MQL5 Trading Platform
MQL5 MetaTrader 5 Expert Advisor Indicator Backtesting Algorithmic Trading Forex CFD Risk Management Strategy Tester Optimization
| Feature | MQL5 (MT5) | MQL4 (MT4) | Pine Script (TV) |
|---|---|---|---|
| Language | C++ like OOP | C like Procedural | Custom Scripting |
| Markets | Forex CFD Futures Stocks Crypto | Forex CFD | All (View only) |
| Backtesting | Multi-currency Real Ticks | Single Currency | Basic |
| Optimization | Genetic + Cloud Network | Basic | ไม่มี |
| Order Types | Market Limit Stop Stop-Limit | Market Limit Stop | Market Limit |
| Community | MQL5.com Market Signals | MQL5.com | TradingView Community |
Expert Advisor Development
# === MQL5 Expert Advisor Structure ===
# //+------------------------------------------------------------------+
# //| Expert Advisor - Moving Average Crossover |
# //+------------------------------------------------------------------+
# input int FastMA_Period = 20;
# input int SlowMA_Period = 50;
# input double LotSize = 0.1;
# input int StopLoss_Pips = 50;
# input int TakeProfit_Pips = 100;
# input int MagicNumber = 12345;
#
# #include
# CTrade trade;
#
# int fastMA_Handle, slowMA_Handle;
# double fastMA[], slowMA[];
#
# int OnInit() {
# trade.SetExpertMagicNumber(MagicNumber);
# fastMA_Handle = iMA(_Symbol, PERIOD_CURRENT, FastMA_Period, 0, MODE_EMA, PRICE_CLOSE);
# slowMA_Handle = iMA(_Symbol, PERIOD_CURRENT, SlowMA_Period, 0, MODE_EMA, PRICE_CLOSE);
# if(fastMA_Handle == INVALID_HANDLE || slowMA_Handle == INVALID_HANDLE) return(INIT_FAILED);
# ArraySetAsSeries(fastMA, true);
# ArraySetAsSeries(slowMA, true);
# return(INIT_SUCCEEDED);
# }
#
# void OnTick() {
# CopyBuffer(fastMA_Handle, 0, 0, 3, fastMA);
# CopyBuffer(slowMA_Handle, 0, 0, 3, slowMA);
#
# // Golden Cross: Fast MA crosses above Slow MA
# if(fastMA[1] > slowMA[1] && fastMA[2] <= slowMA[2]) {
# if(PositionsTotal() == 0) {
# double sl = SymbolInfoDouble(_Symbol, SYMBOL_BID) - StopLoss_Pips * _Point * 10;
# double tp = SymbolInfoDouble(_Symbol, SYMBOL_BID) + TakeProfit_Pips * _Point * 10;
# trade.Buy(LotSize, _Symbol, 0, sl, tp, "MA Cross Buy");
# }
# }
# // Death Cross: Fast MA crosses below Slow MA
# if(fastMA[1] < slowMA[1] && fastMA[2] >= slowMA[2]) {
# if(PositionsTotal() == 0) {
# double sl = SymbolInfoDouble(_Symbol, SYMBOL_ASK) + StopLoss_Pips * _Point * 10;
# double tp = SymbolInfoDouble(_Symbol, SYMBOL_ASK) - TakeProfit_Pips * _Point * 10;
# trade.Sell(LotSize, _Symbol, 0, sl, tp, "MA Cross Sell");
# }
# }
# }
from dataclasses import dataclass
@dataclass
class EAComponent:
component: str
function: str
purpose: str
example: str
components = [
EAComponent("OnInit()",
"Initialization",
"ตั้งค่า Indicator Handle Parameters",
"iMA() iRSI() ArraySetAsSeries()"),
EAComponent("OnTick()",
"Every Price Tick",
"ตรวจ Entry/Exit Signal Open/Close Order",
"CopyBuffer() trade.Buy() trade.Sell()"),
EAComponent("OnDeinit()",
"Cleanup",
"ปิด Handle ทำความสะอาด",
"IndicatorRelease() Comment('')"),
EAComponent("CTrade",
"Order Management",
"Open Close Modify Position",
"trade.Buy() trade.Sell() trade.PositionClose()"),
EAComponent("Risk Management",
"Position Sizing",
"คำนวณ Lot จาก Risk %",
"AccountInfoDouble(ACCOUNT_BALANCE) * RiskPercent"),
]
print("=== EA Components ===")
for c in components:
print(f" [{c.component}] {c.function}")
print(f" Purpose: {c.purpose}")
print(f" Example: {c.example}") Backtesting & Optimization
# === Backtesting Best Practices ===
@dataclass
class BacktestSetting:
setting: str
recommended: str
reason: str
pitfall: str
settings = [
BacktestSetting("Tick Mode",
"Every Tick Based on Real Ticks",
"แม่นยำที่สุด ใช้ Tick Data จริงจาก Broker",
"Open Prices Only เร็วแต่ไม่แม่นสำหรับ Scalping"),
BacktestSetting("Date Range",
"อย่างน้อย 3-5 ปี ครอบคลุม Market Conditions",
"ต้องเจอ Trending Ranging Volatile Calm",
"ทดสอบแค่ 1 ปี อาจ Curve Fit กับ Market Phase"),
BacktestSetting("Spread",
"ใช้ Current Spread หรือ Custom (เพิ่ม 20-50%)",
"Spread จริงผันผวน ไม่คงที่",
"Fixed Spread ต่ำเกินจริง ผลลัพธ์ดีเกิน"),
BacktestSetting("Commission",
"ตั้งตาม Broker จริง (เช่น $7/lot round trip)",
"Commission กิน Profit มากสำหรับ Scalping",
"ไม่ตั้ง Commission ทำให้ผลดีเกินจริง"),
BacktestSetting("Initial Deposit",
"เท่ากับที่จะเทรดจริง",
"Lot Size Margin ต้องสมจริง",
"Deposit สูงเกิน ทำให้ไม่เจอ Margin Call"),
BacktestSetting("Optimization",
"Genetic Algorithm + Walk-forward",
"หา Parameter ดี + ทดสอบ Out-of-sample",
"Full Optimization = Over-fitting สูง"),
]
print("=== Backtest Settings ===")
for s in settings:
print(f" [{s.setting}] → {s.recommended}")
print(f" Reason: {s.reason}")
print(f" Pitfall: {s.pitfall}")Risk Management
# === Risk Management Rules ===
@dataclass
class RiskRule:
rule: str
parameter: str
implementation: str
mql5_code: str
rules = [
RiskRule("Risk per Trade",
"1-2% of Balance",
"คำนวณ Lot Size จาก SL Distance + Risk %",
"LotSize = (Balance * 0.01) / (SL_Pips * PipValue)"),
RiskRule("Max Daily Loss",
"5% of Balance",
"หยุดเทรดเมื่อ Daily Loss > 5%",
"if(DailyLoss > Balance*0.05) StopTrading=true"),
RiskRule("Max Drawdown",
"20% of Peak Equity",
"หยุด EA เมื่อ Drawdown > 20%",
"if(Drawdown > 0.20) ExpertRemove()"),
RiskRule("Max Open Positions",
"3-5 positions",
"จำกัดจำนวน Position พร้อมกัน",
"if(PositionsTotal() >= MaxPositions) return"),
RiskRule("Trailing Stop",
"ย้าย SL ตามราคาเมื่อกำไร",
"เมื่อกำไร > X pips ย้าย SL ตาม",
"trade.PositionModify(ticket, newSL, tp)"),
RiskRule("News Filter",
"หยุดเทรดช่วง High Impact News",
"ตรวจ Economic Calendar ก่อนเทรด",
"MqlCalendarEvent ตรวจ News 30 นาทีก่อน-หลัง"),
]
print("=== Risk Rules ===")
for r in rules:
print(f" [{r.rule}] {r.parameter}")
print(f" Impl: {r.implementation}")
print(f" Code: {r.mql5_code}")เคล็ดลับ
- Backtest: ทดสอบ 5 ปี+ ด้วย Real Ticks ก่อน Live
- Risk: ไม่เกิน 1-2% ต่อ Trade Max Drawdown 20%
- Walk-forward: ใช้ Walk-forward ป้องกัน Over-fitting
- Demo: ทดสอบ Demo 3 เดือนก่อน Live
- VPS: ใช้ VPS สำหรับ EA ป้องกัน Internet ขาด
MQL5 คืออะไร
MetaQuotes Language 5 Expert Advisor Indicator MetaTrader 5 C++ Syntax OOP Forex CFD Futures Stocks MQL5 Market Community MetaEditor
Expert Advisor เขียนอย่างไร
OnInit OnTick OnDeinit CTrade iMA iRSI CopyBuffer Buy Sell PositionClose MagicNumber input StopLoss TakeProfit
Backtesting ทำอย่างไร
Strategy Tester Every Tick Real Ticks 5 ปี Spread Commission Profit Factor Drawdown Genetic Algorithm Walk-forward Over-fitting
Risk Management ทำอย่างไร
1-2% Risk Position Sizing SL TP R:R 1:2 Max Drawdown 20% Trailing Stop News Filter Max Positions Daily Limit Demo VPS
สรุป
MQL5 MetaTrader 5 Expert Advisor Backtesting Optimization Risk Management Position Sizing Walk-forward Forex CFD Production Trading
