Trading Strategy Implementation Guide for Developer

Overview

This trading strategy combines volume-based, trend-following, and momentum indicators to automate trade execution and risk management in MetaTrader 5 (MT5). The Expert Advisor (EA) should execute trades based on predefined entry and exit conditions, leveraging MQL5 for customization.

Detailed Requirements

1. Indicators to Implement
	1.	On-Balance Volume (OBV):
	•	Purpose: Confirms trend direction by tracking cumulative volume.
	•	Implementation:
	•	Use price and volume data to calculate OBV:

If Close[1] > Close[2]: OBV = OBV + Volume[1]
If Close[1] < Close[2]: OBV = OBV - Volume[1]
If Close[1] == Close[2]: OBV = OBV


	•	Check for OBV increasing in uptrends or decreasing in downtrends.

	2.	Accumulation/Distribution (A/D) Line:
	•	Purpose: Identifies divergence between price and volume.
	•	Implementation:
	•	Calculate A/D line:

Money Flow Multiplier = ((Close - Low) - (High - Close)) / (High - Low)
Money Flow Volume = Money Flow Multiplier * Volume
A/D = Previous A/D + Money Flow Volume


	•	Use to detect divergence with price.

	3.	Average Directional Index (ADX):
	•	Purpose: Measures trend strength.
	•	Implementation:
	•	Use the built-in iADX() function in MQL5.
	•	Check for ADX > 25 to confirm strong trends.
	4.	Aroon Oscillator:
	•	Purpose: Measures time since the most recent high or low to detect trends.
	•	Implementation:
	•	Calculate:

Aroon Up = ((Period - Days Since High) / Period) * 100
Aroon Down = ((Period - Days Since Low) / Period) * 100
Aroon Oscillator = Aroon Up - Aroon Down


	•	Use values > 50 for uptrend and < -50 for downtrend.

	5.	MACD (Moving Average Convergence Divergence):
	•	Purpose: Identifies momentum shifts.
	•	Implementation:
	•	Use the built-in iMACD() function.
	•	Look for MACD line crossing the signal line.
	6.	RSI (Relative Strength Index):
	•	Purpose: Confirms overbought/oversold conditions.
	•	Implementation:
	•	Use the built-in iRSI() function.
	•	Confirm RSI values between 50 and 70 for long trades, and 30 to 50 for short trades.
	7.	Stochastic Oscillator:
	•	Purpose: Identifies momentum at key price levels.
	•	Implementation:
	•	Use the built-in iStochastic() function.
	•	Look for %K crossing %D in overbought/oversold zones.

2. Entry Rules

Buy Entry:
	•	Trend:
	•	ADX > 25.
	•	Aroon Oscillator > 50.
	•	Volume:
	•	OBV is increasing.
	•	A/D Line diverging positively (price decreasing, A/D line increasing).
	•	Momentum:
	•	MACD line crosses above the signal line.
	•	RSI is between 50 and 70.
	•	Stochastic %K crosses above %D in oversold zone (<20).

Sell Entry:
	•	Trend:
	•	ADX > 25.
	•	Aroon Oscillator < -50.
	•	Volume:
	•	OBV is decreasing.
	•	A/D Line diverging negatively (price increasing, A/D line decreasing).
	•	Momentum:
	•	MACD line crosses below the signal line.
	•	RSI is between 30 and 50.
	•	Stochastic %K crosses below %D in overbought zone (>80).

3. Exit Rules
	1.	Profit Target:
	•	Use a risk-reward ratio of 1:2 (e.g., risk 50 pips to gain 100 pips).
	•	Alternatively, use Fibonacci extensions (127.2%, 161.8%) for targets.
	2.	Stop-Loss:
	•	Place stop-loss:
	•	Below the most recent swing low (for longs).
	•	Above the most recent swing high (for shorts).
	•	Alternatively, use 1.5x ATR (Average True Range) as a dynamic stop-loss.
	3.	Trend Reversal:
	•	Exit if ADX falls below 20.
	•	Exit if the Aroon Oscillator crosses 0 in the opposite direction.

4. System Design and Functionality
	1.	Data Handling:
	•	Fetch real-time price and volume data.
	•	Calculate indicators dynamically at each tick.
	2.	Signal Generation:
	•	Check all entry conditions at the close of each candle.
	•	Generate buy/sell signals when conditions are met.
	3.	Trade Execution:
	•	Use OrderSend() for placing trades.
	•	Automatically calculate position size based on risk (e.g., 1-2% of account balance).
	4.	Risk Management:
	•	Implement stop-loss and take-profit levels at trade entry.
	•	Adjust stop-loss dynamically using trailing stops.
	5.	Logging and Alerts:
	•	Log all trades, signals, and indicator values for debugging and optimization.
	•	Optionally, send alerts via email or notifications when trades are executed.

5. MQL5 Implementation Details
	•	Use MQL5 functions:
	•	iOBV() for OBV.
	•	iADX() for ADX.
	•	iMACD() for MACD.
	•	iRSI() for RSI.
	•	iStochastic() for Stochastic Oscillator.
	•	Custom code for Aroon Oscillator and A/D Line.
	•	Incorporate modular functions for:
	•	Indicator calculations.
	•	Entry/exit condition checks.
	•	Trade execution and risk management.

6. Testing and Optimization
	1.	Backtesting:
	•	Use MT5’s Strategy Tester with historical data to validate the strategy.
	•	Test on multiple assets and timeframes.
	2.	Optimization:
	•	Adjust indicator parameters (e.g., Aroon periods, MACD settings) to improve performance.
	3.	Live Testing:
	•	Deploy the EA on a demo account to monitor live performance.
	•	Make adjustments based on real-time results.

Deliverables
	1.	Fully functional Expert Advisor (EA) in MQL5.
	2.	Parameterized settings for easy customization (e.g., indicator periods, risk %).
	3.	Detailed documentation explaining the code structure and logic.
	4.	Backtesting results with performance metrics (e.g., win rate, Sharpe ratio).