Average True Range Envelope Expert Advisor
.mq5 file for $99
This Expert Advisor in .mq5 format has fully commented code to let you test, customize, and automate average true range envelope trading in MetaTrader 5. This system uses a moving average and a multiple of the average true range (ATR) above and below the moving average to create an envelope. Positions are entered when the price touches or breaks out of the envelope while positions are closed when the price returns to the moving average line. See and try out our free ATR Envelopes indicator at the MQL Market.
A quick visual example to show approximate entry and exit areas (arrows manually added):
Note: The default input values are not optimized. Demo the EA for free or buy a compiled version (.ex5 file - cannot see or modify the EA code) at the MQL Market. Adjust the inputs to find the optimized combination for your risk tolerance and to maximize profitability. Trend Following systems are designed around long term probabilities. Although Trend Following systems have lower win rates, profitability comes from large trends as Trend Following cuts losses short and lets winners run. Test on a portfolio of symbols as profits from trending symbols will offset the small losses and provide profits when other symbols are not trending.
- MA_Periods - The ATR envelopes are created around a moving average line. Set your base moving average line with this variable. Example: If you are using a 30 minute chart and want a 20 bar MA line, enter 20 to this input.
- ATR_Env_Periods - Number of bars to use in your ATR calculation. Example: If you want a 25 bar ATR, enter 25 to this input.
- ATR_Multiples_Env - To create the envelopes you use a multiple of the ATR above and below the moving average line. Example: If you want ATR * 2 above and below the MA line, enter 2 to this input.
- Risk Percent - The percent risked per position if stop is hit. Example: If you want 2% of your equity to be risked per position, enter 2 to this input.
- ATR Periods - Periods to use to calculate Average True Range. Example: If you want a 14 day ATR, enter 14. 10 day ATR, enter 10.
- Stop Range ATR - Multiples of ATR to use for calculating the stop. Example: If you want your stop to be set at 2* ATR from the price, enter 2 to this input.
- Max Units - Max number of positions to have at one time. Example: If you only want to pyramid to 5 positions, enter 5 to this input. If you do not want to pyramid positions, enter 1 to this input.
- ATR between Pyramids - Multiples of ATR to use for calculating when to add the next position through pyramiding. Example: Set this to 1.5 and the next pyramid position would be added when the price reaches your entry plus ( 1.5 * ATR ) for long positions or entry minus ( 1.5 * ATR ) for short positions.
- Slippage - Amount of allowable slippage when entering position.
- Reduction Percent - Enter an amount by which to reduce your equity for the position sizing calculation. Example: If you are in a drawdown period you can enter 20 to this input and the position size will be 20% less than without the reduction. The calculation would treat your equity as 80% of what it really is to lower your risk.
Trade on any pair and any timeframe. Place the expert advisor on a chart and it will use the currency pair and timeframe of the chart. Choppy and sideways markets will cause more whipsaws while markets that trend will produce more profitable trades.
Using the ATR envelope, entries occur when the price touches or breaks to the outside of the upper or lower envelope. The position is added as soon as the price equals or breaks the envelope and does not wait until the following bar. Long positions are entered when the price equals or goes above the top ATR envelope. Short positions are entered when the price equals or goes below the bottom ATR envelope. If you set the Max Unit variable above 1, additional entries will occur and pyramid in ATR increments specified by the ATR between Pyramids variable.
This expert advisor uses Percent Volatility position sizing. Verify the tick value, minimum and maximum lot sizes, size of lot increments, etc to confirm each position will not exceed your set risk percentage. Using the stop level, if the position is stopped out, the position size is calculated to only lose the amount risked through the Risk Percent variable. The calculation looks at how many dollars are at risk, how many pips are in the distance from the entry to the stop and the value of that distance.
The stop is set using multiples of the ATR. Basing the stop on the ATR allows the stop to be placed out of the normal price range and account for volatility. If you choose 2 times the 14 day ATR, the stop on long positions would happen if the price touches or goes below the entry price minus ( 2 * ATR ). The stop on short positions would occur if the price touches or goes above the entry price plus ( 2 * ATR ). The stop is set when the position is entered. The stop accounts for gaps in price and is not set as a pending order. A position is only stopped out if the price reaches or exceeds the stop level. If you use the pyramiding option, the stop will change to be in line with the latest entry price when a new position is added.
Positions are exited when the price goes to the opposite side of the moving average. For long positions, the exit occurs when the price goes below the moving average. For short positions, the exit occurs when the price goes above the moving average.
Once you complete checkout through Paypal, you will receive an automated email with the download link. The email will go to the email address that is on file with Paypal - make sure Paypal has your current and correct email address. The download link will be active for 24 hours so please download as soon as you get the link. The expert advisor comes as the MQL5 code so you will have to save it in the correct folder, read through the notes in the code, and compile it. After compiling it, start testing and finding your profitable variables. Use the installation tips page to get the file saved and compiled so you can start testing today.