, among
several other properties.
We can switch between three types of price visualization of financial
assets. These visual types are given through Bar Chart, Candlestick
or Line Chart.
2.6. Saving Templates

It is important to note that each time a new chart is requested to be

opened in MetaTrader it will appear on the screen with the default
settings. However, there is a way to save our screen preview
customization from creating a template.
For example, let's set up a template. For this we must make our
customizations. With a right click on the graphic field we can choose
Properties and make the appropriate color settings to our liking.

Let's consider the following changes:

Then right click on the graphic screen and go to Template -> Save
Templates. We chose a name and that's it.

So, just load the saved template, to a new graphic, so that the
settings are immediately applied. That way, we have a lot of flexibility
to be able to configure visualization templates for setups of different
strategies.
2.7. Drawing Objects

You can draw several objects in price charts. We can add channels,
support lines and resistance, Fibonacci, up/down arrows etc.
In this way, it is possible to make a visual technical analysis very
complete with the main graphic objects present in the platform.

Right-click on the graphic you can see the list of objects and make
different types of edits like modify subtitles, colors etc.
It is worth spending some time familiarizing yourself with the use of
graphics and objects.
2.8. Transition between Graph Times

The transition between the graphical scales of candle formation

observation is quite simple and fast. Just right click on top of the
chart, go to Timeframes and choose the time of candles.

We can also change the candle time from the shortcut bar, as shown
below:
2.9. Adding Indicators

The indicators, for many traders, are the main guiding factors for
decision making. These are the indicators that often alert us to enter
and exit an operation in timely situations. And when you talk about
indicators, MetaTrader does not leave you wanting.
Currently, the platform has more than 2,000 indicators available for
free download. This download can be done either by the site itself or
by the platform in the Toolbox field on the Code Base tab.
Let's, for example, add moving averages to the chart. We can do this
either through the menu Insert -> Indicators or directly clicking in the
field Navigator -> indicators, click and hold the chosen indicator and
drag to the graphic window.
As an example, let's insert a Moving Average indicator:

Now let's add two moving averages. Our averages should have
periods of 72 and 32 with zero shift, exponential methods and
applied to closing prices:
After clicking on ‘ok’, we have the immediate addition to the selected
asset graph.

Let's now add the Relative Strength Index (RSI). This indicator is
interesting as it is drawn in a separate window from the main candle
price window (see figures below).
Let's leave a period of 9 applied to the closing price:

The result is:

The RSI is an indicator used to warn about overbought and/or
oversold. Basically, we have two reference levels that we must
choose for the activation trigger of the overbought or oversold. We
can choose the levels of 30 (oversold) and 70 (overbought).
For example, RSI values above 70 are indicating that the price is
overbought, that is, at any moment in a consolidated market, we can
begin to see a drop in prices. On the other hand, if the value of the
IFR is below 30 we can say that the price is oversold and a sudden
high in prices is eminent.
These two indicators were presented, since they will be used to
create our investment robot. Going forward, we will use three
strategies: one with the crossing of moving averages, another with
only the RSI and one with both indicators.
2.10. Data Window

A very important field, which greatly facilitates the visualization of

prices and values of indicators, is the Data Window. To open it we
can: go to the View menu -> Data Window or use the keyboard
shortcut Ctrl + D.

This action will open, for us, a new field: Data Window. Now we can
position the mouse cursor over any candle of the graph to obtain
detailed information of prices and indicators in the place chosen.

See the example below, where we place the mouse on the highlighted
candle in green and the Data Window gives us the detailed
information:
Chapter 3
3. MQL5 Community

As discussed earlier, in Chapter 2, MQL5 is a programming language

offered within MetaTrader 5. Programmers often share codes and
questions around specific problems in a programming language.
It is very important to participate in communities of developers,
because with this our learning and the motivational side are
enhanced. The sharing of knowledge and doubts generates
sustainability in our development and growth as a programmer and
user of the language.
It is always good to have a place to exchange knowledge, ask
questions and discuss project ideas. The more widely used and
documented a programming language, the better the learning curve
for first-time sailors. Therefore, a common environment where all are
destined to the same end is quite valid.
In this sense, for the MQL5 language we are well covered, because
we are facing a mature tool, with a lot of developers and a very active
and generous community that offers articles and doubts with agility in
the forums.
We can access the community from the site:
https://www.mql5.com/en.
After reading this e-book and/or even now, the reader is invited to
make an account and start adding their knowledge and ask questions
from the portal.
Soon after the registration we will have access to a very interesting
set of functionalities. For example, we can access the MetaTrader 5
web terminal, documentation that is extensive and up-to-date, key
information on the global financial market, and other benefits.
Something very important for anyone who is starting with the MQL5
language are the open source code samples available in CodeBase.
In this location we will have access to codes for both the MQL4 and
MQL5 languages. It is extremely valuable to spend time researching
and studying these codes.

We also have the section of Articles where tutorials with excellent

didactics are added. This is one of the indispensable fields for anyone
with the pretense of mastering the MQL5 language.
Anyone who wants to build an EA with a more robust and complex
strategy can hire MQL5 programmers from orders on the Freelance
portal. Also, for those who have begun to master the tool and want
extra income, they can accept projects and offer their robot
production services, indicators and investment scripts.
In the field Market we can buy indicators and EA offered by
individuals and specialized companies.

We have a very interesting field that is Investment Signals. Through it

we can follow the entry and exit of trader operations. We have the
evolution of yields, the level of reliability, maximum profit, among
other information, for each one of the traders who were willing to
provide the signals of their operations. Some signal services can be
contracted (paid for) and automatic execution can be synchronized
with our accounts.
After finding a strategy and consistent setups and prove validity
through testing the demo account, an important step is to hire a virtual
machine service. This type of service will leave us more secure and
protected with regard to lack of energy and internet.

Oscillations in the energy and internet network are problems that can
compromise the proper functioning of our investment robots. An
alternative to solving this problem is by hiring a Virtual Private Server
(VPS) virtual machine. The MQL5 portal itself provides this kind of
service.
There is the possibility of contracting the VPS virtual machine service
by other companies, such as Amazon AWS
(https://aws.amazon.com/en/vpc/) that even offers a free year of use.
We have the Forum field which is where we will probably spend a
good part of our learning journey answering and putting our doubts
about the MQL5 codes. This is a good place to exchange
experiences, make friendships and partnerships.
Chapter 4
4. MetaEditor MQL5

The language MQL5 (MetaQuotes Language 5) has a large number

of useful functions to analyze the prices of financial assets. We need
to know these functions so that we do not recreate the wheel. But
before it, is important to know as much as possible of our language
programming environment (MetaEditor).
4.1. MetaEditor

MetaEditor is an Integrated Development Environment (IDE) for the

MQL5 language that is included in MetaTrader 5. Let us now know
the main features of developments offered by MetaEditor.
To open MetaEditor we must click the highlighted icon in the image
below or press the F4 shortcut.

After clicking on the icon for MetaEditor we will have a development

environment with three main areas that will assist us in the
development of our codes.
Area 1: Navigator - where we will manage our code library archives
and libraries in development.

Area 2: Window where the codes are properly typed.

Area 3: Toolbox - here is where we will follow the development of our

compilation and debugging tests. We have 6 tabs (Errors, Search,
Articles, Code Base, Public Projects and Journal). Basically, for the
creation of our algorithms we will only use the Errors and Journal
tabs.
4.2. Creating a new Project

Let's click the New icon and then choose from the MQL5 wizard the
type of project that we want to create.

We can notice that we have several design options. This Wizard even
allows us to create investment robots without programming
knowledge. Of course in this case we will be blind to most of the steps
and we will hardly do anything with confidence and due security.
As this ebook intends to provide the first steps with the MQL5 tool we
will only have the first option Expert Advisor (model). There are
two[3] other e-books from the same author that show you how to
develop Indicator and Scripts codes.
Let's first name our investment robot (Expert Advisor). We'll call it
EA_MA_Cros_RSI (Expert Advisor of Moving Moving Crosses with
the RSI Dindicator). This is just a temporary name for MetaEditor
presentation.
After clicking Finish the MQL5 Wizard creates for us the basic body
required for the development of any investment robot. Therefore, we
already have a divided structure with the main methods for the
operation of an EA.
The structure of an EA, for its proper functioning, will always contain
at least these three functions or methods: OnInit (), OnDeinit () and
OnTick ().
4.3. OnInit()

The first function executed in an EA is OnInit (). It is triggered only

when we initialize the robot. We use this function to initialize pointers
(Handles) of indicators, variables, as well as make previous
configurations and loads of variables and templates.
4.4. OnDeinit()

The OnDeinit () function is called when the robot is removed from

MetaTrader. For example, we use this function to clean indicator
handles, variables, remove graphic and textual objects from the
screen, and so on.
4.5. OnTick()

One of the most important is the OnTick() function because it is

where a lot of our programming logic is running. This function is one
of the most requested by our robot, since it is called every time a
market operation happens. At each new sell, buy, release and order
cancellation this function is called.
It is worth mentioning that this function is only called when we have
EA within trading hours. That's because only with the trading in
progress is that we have changes in the market.
If we are working on the development of a robot and we are not in the
trading hours we will not see any call of this function. Alternatively, we
can use the OnTimer() function to minimize these problems and to
make tests and debugs through it (using the Print() function). Later in
Chapter 5 we will see an example of using the OnTimer() function.
It is worth highlighting that there are several other predefined
functions like OnChartEvent(), OnTrader(), OnTester(), and others.
However, we will only study the main ones. Further details regarding
these other functions can be found in the MetaTrader 5
documentation.
4.6. Programming Accessories

We have some elements (functions) that help us in the readability and

organization of our robot codes.

4.6.1.Comments

Commenting on our algorithms is of the utmost importance for

readability and understanding of key steps.
For example, we have the comment element we can represent by //
or / * * /

This type of structure (//) causes the compiler not to interpret the
characters they saw immediately. So we can make small reminders
and explanatory comments to make the code clear and readable for
editing by other developers and even us.
The second type of comment / * * / allows you to write entire
paragraphs between them.
We have some shortcuts to the comments. For example, if we want to
comment several lines we can make the selection of them and press
(Ctrl + ~). To remove the comments, simply select and press (Ctrl +
Ç).

The shortcut (Ctrl +.) Lets you create the following annotated string.
This is useful for separating large sections of code.

The shortcut (Ctrl +;) lets you create a small separation with the
following strings:
4.7. EA Properties

It is always good to inform details of robot development. Thus,

directive #property: serves to describe basic information about EA. In
the example below, where we have the property directive, we can
observe information regarding copyright, link directed to some
website and version of the robot.

After pressing the Compile button:

We note that in the Toolbox field on the Errors tab the compiler did
not raise any problems.
So automatically in the MetaTrader Platform in the field Navigator ->
clicking on the more of Expert consultant we can find our EA
compiled (.exe5). You can now click, hold and drag to the candle
chart and observe the #property information present.

As we still have practically nothing programmed from the robot these

information in the Common tab above, are the only available so far.
Then, with each new modification made in the code with MetaEditor
we can observe the changes in the field Navigator in the part of
experts.
4.8. MetaTrader and MetaEditor File Types

The file type generated with MetaEditor has the extension '.mql'. We
can verify this in the MetaEditor Navigator field where we have our
robot edition file called EA_MA_Cros_RSI.mql5.
After clicking on the button Compile a file with the extension
'EA_MA_Cros_RSI.exe5' is automatically created in the field
Navigator -> Expert Advisor of MetaTrader.
It is important to note the difference between MetaTrader and
MetaEditor. In MetaEditor we have files with extension '.mql5' and in
MetaTrader we have '.exe5' files.
4.9. Adding Libraries

We can add special libraries provided by MQL5. For this we just need
to know the name of the library with the following code structure:

The above example adds a set of classes and methods ready to

generate Fibonacci figures in the first include
<ChartObjects/ChartObjectsFibo.mqh>, and work with sending and
managing sales orders in the second include <Trade/Trade.mqh>.
Note that the extension of these include files is of type '.mqh'.
MetaEditor also allows you to create this type of file. From this we can
create complex algorithms that work with the graphic part and even
visual animations.
We can research and study the main MQL5 libraries from the site:
In Chapter 5 we will know and study better MetaEditor functionality
from the study of the MQL5 syntax.
Chapter 5
5. Basic Programming Logic with MQL5

As mentioned before, the MQL5 language has great similarities with

the C ++, Java, and C # languages. Therefore, anyone who has any
knowledge of these languages will have great ease in understanding
the MQL5 operating syntax.
Every algorithm, every recipe for cake, begins with the description of
the ingredients. So let's make an analogy and start studying the
ingredients of our EA, our cake.
Let's first understand the main types of variables present in MQL5.
We also need to know how this language declares and assigns
values to variables.
5.1. Types of Variables

The variable is the basic unit of data storage in any programming

language. Almost every algorithm needs variables. In MQL5 we need
to declare a variable always with some type.
The main types of variables used to create robots are: Integer (int),
floating point - decimal values (float and double), alphanumeric
characters (string), logical (bool) and dates (datetime).
Unlike MQL5 there are some languages that have automatic typing
with, for example, Python.
Having to explicitly declare the variable type has practical security
advantages and makes it easy to find compilation errors. When we
are limiting the type of the variable, we protect it from possible
arithmetic errors, assignment errors, and programming logic errors.
5.2. Declaration of Variables

Every MQL5 variable must have a type and a name. The type of this
variable must always be specified before the name. Then we can
assign values corresponding to the variable type. Let's study the most
used and that will be part of the structure of our EA.

5.2.1.Integer Type

We have some peculiarities regarding the memory consumption

required to store a variable. In most EAs this is not a problem, but we
will discuss these issues in case you want to leave your robot
optimized for the memory consumption requirement of processing.
For example, we have the type variables char, short, int, uchar,
ushort, uint that serve for integer variables.

char - uses only 1 byte of memory. You can allow values in the range
of -128 to 127.
short - uses 2 bytes of memory. Can support values in the range of
-32,768 to 32,767.
int - uses 4 bytes of memory. You can allow values in the range of
-2,147,48,648 through 2,147,483,647.
uchar - uses 1 byte of memory. The range of values is 0 to 255.
ushort - uses 2 bytes of memory. The range of values is 0 to 65,535.
uint - uses 4 bytes of memory. The range of values is 0 to
4,294,967,295.

See the example below:

In this case we have a variable with the name ‘movingAveragePeriod,
which accepts integer values (int). We can see a value assignment
equal to 24. If no value is assigned to the variable the MQL5
immediately assigns zero.

5.2.2.Type Double

When we are interested in storing variables with decimal numbers the

most appropriate is to use the double type. The double type
consumes 8 bytes of memory. More economical, we have the float
type that consumes half, 4 bytes.
The main difference between these two types (float and double) is
that the accuracy of significant digits is larger for the double type (15
significant digits) while the float has only 7 significant digits. As the
difference in memory consumption for our robots will be irrelevant we
will use only the double type that is more accurate.
For example, the division, in the figure below, does not involve many
numeric digits. Therefore, the double or float type makes no
difference. On the other hand, if we had a problem where the result
was some periodic tithing multiplied by some number or other
decimal, cumulative rounding errors could interfere with the accuracy
of the results.
To the present moment do not worry about not observing the results
of operations. We will do this later with the use of the Print() function.
For the time being, let's take a look at the structure of the statement of
variables.

5.2.3.Type String

Textual character variables are typed with string. The MQL5 language
allows string concatenation in a very simplified way as shown below.

For a string if no value is assigned, an empty string (NULL) is placed.

5.2.4.Type bool

When the interest is to have a variable with boolean characteristics,

that is, that only allow true values (true) or false (false) we can use
the type bool:

It should be noted that in the case the variable 'bool response' was
declared without initial value, so the value of (false) is immediately
assigned. Only then, see figure above, that we have a value change
to true, because x is less than y.

5.2.5.Type Datetime

This is one of the most widely used types, since asset price data are
collected over some time scale. We will always be able to make
evaluations of times and days for operations. Therefore, we should be
well aware of the use of this type of variable.
The date and time format for MQL5 is defined as follows:
{D'yyyy.mm.dd hh: mm: ss'} ie {year.mon.day hours: minutes:
seconds}
The capitalized D letter placed at the beginning of the date causes the
variable to have the datetime constant.
5.3. Declaring Constants

We have a way to create constants from global declarations at the

beginning of our code from the #define directive.

Of course, the values of the constants can not be changed. If there is

any attempt to change the value, we will have a compilation error.
It is standard to consider the names of constants with upper-case
characters.
5.4. Vector Variables: Arrays

An array is a variable that supports multiple values. We may think that

an array is something like a list of values with a certain type. Within
this list we can do iterations by traversing each of its values.

We will often use variable arrays to store mainly financial asset price
information and indicator variables.
Here is an example of a three-position array declaration for storing
integer numbers:

If we try to do:

This compilation error happens because we made an initial statement

(myArray [3]) to allocate only 3 memory locations and we are trying to
add a fourth position.
We can make our array a list of the type of variable we want.
However, in advance, MQL5 needs to know the size of the list of
values we need for the array. So putting some value in brackets soon
after the variable name is required.
Another way to declare arrays is to directly assign values to it. We
should do this in the following way:
5.5. For loop

We will now study a very important repetition loop used in the

development of investment robots. When we want the computer to
perform repetitive activities within certain predetermined limits, a
practical way of informing the machine is through the for loop.
When we type the word for in MetaEditor we will have a small set as
shown below:

When we press Tab, the editor will autocomplete the whole structure
of the for loop.

This structure means that we will iterate from the integer 0 (zero) to
the integer (total-1) with an iteration increment ‘i’ of a unit (i ++ is the
same as i = i + 1, as well as i-- is the same as i = i-1).
So if we want to make a scan inside the elements of an array we can
do from the for loop as follows:
5.6. Enum

The enum structure is a special type of integer where we can define,

through a list, assignment constants. With enum we can customize
the types of variables that best suit our problem.
For example, let's create an enum to represent the seasons of the
year. We know that there are only 4 seasons of the year: spring,
summer, autumn and winter.
When you type the word enum we have a small arrow pointing to the
right, as shown below:

Another Tab, we have autocomplete. Our enum should look like this:

We can now use ‘SEASONS’ as a type of variable to be declared. In

many situations this is very useful to make our code more intuitive
and organized.
The value of output was 1 (one) because enum considers the
ordering of integers from zero. In our case we have spring (0),
summer (1), fall (2), winter (3). Interesting and quite useful the enum,
right?
5.7. Input Type Variables

Input variables are the only ones that allow the user of the indicators
or EA to assign values to them. These variables are used to provide
the user with the possibility of changing the setups of the indicators,
stop loss, take profit, number of lots etc.
Input variables can be of any type including enum types. Let's take an
example to make it easier to understand.

After compiling the above code we will have in MetaTrader the

following possibility of setting the EA:
Therefore, the input directive allows us to dialogue with the user on
the Input tab of our EA.
5.8. Local and Global Variables

It is very important to know the distinction between local variables and

global variables. The confusion between these two types of variables
leads to many EA compilation and execution errors. Therefore, we
must be very careful and pay close attention to where we are making
the declaration of variables.

5.8.1.Local variables

Let's create a function to show an example of local variables. When

variables are declared within a function/methods they with their
assigned values will only be used within functions. So we have local
variables because they are declared within a method or function.

5.8.2.Global Variables

When we want a variable to be used by any function/method

anywhere in our algorithm, we must declare it globally as shown in
the example below. Pay close attention to this example as it is very
important to understand the difference between the variables.
Let's take another important example, now with the chaining of a
structure with the if-conditional Boolean. Carefully evaluate this
example.
5.9. Variables Predefined by MQL5

The MQL5 language has several predefined routinely used variables

for strategy development. These variables have their own notation
and are preceded by an underscore (_).
The main variables most used and that we will apply to create our first
EA are:
_Symbol: represents the financial asset symbol present on the
current chart shown on the screen.
_Period: refers to the period, in minutes, of the current candle chart.
_Point: represents the size of points that characterize the financial
asset.
_Digits: represents the number of decimal point digits of the current
asset.
The use of these variables will become clearer when we are
developing our EA.
5.10. Math Operations

We have already seen several mathematical operations. Let's study

some more of them. The MQL5 language provides us with a very
intuitive and simple structure for working with mathematical
operations.

The language itself already comes with a set of mathematical and

statistical functions to work connected with the most diverse
operations. We have the functions with radical MathXXX quite useful:
5.11. Logical and Conditional Relationships

In the structure of our algorithms we commonly use logical relations

that return values of true or false. The main relationships we will be
working on are represented as follows by MQL5:

See the use of the if conditional plus the logical connectives &&
(AND) and || (OR):

Let's now go to the conditional structure of the else type. The else is
activated if the ‘if’ conditional is not true. Therefore, if the ‘if’ is false
automatically the else becomes true and everything inside the keys of
this structure is executed.
The else if structure is very useful in many cases. When the chain of
conditions is extensive we can use this structure. If no else if is true,
else executes automatically.
5.12. Ternary Operator

The ternary operator exists in several high-level programming

languages and in MQL5 it is no different. This is a very useful
operator to simplify conditional structures that could use if and else.
The ternary operator has the following operating structure:
(conditional)? (alternative 1 if true): (alternative 2 if false)

Let's take an example:

In the place where we use the conditional variable we could do any

structure using the logical evaluators (> =, <=, &&, ||).
5.13. Methods or Functions

When we are working with object-oriented programming (OOP) we

make constant use of classes. Classes are the master plans of the
objects architecture. Do not worry if this seems complicated because
we will not use OOP.
Among the classes we usually find methods and attributes. The term
function is most commonly used when we are working with procedural
programming. The MQL5 language allows us to program both in the
object-oriented and procedural paradigm. This book is about
procedural programming, so we will talk about methods and functions
as if they were the same thing.
But what are methods or functions? They are code blocks that allow
you to perform a specific task. Usually the functions have input and
return parameters. In other words, the functions process the
parameter entries according to a well-defined logic and returns a
result.

Here is an example to further clarify all this:

In a function we can have several types of returns and input

parameters. The processing performed depends on the logic of the
problem.
Let's take another example where we have functions used to
calculate the sum, multiplication, and division of two numbers:

Functions that do not return values have a void type declaration.

However, if the function has some kind of return we are required to
return something relative to the return type.
5.14. Candles and Tick Variables

The MQL5 language has a set of libraries prepared to work with the
acquisition and manipulation of candle prices. We have the
MqlRates structure that stores the price information of opening,
closing, maximum, minimum, volume, spread and time.
Tick information refers to those collected from the book of offers such
as ask (bid), bid (sale), last business etc. This information can be
accessed from the MqlTick structure.
Let's see how to declare a candle variable and tick. We must beware,
because we must first declare the variable after doing the proper
loading of the data in the variable declared from other specific
functions.
In order to load, we must specify the financial asset (which can be the
current one of the graph using _Symbol) and the period of the
candles (to use the current chart we put _Period).
For an example, we will create a new Expert Advisor with the name of
Study_Var (study of variables). In the wizard now we will add the
OnTimer option.
We decided to add the OnTimer() function, because with it we can
work and view our debug codes outside the trading hours. As we saw
in Chapter 4, the OnTick() function is called every time a new trading
operation is performed, and as we are probably making the codes
outside trading hours no call to this function will be made.
So we'll use the OnTimer() function to make timed calls and be able
to see the development of our codes. Let's ask it to be called every 2
seconds from the EventSetTimer(2) function (see example below).

The CopyRates() and SymbolInfoTick() functions have been

completed following the following structures:
We can better understand the structures and main functions of the
MQL5 library by using the F1 key. To do this, just place the mouse
cursor on the structure of interest and press F1. For example, let's do
this for MqlRates:

From the F1 key we have access to a very complete documentation

of the MQL5 language. So we should always use it when a doubt
arises.
As already discussed, we are not always developing EA in the trading
hours and even then we need to make some debugs in the code, so
we are using OnTimer().
However, within the OnTimer() function we will add the following code:
Let's compile. Now let's go to MetaTrader and drag EA
'Study_Var.exe5' to the chart. Then in the Toolbox (if it is not showing
go to the display menu and ask to open) and enable the Experts tab.
Once the robot has been added to the graph, we can notice that on
this tab every 2 seconds we have an update of the OnTimer()
function and what is inside it is executed. In our case we see the
prices of open, max, close and min.

We are taking the prices of the candle in position '0', that is, collecting
the values of the most current candle. The candle can represent any
time chart, what really matters is your position. We can choose any
desired position, all we need is to understand the ordering of the
vector. Below is an illustration to facilitate this understanding (it is
worth noting that this illustration is valid only after using the
ArraySetAsSeries() that orders the vector as shown).
Our candle vector has only 10 positions, because we use the function
CopyRates(_Symbo, _Period, 0,10, candles).

We can make our code more easily able to choose the position of the
candles and, in addition, add tick information, see below:

Let's now test the case of the variable (pos = 10). We chose for
candles a vector with only 10 price positions, but we are trying to
access the position of number 11 (remembering that the count starts
with zero). So the code will compile normally, however when
executed in MetaTrader we will get the following error message:
We have an array out of range error. MetaTrader also informs the line
of code in the .mql file where we find the violation (line 59). We must
be alert because this type of error is quite frequent in our robot
creations. So be very careful with the sizes and tracking positions of
the arrays.
5.15. Functions Comment () and Alert ()

By using some useful functions we can create warning elements and

alerts to provide greater security of use and better understanding of
what is happening with our EAs.
5.15.1. Comment()

Comments are always welcome. Let's take an illustrative example:

We are using the DoubleToString() function to make the change

from double to string. If we are not careful to use this function we will
not have a compilation error, but in the Errors tab of MetaEditor
Toolbox we will observe the following composition of warnings:

5.15.2. Alert()

The Alert() function displays an alert box in the center of the screen
with the requested information. Those who are interested can search
for audible alerts, because it is also possible to add them to our EAs.
5.16. Adding MQL5 Indicators

Let us now turn to one of the most common and important practices
when the goal is to plan an investment strategy. It is very likely that
your investment strategy will make use of some indicator, so let's
learn how to call indicators from the MQL5 language.
Initially, we need to declare the variables for our indicator. How we will
declare variables will depend greatly on the type and functioning of
the indicator.
There are indicators that provide only one output of information, such
as a moving average. From the moving average we have only one
output of information which is the value of the moving average
calculated for a specific point in the graph. In this case we say that
the moving average has only one memory buffer. Every indicator
needs at least one Handle and it must be an integer type.

The declaration of the moving average indicator is given by a function

of MQL5 (iMA) with a F1 in this function we obtain:
In our case we are using a moving average period of 7 with the
simple smoothing type (MODE_SMA) applied to the closing price
(PRICE_CLOSE). It is good to point out, once again, that each
indicator has its own structure of parameters necessary for its proper
functioning.
It is always good to put codes to evaluate possible variable loading
errors. In our case we added an Alert() if we have problems with the
variable 'mm_Handle'. We did this because the correct functioning of
this variable is extremely important to our robot strategy. However, the
practice of evaluating the loading of variables is always welcome.
The same procedure can be done for the iRSI() indicator.
We made the initial statement and addition of the indicator on the
chart with the function ChartIndicatorAdd(0,0,mm_Handle). Now we
should point 'mm_Handle' to the vector of ‘mm_Buffer[]’ which is
where we will access the values of our moving average.
To do this within the OnTick() function we must call the CopyBuffer()
function.
We can understand the structure of CopyBuffer() as follows:

Now let's add the RSI oscillator indicator. This indicator also has only
a single Buffer. If you are in doubt regarding the number of buffers of
each indicator simply go to the documentation from the F1 key and
look for #property indicator_buffers:

It follows the code with the addition of the two indicators (moving
average and RSI). Note that the (iRSI ()) function of the RSI indicator
has input parameters that are very different from the iMA () function:
Finally, we are fully equipped with the minimum information necessary
to start programming our investment robot. Let's go to the next
chapter!
Chapter 6
6. Programming the EA

Now that we know the main functionality of MetaTrader, we have

already understood the basics of the features of the MQL5 language
and the use of MetaEditor we are minimally prepared to start
developing our investment robot (Expert Advisor - EA).
Before starting to program, let us know and understand the details of
our EA strategy.
6.1. Strategy overview

Our EA will have two moving averages and the RSI indicator. The
crossing of two Moving Averages works well when the market is in a
trend. On the other hand, in parallel markets or in consolidation, the
RSI indicator performs better.
There are several indicators that offer indicative when the market is in
trend as the ADX indicator. We decided to choose the RSI for reasons
of making an alternative between the possibility of choosing the
market in the trend and/or lateralized market.
For the buy or sell operations, our EA will have the possibility to
choose only one of the indicators (crossing of averages or RSI) or
both at the same time. Thus, we will have an EA that will track the
input triggers based on two indicators: moving averages and RSI.
Let us understand how the input triggers in operations will be given
for each of these indicators.

6.1.1.Moving Averages

First we go to the trigger for the crossing of moving averages. We

have two moving averages and the type, whether exponential or
arithmetic, of these averages can be changed as we will see next.
One of the moving averages will be called the fast average and the
other slow average. The fast average is the one that has the shortest
period, on the other hand the slow average should always have the
longest period.
We give these names to averages because fast averages are those
with a shorter period of time and are more adherent to price, so they
move faster than those of longer periods where they have slower
directional behavior.
Let's look at an illustrative diagram of how these triggers work in
trading:
6.1.2.Relative Strength Index (RSI)

O indicador RSI (Relative Strength Index) no MetaTrader se refere a

um Oscilador, ou seja, é útil para indicar posições de sobrecompra e
sobrevenda em mercado lateralizado (consolidado).
We will not go into detail about the calculations behind the RSI
because it is not the goal at the moment. But let's understand the
kittens buy and sell this indicator
The figure below shows the RSI and two main levels (solid lines in
red) at 30 and 70. Each of these lines represents the levels to allow
overbought (line 70) and oversold (line 30). In other words, in a
consolidated market, when the RSI is equal to or greater than line 70,
it can be a reversal warning, warning an overbought, that is, it may be
a good time to make a sale. On the other hand, if the RSI, once again
in a consolidated market, is less than or equal to line 30, we are in an
oversold region indicating a good time to buy.
In our EA we will leave those levels of 70 (overbought) and 30
(oversold) possible to be changed by the user. So you can choose
more loose or restrictive levels for the kittens to buy and sell.
Let's now set an example where the trigger levels to buy are at line
30 and the trigger to sell is at line 70:

Let us, therefore, to a summary of the strategy with the elements that
we will need to program for our EA:

1 - We must add two moving averages (fast and slow) both with the
possibility of choosing the period, the average application price and
the average method used.

2 - We must add the RSI indicator with possibility of period choice,

applied price, and oversold and oversold levels.

3 - The user can choose among the options to enter the traders if they
come from the moving averages plus the RSI, only moving averages
or only the RSI.
Now that we know the operation to buy and sell for our two indicators
(crossing of averages and RSI) we are ready to start developing the
algorithm with the presented strategy.
6.2. Creating EA

Let's open MetaEditor and ask the wizard to create a new Expert
Advisor. Let's give it the following name: MM_CROS_RSI.mql5.
If you want to obtain the complete source code of the robot you can
access the following page in github https://github.com/rafaelfvcs or
send an email to [email protected]. However, it is strongly
recommended that you enter the codes presented to gradually
memorize the use of MetaEditor functions and features.
Here we have the skeleton of our EA:
6.3. Declaration of Global Variables

Let's start by declaring our global variables. We will separate those

variables that the user will have access to modify and those that will
be used for the structure of the EA algorithm.

6.3.1.Variables for the User

We will provide the following options (input parameters): profit targets,

stop loss, number of traded lots, chart time, average periods, RSI
period, application of methods in prices (opening, closing, max, min)
for both the averages and the RSI, possibility of choice in the strategy
of entry triggers in operations (Moving averages plus RSI, only
crosses, RSI only) and time limit to close the open operations.
Below is the code of all this:
For the 'strategy' variable it was chosen to create an enum (this
should be declared at the top of the algorithm above the Input
variables):

6.3.2.Global Variables

We must now declare the global variables that will be used by the
functions of our algorithm. See below:
6.4. OnInit () Function

In the OnInit() function we will add the initialization variables to the

indicators and add them to the chart with the ChartIndicatorAdd()
function. Follow the code:

Note that ChartIndicatorAdd(0,0,mm_fast_Handle) and

ChartIndicatorAdd(0,0, mm_slow_Handle) has the same graphical
addition reference (0 zero), which means that both indicators will be
on the main screen where the candles . However,
ChartIndicatorAdd(0,1,ifr_Handle) terms the reference (1 one) ie the
bookmark will be added to another chart box.
6.5. Function OnDeinit()

When the EA is removed we need to remove the indicators and if

necessary clear variables and parameters. The OnDeinit() function is
called when the robot is removed. Thus, within this function we can
write our disinitialization activities of the parameters:

As we write these codes it is advisable to compile and test EA in

MetaTrader. So if we drag the file: MM_CROS_RSI.exe5 in
MetaTrader for some financial asset we will have the following:
Clicking on ok will add the indicators to the chart and the EA will
appear in the upper right corner or not if the automated trading button
is on.
See the example below:
6.6. Expert Advisor Functions

Let's create some useful and important functions for the operation of
our EA. We can use the shortcut (Ctrl +.) To create sections for a set
of functions that we will create for our EA.

First, we will need a function that informs the appearance of a new

candle regardless of the graphical time. Still, we do not have a native
function in MQL5 that allows us to accurately assess changing candle
and so we must create it.
The function should return true if a new candle appears on the chart.
Here is the code used in the tutorials in the MetaTrader article portal:
Let's do a function to help you visualize the entry points of our
strategies. This function basically will construct a graphical object
(vertical line). Every time our robot presents logical conditions (the
trigger is activated) a vertical line will be drawn on the graph with a
name and color referring to the type of warning.

The function drawsLineVertical() has four input variables. MQL5

allows the last input variables of a function to already come with a
default value. See the case of the variable 'color = clrAliceBlue'. This
means that when the user does not set a specific color the
'clrAliceBlue' will automatically be assigned to the variable. Therefore,
the user has no obligation to assign values to this type of variables.
However it is mandatory to enter values for the other variables.
Now let's create one of the most important functions for our EA. They
are the functions of sending orders.
We need to send orders to buy or sell every time a trigger is started.
In MQL5 we can do this type of sending in different ways. We can use
a specific class called CTrade to work with the handling and sending
of orders. However, here we choose to use the requisite assembly
structures (MqlTradeRequest) and send response
(MqlTradeResult).
MqlTradeRequest is used to perform all trade requests for a trade
operation. It contains all the fields necessary for performing a trade
deal.

MqlTradeResult is used for any trade operation. The variable

declared to be of this type will be able to access the trade request
results.

From these structures we can delimit the type of order that we are
interested in, specifying details of it. The request and response
variables must be used in an order send function called OrderSend().
Below is a function created to send an order to buy to market with
type of fill FOK (fill or kill - or fills the lot size of the order or does not
execute). This order, executed to market, already enters with the stop
loss and target of gains (take profit) defined.
In every market there are offers from the best buyers and best sellers.
Therefore, we need to access the book of offers to know these prices.
As we have seen, in Chapter 5, we can access book information from
the MqlTick structure. So we created a variable called 'tick' to store
this information. With it we can access the best seller 'tick.bid' and the
best buyer 'tick.ask'.
We have the bid = (sell, offer) and ask = (buy, demand).

The type of action to be chosen is the first requisition that we should

assign:
We have several types of orders. We can choose from the structure
type:

The NormalizeDouble() function is used for rounding variables. We

need to use it because some financial assets have the number of
different price digits of others. We have assets that are quantified by
points (as is the case of index and dollar futures contracts), others are
quantified by price and even pips (Forex market). In Chapter 5 we
discussed the use of _Point and _Digits.
The values of the SL and TK variables should be chosen by the user
in the form of points. Notice that for the stop loss price we did:
NormalizeDouble(tick.ask - SL * _Point, _Digits) as we are buying
and our stop loss point needs to be below the (ask). Already the
target of the take (take profit) naturally for a purchase should be
above TK ask points.
It is with the request request.type_filling = ORDER_FILLING_FOK'
that we choose the order fulfillment type. We basically have three
types of order fulfillment:
Let's see the function to sell:
In this case, we have the stop loss level above the bid price
NormalizeDouble(tick.bid + SL * _Point, _Digits) and the gain target
naturally below NormalizeDouble (tick.bid - TK * _Point, _Digits).
We also need to create two functions to close open orders if arrive at
the time limit chosen by the user. That's because our robot is
daytrader, we do not want to sleep positioned. Remembering that to
guarantee the closing of open orders we have the variable 'Limit
Closing Closing Position' chosen by the user.
So to close a sale we must buy and to close a purchase we must sell.

We can note that for the CloseBuy() function the request.type_filling

= ORDER_FILLING_RETURN', this is because we want to close the
order independent of the best buy or sell. As we know this type of fill
(ORDER_FILLING_RETURN) executes the order until it reaches the
limit of the number of lots.
6.6.1.Error Handling

It is always good to treat the returns of the orders sent. This is

because we can minimize problems and evaluate execution errors. In
our functions we did this from answer.retcode which returns a code
(with 5 digits) coming from the brokerage server. Below is a window
showing details of these codes. You can get to this window by
pressing the F1 key on code number 10008 or 10009.
6.7. Function: OnTick()

The goal now is to create the whole strategy logic for our EA. We
already have the necessary functions ready for its operation. It is
within the OnTick() function, called each new business carried out on
the stock exchange, that we will write the strategic body.
First, we must feed our candle, tick, and indicator variables with data.
Also, let's not forget to sort them appropriately with the
ArraySetAsSeries() function:

After this we can make use of these variables to build the logic of the
buy and sell action of our EA. Follow the conditions of crossings:
In the MQL5 language it is:

We have to create a logic to use the enum (STRATEGY_IN). We

need the sales and purchase triggers to be oriented with the options
of: ONLY_MM (mobile averages only), ONLY_RSI (RSI only) and
MA_AND_RSI (Moving averages plus RSI) described in this enum.
Here's a possible solution to this problem:
Now we can organize our functions so EA can make buying and
selling decisions. It is important to know when a new bar (candle) is
created so that the algorithm can track, without much computational
effort, a possible crossing of averages and RSI values in the desired
region. Let's draw a vertical line when the buy/sell triggers are
activated.
The 'PositionSelect(_Symbol)' function returns a boolean. If there is
any position in progress it returns true, otherwise false. So we just
want to get into an operation if the EA has no open position.
Finally, to end our long-awaited EA we need a code to close some
open position at the time limit, i.e., that position that did not reach the
winning target or the stop loss.

The PositionGetInteger(POSITION_TYPE) function returns the open

position type. If it is a buy position we have POSITION_TYPE_BUY in
the case of a sale we have POSITION_TYPE_SELL.
Once again if you want to have access to the complete code of this
EA can be downloaded at: https://github.com/rafaelfvcs. Or if you
prefer, you can send an email to [email protected] and I'll be
happy to send it to you!
Let's now do backtests with our newest multi-strategy investment EA.
Chapter 7
7. Backtests

Our main interest with Expert Advisor (EA) is to have a winning

strategy over the long term. There is that famous phrase: that nobody
in the financial market has a crystal ball. It is no use trying to predict
the future of the market, because unfortunately, it is impossible until
the present moment.
We need to be realistic to accept that our strategy will have ups and
downs regarding financial returns. The 100% winning strategy is a
utopia. However, it is important to know how good our strategy is.
There is nothing better than using past data to gauge how it
performed under various market conditions. So testing our strategy at
past time periods is called a backtest.
Fortunately, when it comes to backtesting MetaTrader 5 provides a
collection of simple and useful features to extract as much information
as possible from the performance of our EA.
Now that we already have an EA (MM_CROS_RSI.exe5) multi-
strategy programmed and working properly, let's do the backtests.
7.1. Backtest in MetaTrader 5

Let's open MetaTrader and go to the field Navigator -> Expert

Advisor consultant and look for our newest EA. Once found we
should right click on it and then on Test.

This will give us a new field in MetaTrader called Strategy Tester, in

the settings tab we have the following panel of possibilities:

With these features we will be able to choose the financial asset for
the backtest:
The graphical time:

We have the option to choose how the formation of our candles are
simulated by MetaTrader.

For this way of generating prices in candles, let’s go to the main

options most used:
Every tick or Every tick based on real ticks: MetaTrader tries to
simulate real price ticks in the formation of candles. This option
leaves the backtest more accurate, but requires more computational
resources once inside a candle the MetaTrader tries to reproduce the
formation of real ticks. It is worth noting that ticks are not real are just
a simulation (a possible representation of reality). This article clarifies
the functioning of this simulation:https://www.mql5.com/en/articles/75.
1 minute OHLC: In this type of candle formation MetaTrader
generates only 4 price values: O - open, H - High, L - Low, C - Close.
This option requires much fewer computational resources compared
to the tick option.
Open price only: This is the least costly option computationally,
because it only uses a price to represent a candle.
In our backtests we will always leave the option Forward marked No
(see the figure below). This option is useful when we are doing
strategy optimizations and want to use optimization methods such as
Walk Forward Analysis (WFA). This type of study is beyond the
scope of this book. If you want to know more about it, you can buy the
other e-book (How to Properly Optimize Investment Robots in
MetaTrader 5[4]).

The type of execution with or without Delay is interesting so we can

simulate the conditions in which the servers are and the speed of our
internet. Latency refers to the time required for routing orders to be
properly executed.
We have the possibility to choose the financial from the initial deposit
as well as the possibility to leverage investments (in the case of the
figure below 1: 1 - without leverage).

For our backtests the Optimization field should be disabled:

We should choose the data period for the backtest.

And check the option to view the backtest:

Let's now go to the Input (Parameters) tab of the Strategy Tester.

In this field we can put the setup necessary for the realization of our
backtests. At the moment, what interests us is just the Value column,
highlighted in low red. The other columns (highlighted in green) are
used as parameters for EA optimization.

In the Agents tab we have information regarding the computational

power of the machine that we are using to do the backtests and
optimizations. A backtest is usually computationally inexpensive.
However, when we are doing optimizations (many backtests are
required) we will need a lot of resources and therefore this Agents
tab will be important to us.
We can make a log to use multiple processing cores in the cloud and
thus increase our computing power. The use of these extra cores is
very affordable. With a few dollars we can make hundreds of
thousands of optimizations.

After setting the parameters correctly for the backtest, simply go back
to the Settings tab and hit the Start button.
7.2. Analyzing the Backtest

As soon as you press the Start button, the following window appears:

So we have a screen to visualize what is happening with the backtest.

We can control the speed with which new candles (candles) appear,
from the highlighted buttons (red) of the figure above.
You can also have the prices of each candle and indicator (green area
highlighted), just place the mouse over the desired element on the
screen.
In the Toolbox we have four tabs (Trading, History, Operations and
Journal) where we can track records regarding our trades operations
of our EA.
In the Toolbox in the Operations tab we can follow the records with
each of the sales and purchase operations. Something very useful is
that we can give two clicks on some of this operation and the graph
will automatically show the operation in question.
The Toolbox History tab shows a bit more detail. We can quickly see
profitable (green) and lossy (red) operations from colorful highlights.

Finally, the Operation tab shows the progress of each particular

negotiation. We have the information regarding the entry price, our
available financial margin and how the trade is progressing, whether
with gain or loss.
7.3. Performance Charts

During the backtest or after the end we can follow the evolution of our
capital in the Graph tab that appears in the Strategy Tester.

However, after the end of the backtest, a new tab called Backtest
appears. This tab provides a summary of the operational statistics of
our strategy. In it we can see the profit Factor of the operation (ratio
between gross profit and gross loss), recovery factor, drawdown or
retraction, total trading, number of short positions and bought with
gains and losses, sharp index among others.
We can visualize bar charts informing about the schedules, the days
of the week and the month where we have more entries in the
traders.
You can track the frequency of profits and losses: by EA operating
hours, days of the week, and months of the year. We also have
information regarding the maximum time set and the minimum
duration of a position.
However, as we can see, MetaTrader 5 gives us a very thorough
review of our backtest.

--==*__*==--
Congratulations on getting here!! Thank you for your confidence in
reading this e-book. Sorry for the problems with the translation. Feel
free to submit suggestions, criticisms and errors in the texts and
subjects covered in the e-book.
Now that you've been able to create your first EA and make the
backtests, it means you have a new journey of study towards more
sophisticated strategies. It is worth remembering that the EA taught in
this book is purely demonstrative and offers no means to use as a
suggestion of real investments.
If you want to know other books, with similar didactics, it is worth
checking the following:
How to create indicators and scripts in MQL5 (step by step).
How to Properly Optimize Investment Robots in MetaTrader 5

If you are interested in any of these books please contact me by e-

mail:[email protected]

This material was written thinking of you dear reader. It is good to

remember that we are all motivated by criticism or praise. If this book
was helpful to you in any way, whether or not you liked the didactics,
please leave a comment on the Amazon store. This kind of attitude is
of extreme importance so that future editions are even better.

Thank you very much!

[1] Obs: The information contained in this e-book does not represent or offer
any suggestion and / or expectation of investment.
[2] https://en.wikipedia.org/wiki/Bill_Williams_(trader)

[3] More information send an email to: [email protected] .

[4] By the same author ([email protected])