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Triangular Arbitrage MT5

Triangular Arbitrage is a tick Expert Advisordesigned for simultaneous trading on three symbols: EURUSD, EURJPY and USDJPY.

The EA's strategy is based on arbitrage triangulation, which occurs when EURUSD != EURJPY/USDJPY, where != - nonequality sign.

The EA holds positions for a period from several seconds to one month! Average position holding time is about 2 hours!


Inputs

  • Percent of Equity Drawdown - equity drawdown percentage;
  • Number of Pips - number of pips for arbitrage;
  • Risk - risk level (directly connected with volume for opening positions);
  • ECN Commission - commission for ECN accounts (used only for the strategy tester and taken into account two times, i.e. for opening and closing);
  • ECN Transaction - volume in the deposit currency for ECN-Commission (used only for the strategy tester)
  • Type of lot - lot type:
    • fixed;
    • percent - percentage of free margin;
  • Correction of lot value - lot size correction (only if the lot is fixed);
  • Type of lot value:
    • Microlots;
    • Minilots;
  • Classification of lots :
    • equal;
    • unequal;
  • Maximum of lot value - maximum lot (used only for the strategy tester, if 0 - by default);
  • Profit Protection Class - class of profit protection (from 1 to 6, set according to the result of position closure as to when the EA has decided to close positions in profit);
  • Protection type of Class 4.0 - protection type of the class 4.0 of the Profit Protection Class parameter (coefficients);
  • Protection type of Class 5.0 - protection type of the class 5.0 of the Profit Protection Class parameter (coefficients);
  • Process Synchronization - process synchronization when opening and closing positions;
  • Cost Cover Ratio - cost cover ratio, % (allowed ranged is from 100.00 to 200.00);
  • EURUSD Short Swap - swap of short positions for EURUSD (used only for the strategy tester, in pips);
  • EURUSD Long Swap - swap of long positions for EURUSD (used only for the strategy tester, in pips);
  • EURJPY Short Swap - swap of short positions for EURJPY (used only for the strategy tester, in pips);
  • EURJPY Long Swap - swap of long positions for EURJPY (used only for the strategy tester, in pips);
  • USDJPY Short Swap - swap of short positions for USDJPY (used only for the strategy tester, in pips);
  • USDJPY Long Swap - swap of long positions for USDJPY (used only for the strategy tester, in pips);
  • Language of messages - language of log messages and alerts;
    • English;
    • Russian;
  • Prefix of Symbol - financial instrument prefix;
  • Suffix of Symbol - financial instrument suffix;
Prefixes and suffixes of financial instruments allow the EA to recognize financial instruments of any broker!


Limitations

If the EA does not open positions, it means that input parameters do not correspond to the broker's conditions. In this case you need to adjust parameters by means of testing the EA in the Strategy Tester!

The EA opens and closes positions according to the ORDER_FILLING_FOK policy.

This execution policy means that an order can be executed only in the specified volume. If the market does not have enough volume of the financial symbol at the given moment, the order will not be executed. The desired volume can be made up of several available offers.


Recommendations

Download historical data for all three symbols before usage. Before launching and re-launching the terminal, select "Hide all" and then "Show all" in the Market Watch window.

Trade only with VPS!

We recommend to attach the EA to the EURUSD chart, or to the USDJPY chart with the H1 period. It is strongly recommended to launch the EA at the beginning of a month!

Please test the EA in the Strategy Tester and optimize input parameters if necessary before using the EA on a real account!

We also recommend to use ECN accounts without commissions and/or swaps with unlimited maximum lot if possible!

Anderson Hupp
5944
2015.09.08 21:35 
 

Does not perform the backtest results in real accounts!

Version 5.5 - 2015.08.18
1. The EA's algorithms are optimized.
2. Synchronization related to the opening & closure processes is available by Process Synchronization input parameter. The option of false relates to the all previous version of the EA.
3. Cost Management is available by Cost Cover Ratio input parameter. The value of 100.00 relates to the all previous version of the EA.
Version 4.5 - 2015.08.07
Improved the error processing block operation.
Version 4.4 - 2015.08.05
The possibilities of management for classes 4.0 and 5.0 of the Profit Protection Class parameter are expanded, that allows to conduct smoother adjustment of this parameter in accordance with a broker's execution of orders when closing positions being in floating profit.
Version 4.3 - 2015.07.31
1.The reliability of algorithm responsible for orders processing in real market conditions is increased.
2. It is available now to manage protection of profit or its part in the conditions of strong volatility and slippage in the real market when the EA closes positions.
Version 3.3 - 2015.07.22
1. The algorithm that is responsible for reducing the delay related to opening/closing of positions in terms of trading on real accounts is optimized.
2. The control of EA's operation is provided by record of trading parameters to the message log as follows: "Profit when EA decided to close positions, Commission, Swap".
3. The algorithm, that led in certain cases to early closure of positions when the terminal/expert was restarted, is improved.
Version 3.2 - 2015.07.20
1. Swaps for the strategy tester are taken into account. Swap in the night from Wednesday to Thursday is triple.
2. Limit on maximum lot for the strategy tester is taken into account when test is based on quotes of one broker with maximum lot from another broker.
3. Trading equal/unequal lots for three positions is available. The choice of unequal lots keeps the principle of lot calculation used in the previous EA version (2.2).
4. Based on test results in the strategy tester,a factor of profitability of the strategy is significantly improved.
Version 2.2 - 2015.07.09
Microlots are available for trading now. Commissions of ECN-accounts for strategy tester are taken into account.