Developing a Mean Reversion Algorithmic Trading Strategy

In this discussion, we will explore the development of a mean reversion algorithmic trading strategy. Mean reversion strategies aim to take advantage of price deviations from their average levels, anticipating that prices will eventually revert back to their mean. We'll dive into the logic and implementation of a mean reversion-based Expert Advisor in MQL, empowering you to automate your trading decisions and potentially profit from market fluctuations.

Below is a simplified example of an Expert Advisor that utilizes a mean reversion strategy. Please note that this code is for illustrative purposes only and may require further refinement and customization to suit your specific trading needs.

// Mean Reversion Expert Advisor



// Define input parameters

input int period = 20; // Number of bars for calculating the mean

input double deviation = 0.2; // Deviation threshold for triggering trades



// Initialize variables

double mean = 0.0;

double upperThreshold = 0.0;

double lowerThreshold = 0.0;



// Expert Advisor initialization function

int OnInit()

{

    // Calculate the initial mean value

    double sum = 0.0;

    for (int i = 0; i < period; i++)

    {

        sum += Close[i];

    }

    mean = sum / period;



    // Calculate the upper and lower thresholds

    upperThreshold = mean + deviation;

    lowerThreshold = mean - deviation;



    return INIT_SUCCEEDED;

}



// Expert Advisor tick function

void OnTick()

{

    // Check if the current price crosses the thresholds

    if (Close[0] > upperThreshold)

    {

        // Open a short position

        OrderSend(Symbol(), OP_SELL, 0.01, Ask, 3, 0, 0, "Mean Reversion EA");

    }

    else if (Close[0] < lowerThreshold)

    {

        // Open a long position

        OrderSend(Symbol(), OP_BUY, 0.01, Bid, 3, 0, 0, "Mean Reversion EA");

    }

}



// Expert Advisor deinitialization function

void OnDeinit(const int reason)

{

    // Close any open positions

    for (int i = OrdersTotal() - 1; i >= 0; i--)

    {

        OrderSelect(i, SELECT_BY_POS, MODE_TRADES);

        if (OrderSymbol() == Symbol() && OrderMagicNumber() == 0)

        {

            OrderClose(OrderTicket(), OrderLots(), Bid, 3);

        }

    }

}