Range Breakout EA with hedge order

Trading Strategy Specification: Range Breakout

Platform: Metatrader 5 (MQL5), Forex brokers

Default Chart: EURUSD, 5m chart

Quick overview

The strategy looks for an established range in the morning session and then trades breakouts above or below that range, by opening either a long trade above the range or a short trade below the range. Take-profit and stop-loss targets are immediately set. Also, a hedge order is placed in case of stop loss. If one order has been hit, the other order is immediately terminated. Also, all orders and positions are terminated in the evening at a given time. The range and price levels of orders should be logged in the journal. Description of Algorithm

Input Parameters

Step 1: Establish range in the morning session

Record the highest and the lowest encountered price in the time interval between start time and end time in two variables and calculate the resulting range. Also apply a minimum and maximum range. Log the high, low, and range in the journal.

High = highest price encountered in interal between starttime and endtime

Low = lowest price encountered in interval between starttime and endtime

Range = High - Low

if Range is higher than maximum range, then set Range = maximum range

if Range is lower than minimum range, then set Range = minimum range

Step 2: Trade Entries

Calculate the entry prices by using the range, and a buffer. The buffer is added as extra price distance above the high of the range for the long order and below the low of the range of the short order. Set the orders immediately after the time interval of step 1 is over. First, calculate price levels:

bufferrangeentry = range * entrybuffer

bufferrangeexit = range * (1+exitbuffer)

rangedivider = range / riskrewardratio

Place two pending stop orders with the following parameters:

1) Short Order

Direction: short

Entry Price: Low - bufferrangeentry

stop loss: High + bufferrangeexit

take profit: Entry - rangedivider

2) Long Order:

Direction: long

Entry: High + bufferrangeentry

Set stop loss: Low - bufferrangeexit

Set take profit: Entry + rangedivider

  Log the order prices (stop, tp, sl) and bufferrangeentry, and bufferrangeexit. If one of the orders is hit, delete the other open order and immediately place a hedge order as described in the next step.

Step 3: Hedge Order

Should a stop loss be hit, on the first opened position, we try to re-coup our losses with a hedge. Therefore a hedge order is placed at the stop-loss of the first opened order. Calculate the range of the hedge:

hedgerange = Range / hedgerangedivider

Place Long Hedge Order if 1st opened position was a short:

Direction: Long

Entry: 1st order stop loss price, immediately after

Stop loss: 1st order entry price

Take Profit: entry + hedgerange

OR

Place Short Hedge Order if 1st opened position was a long:

Direction: Short

Entry: 1st order stop loss price

Set Stop loss: 1st order entry price

set Take Profit: entry - hedgerange

Log price levels (entry, tp, sl) and direction in the journal.

Step 4: Close at market price at a time at the end of the day

Close all orders and positions at the given time in the endofdaytime parameter. Log this in the journal.