Tag: MetaTrader5

Strategies — Detailed Algorithm Descriptions

3. Strategies — Detailed Algorithm Descriptions

3.1 Smart DI (Directional Index)

Concept: Measures the dominance of one market direction using the ADX indicator, analysing the difference between the DI+ and DI- lines.

Algorithm — step by step:

  1. Fetches DI+ and DI- values from ADX (buffer 1 — the previous closed bar, to avoid repainting)
  2. Calculates diff = |DI+ - DI-|
  3. Fetches data for the last closed candle on Inp_Strat_TF
  4. Calculates candle body size: body = |close - open| / _Point
  5. If Impulse/Muzzle Mode is active: the minimum candle body requirement rises from Inp_Strat_Min_Candle_Body to Inp_Muzzle_Min_Candle_Body (default 150 pts instead of 2 pts) — the strategy’s characteristics change during an impulse
  6. BUY signal: DI+ > DI- AND diff > Min_DI_Diff AND DI- < Max_Opposite_DI
  7. SELL signal: DI- > DI+ AND diff > Min_DI_Diff AND DI+ < Max_Opposite_DI

Log: "Smart DI BUY" / "Smart DI SELL"

Key property: The Inp_Strat_Max_Opposite_DI parameter limits opposition strength — even when DI+ dominates, an overly strong DI- blocks the signal. It acts as a built-in trend quality filter.

3.2 MTF Point System (Multi-TimeFrame)

Concept: Scores trend alignment across 4 independent timeframes using EMA5/EMA7 crossovers. Each timeframe earns one point; a minimum score threshold is required.

Algorithm — step by step:

  1. On each of the 4 timeframes (TF1, TF2, TF3, TF4), fetches EMA5 and EMA7
  2. BUY point: EMA5 > EMA7 on that TF → score++
  3. SELL point: EMA5 < EMA7 on that TF → score++
  4. If score >= Inp_MTF_Min_Score (default 3 out of 4) → signal is active

Check condition: On every new bar of Inp_MTF_TF1 (the fastest TF)

Log: "MTF BUY" / "MTF SELL"

Philosophy: The system does not require perfect alignment — even 3 out of 4 timeframes is sufficient. This provides flexibility in fluid markets where all timeframes rarely agree simultaneously.

3.3 Three Consecutive Candles

Concept: Detects a mini-trend: 3 consecutive closed candles in the same direction with a minimum body size.

Algorithm — step by step:

  1. Fetches the last 3 closed candles on Inp_Filter_3Candles_TF
  2. For each candle: body = |close - open| / _Point
  3. If any candle’s body < Inp_Filter_3Candles_MinBody → signal is invalid
  4. BUY: all 3 candles are bullish (close > open)
  5. SELL: all 3 candles are bearish (close < open)

Log: "3 Candles BUY" / "3 Candles SELL"

Strength: Simple, visually intuitive, and highly effective as a validator — it confirms momentum before Smart DI or MTF fire their signals.

Multi-Core Strategy Engine — „First Come, First Served”

2. Multi-Core Strategy Engine — „First Come, First Served”

This is the system’s most important architectural innovation. Despite the name suggesting a single strategy, AHS is a strategy engine with interchangeable cores, where each strategy can simultaneously fulfil two roles:

RoleParameterDescription
Trigger_As_Strategy = trueThe strategy GENERATES the trade signal
Validator_As_Filter = trueThe strategy CONFIRMS signals from other strategies

The „First Come, First Served” Rule

Strategies are evaluated sequentially in a fixed order:

EvaluateStrategies()
  1. Smart DI (if As_Strategy=true)       → signal? → filters → order → RETURN
  2. MTF Point System (if As_Strategy=true) → signal? → filters → order → RETURN
  3. 3 Consecutive Candles (if As_Strategy=true) → signal? → filters → order → RETURN

Critical implication: When strategy #1 (Smart DI) generates a valid signal and passes all filters, the system immediately opens an order and exits the function (return). Strategies 2 and 3 are never evaluated on that tick. There is no voting, averaging or consensus — the first valid signal wins.

Each strategy is checked only once per new bar (on its own timeframe), which eliminates multiple signals within the same candle.

Configuration Possibilities

  • SmartDI as trigger, MTF + 3Candles as filters — SmartDI fires the signal, but it must be confirmed by both other systems
  • All three as triggers — three independent strategies compete to open a trade
  • MTF as trigger, SmartDI as filter — MTF generates, SmartDI confirms
  • Any combination — each strategy can be independently enabled/disabled in either role

A Validator Does Not Validate Itself

Smart logic: strategy X acting as a filter does NOT validate its own signals. Example: if SmartDI is the trigger, the SmartDI filter is skipped (it does not check itself) — only MTF and 3Candles filters are checked.

// Validator skips its own source
if (Inp_SmartDI_As_Filter && trigger_source != "SmartDI") {
    if (!CheckSmartDI_Condition(is_buy)) return false;
}

Architecture & Module Connections

1. Architecture & Module Connections

The system is composed of five header files included into the compiled main file _AHS_Main.ex5:

_AHS_Main.ex5
  ├── AHS_Inputs.mqh      → All input parameters, enumerations, global state variables
  ├── AHS_Filters.mqh     → Market filters (The Shield): Macro Matrix, Impulse, Channel, ADX/MA, SmartDI, MTF, 3Candles
  ├── AHS_Strategy.mqh    → Multi-Core Engine: position sizing, order execution
  ├── AHS_Management.mqh  → Position management: TSL BB, Hard BE, Neg BE, Dynamic TP, EOD Terminator
  └── AHS_Panel.mqh       → Graphical information panel: status, MTF dashboard, positions list

OnTick() Flow — Step by Step

Every incoming tick passes through a strictly defined sequence in the main loop:

OnTick()
  1.  License check (CLicenseManager.IsExpired)
  2.  Session schedule check (IsScheduleAllowed)
  3.  EOD Terminator (CheckForEODClose) → emergency close all positions
  4.  Daily P/L update and daily reset
  5.  Account Protection checks:
        → DailyLossReached?    → block new orders
        → DrawdownFreeze?      → block new orders
        → DailyTargetReached?  → block new orders
  6.  Equity Trailing Lock (master equity trailing SL)
  7.  Institutional Impulse Detection (CheckInstitutionalImpulse)
  8.  Dynamic Channel Update (UpdateDynamicChannel) every X hours
  9.  News Filter → freeze before/after news events
 10.  ManageAllPositions() → manage all open positions
 11.  Cooldown check + position count limit check
 12.  EvaluateStrategies() → Multi-Core Engine searches for a signal
 13.  Information panel update

All stages are independent — position management (step 10) runs regardless of whether new signals are being sought (step 12). Even when new orders are blocked, open positions are always managed.

Architektura i powiązania modułów

1. Architektura i powiązania modułów

System składa się z pięciu plików nagłówkowych dołączanych do skompilowanego pliku głównego _AHS_Main.ex5:

_AHS_Main.ex5
  ├── AHS_Inputs.mqh      → Wszystkie parametry wejściowe, enumeracje, zmienne globalne stanu
  ├── AHS_Filters.mqh     → Filtry rynkowe (The Shield): Macro Matrix, Impulse, Channel, ADX/MA, Smart DI, MTF, 3Candles
  ├── AHS_Strategy.mqh    → Multi-Core Engine: kalkulacja wielkości pozycji, wykonanie zlecenia
  ├── AHS_Management.mqh  → Zarządzanie pozycjami: TSL BB, Hard BE, Neg BE, Dynamic TP, EOD Terminator
  └── AHS_Panel.mqh       → Graficzny panel informacyjny: status, MTF dashboard, lista pozycji

Przepływ OnTick() — krok po kroku

Każdy napływający tick przez główną pętlę EA przechodzi przez ściśle określoną sekwencję:

OnTick()
  1. Sprawdzenie licencji (CLicenseManager.IsExpired)
  2. Sprawdzenie harmonogramu sesji (IsScheduleAllowed)
  3. EOD Terminator (CheckForEODClose) → awaryjne zamknięcie wszystkich pozycji
  4. Aktualizacja dziennego P/L i reset dzienny
  5. Sprawdzenie Account Protection:
       → DailyLossReached? → blokada nowych zleceń
       → DrawdownFreeze?   → blokada nowych zleceń
       → DailyTargetReached? → blokada nowych zleceń
  6. Equity Trailing Lock (master equity trailing SL)
  7. Institutional Impulse Detection (CheckInstitutionalImpulse)
  8. Dynamic Channel Update (UpdateDynamicChannel) co X godzin
  9. News Filter → blokada przed/po newsach
 10. ManageAllPositions() → zarządzanie wszystkimi otwartymi pozycjami
 11. Sprawdzenie warunku cooldown + limitu pozycji
 12. EvaluateStrategies() → Multi-Core Engine szuka sygnału
 13. Aktualizacja panelu informacyjnego

Wszystkie etapy są niezależne — zarządzanie pozycjami (krok 10) działa niezależnie od wyszukiwania sygnałów (krok 12). Oznacza to, że nawet jeśli nowe zlecenia są zablokowane, otwarte pozycje są zawsze zarządzane.

Pełna Dokumentacja Techniczna

AHS — Adaptive Hybrid System v78.00

Multi-Core Strategy Engine dla MetaTrader 5 (MQL5)

Projekt realizowany od 10 lipca, ponad 12 godzin dziennie, często przez cały tydzień — do 21 kwietnia.

SPIS TREŚCI

  1. Architektura i powiązania modułów
  2. Multi-Core Strategy Engine — koncepcja “kto pierwszy ten lepszy”
  3. Strategie — szczegółowy opis algorytmów
  4. Macro Risk Matrix — dynamiczny scoring instytucjonalny
  5. Institutional Impulse + Muzzle Mode — zmiana charakterystyki podczas impulsu
  6. Dynamic Channel (Box Trading) — tunel ceny
  7. Zarządzanie pozycjami — warstwy ochrony
  8. Ochrona konta — poziom systemowy
  9. Obsługa manualna (Click & Forget)
  10. Harmonogram i EOD Terminator
  11. News Filter
  12. Filtr Tygodniowy i Fibonacci
  13. Zarządzanie kapitałem i wielkością pozycji
  14. Pyramiding (skalowanie)
  15. Panel informacyjny
  16. Licencja i aktualizacje
  17. Pełna lista parametrów wejściowych (Inputs)




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Adaptive Hybrid System - Multi-Core Strategy Engine -US100
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