FXAlgoFolio for MetaTrader 4

Download at GitHub project page.

Based on the C-like language structure of MQL4, the framework is implemented for MetaTrader 4 as a library of boilerplate code included in the expert advisor code.

There are three “modes” implemented in this library:

• Normal mode: uses implemented system in normal trading execution.
• Test mode: uses system entries and exits in various selected tests.
• Walk-forward mode: uses the system within a restricted time range.

WARNING: Repeated testing with different test parameters contitutes optimisation. Studying the primary reading material by Kevin Davey is recommended prior to starting.

Developed with this framework, a system is simply an implementation of three functions:

bool SystemEntry();

Executes system entry strategy. This function only runs if there is no open order (pending orders are not open).

bool SystemExit();

Executes system exit strategy. This function only runs if an order is open (including within the same bar as when the order is opened).

void SystemSetExterns();

Updates system parameters. This can be used for walk-forward post-optimisation parameter modification based on date in order to produce a single backtesting equity curve.

Implementation

Deposit the FXAlgoFolio directory in the MQL4/Includes directory under the MetaTrader 4 data folder.

In a single Expert Advisor implementation, the general structure is as follows:

#include <FXAlgoFolio/TestMode.mqh>

void SystemSetExterns()
{
   // Set walk-forward parameters for date range.
}

bool SystemEntry()
{
   // Run entry strategy.
   //...
   return true;
}

bool SystemExit()
{
   // Run exit strategy.
   //...
   return true;
}

A sample system is available in the project under the examples directory.