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The document is a MetaTrader 5 Expert Advisor (EA) script for a quantitative trading strategy that utilizes a Simple Moving Average (SMA) and Average True Range (ATR) indicators. It includes parameters for risk management, lot sizing, and trading logic for opening long and short positions based on price behavior relative to the SMA. The EA initializes indicators, handles trading signals, and calculates lot sizes based on account equity and risk percentage.

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Moha Mokhliss
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36 views3 pages

3 Code

The document is a MetaTrader 5 Expert Advisor (EA) script for a quantitative trading strategy that utilizes a Simple Moving Average (SMA) and Average True Range (ATR) indicators. It includes parameters for risk management, lot sizing, and trading logic for opening long and short positions based on price behavior relative to the SMA. The EA initializes indicators, handles trading signals, and calculates lot sizes based on account equity and risk percentage.

Uploaded by

Moha Mokhliss
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as TXT, PDF, TXT or read online on Scribd
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//+------------------------------------------------------------------+

//| QuantStrategyEA.mq5 |
//| Example EA for Advanced Quant Behavior Strategy |
//+------------------------------------------------------------------+
#property copyright "Achilleus Capital"
#property link "Quant Trading Firm"
#property version "1.00"

#include <Trade\Trade.mqh>
#include <Indicators\Indicators.mqh>

CTrade Trade;

// Input parameters
input double RiskPercent = 1.0; // Risk per trade in percentage
input int MA_Period = 50; // Period for the Simple Moving Average
(SMA)
input int ATR_Period = 14; // ATR period for volatility-based stop
input double ATR_Multiplier = 2.0; // Multiplier to set Stop Loss distance
input double LotSize_Min = 0.01; // Minimum lot size
input double LotSize_Factor = 0.1; // Factor to adjust lot size based on
account equity

// Global variables for indicator handles


int smaHandle;
int atrHandle;

//+------------------------------------------------------------------+
//| Expert initialization function |
//+------------------------------------------------------------------+
int OnInit()
{
// Create handles for indicators
smaHandle = iMA(_Symbol, _Period, MA_Period, 0, MODE_SMA, PRICE_CLOSE);
if(smaHandle == INVALID_HANDLE)
{
Print("Failed to create SMA handle");
return(INIT_FAILED);
}

atrHandle = iATR(_Symbol, _Period, ATR_Period);


if(atrHandle == INVALID_HANDLE)
{
Print("Failed to create ATR handle");
return(INIT_FAILED);
}

Print("EA initialized successfully");


return(INIT_SUCCEEDED);
}

//+------------------------------------------------------------------+
//| Expert deinitialization function |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
// Release indicator handles
if(smaHandle != INVALID_HANDLE)
IndicatorRelease(smaHandle);
if(atrHandle != INVALID_HANDLE)
IndicatorRelease(atrHandle);
}

//+------------------------------------------------------------------+
//| Expert tick function |
//+------------------------------------------------------------------+
void OnTick()
{
// Make sure we have enough bars
if(Bars(_Symbol, _Period) < (MathMax(MA_Period, ATR_Period)+1))
return;

//--- Copy SMA data


double smaArray[3]; // current and previous values
if(CopyBuffer(smaHandle, 0, 0, 3, smaArray) <= 0)
{
Print("Error copying SMA data");
return;
}

//--- Copy ATR data


double atrArray[3];
if(CopyBuffer(atrHandle, 0, 0, 3, atrArray) <= 0)
{
Print("Error copying ATR data");
return;
}

//--- Copy Close prices into an array


double closeArray[3];
if(CopyClose(_Symbol, _Period, 0, 3, closeArray) <= 0)
{
Print("Error copying Close prices");
return;
}

// Get current price (using Bid price)


double price = SymbolInfoDouble(_Symbol, SYMBOL_BID);

// Define a simple behavior:


// If the previous bar's close was below the SMA and the current close is above
the SMA, then long.
// If the previous bar's close was above the SMA and the current close is below
the SMA, then short.
bool longSignal = (closeArray[1] < smaArray[1] && closeArray[0] > smaArray[0]);
bool shortSignal = (closeArray[1] > smaArray[1] && closeArray[0] < smaArray[0]);

// Do not trade if there is already an open position on this symbol


if(PositionSelect(_Symbol))
{
// Optionally, you can add trailing stop logic or exit conditions here.
return;
}

// Calculate risk-based lot size


double lot = CalculateLotSize(price, atrArray[0]);
if(lot < LotSize_Min)
lot = LotSize_Min;
// Calculate stop loss distance based on ATR
double slDistance = atrArray[0] * ATR_Multiplier;
double tpDistance = slDistance * 2.0; // Example risk:reward ratio 1:2

// Trading logic for long positions


if(longSignal)
{
double stopLoss = price - slDistance;
double takeProfit = price + tpDistance;
if(Trade.PositionOpen(_Symbol, ORDER_TYPE_BUY, lot, price, stopLoss,
takeProfit))
Print("Long position opened at price: ", price);
else
Print("Failed to open long position. Error: ", GetLastError());
}
// Trading logic for short positions
else if(shortSignal)
{
double stopLoss = price + slDistance;
double takeProfit = price - tpDistance;
if(Trade.PositionOpen(_Symbol, ORDER_TYPE_SELL, lot, price, stopLoss,
takeProfit))
Print("Short position opened at price: ", price);
else
Print("Failed to open short position. Error: ", GetLastError());
}
}

//+------------------------------------------------------------------+
//| Function: CalculateLotSize |
//| Calculates lot size based on account equity and risk per trade |
//+------------------------------------------------------------------+
double CalculateLotSize(double price, double atrValue)
{
// Calculate risk in money
double accountEquity = AccountInfoDouble(ACCOUNT_EQUITY);
double riskMoney = accountEquity * (RiskPercent / 100.0);

// Stop loss in price units, using ATR value multiplied by our multiplier
double stopLossPrice = atrValue * ATR_Multiplier;

// Calculate lot size: riskMoney divided by stop loss (in monetary terms per
lot)
// Note: Adjust the multiplier below based on instrument specifications (e.g.,
contract size)
double lotSize = riskMoney / (stopLossPrice * LotSize_Factor);

// Normalize lot size to the broker's allowed step size (2 decimals)


lotSize = NormalizeDouble(lotSize, 2);
return(lotSize);
}
//+------------------------------------------------------------------+

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