Index Portfolio EA

Index Portfolio EA

Three intraday strategies on four stock indices – US30, US100, US500 and GER40 – traded from one chart.
The cash open and the last hour of the cash session are the moments when index futures and CFDs move with the most conviction. Index Portfolio EA trades exactly those moments with three simple, explainable strategies, a hard stop on every trade and no position kept overnight. No grid, no martingale, no averaging.

The three strategies

• Opening Drive – builds the opening range of the cash session (default 30 minutes) and places an OCO buy stop above and sell stop below it until 2 hours after the open, only in the direction of the daily trend (prior close vs 50-day SMA). Stop: the opposite side of the range, capped at 0.25 × daily ATR; moved to break-even at 0.7R. Exit: before the cash close (optional R target).
• Day Breakout – from 60 to 120 minutes after the open, an OCO pair at the prior cash session's high and low. A level that is already behind the price is not traded. Stop: 0.2 × daily ATR. Exit: before the cash close.
• Power Hour – one hour before the close, when the index has moved at least 0.4 × daily ATR since the open in the direction of the daily trend, the EA joins that move until the close. Stop: 0.3 × daily ATR.

All three use the same rules on every index; sizes are measured in multiples of the daily ATR(14), so the strategies adapt to the volatility of each index and each year.

Default portfolio

• US30 (Dow Jones) – Day Breakout
• US100 (Nasdaq 100) – Opening Drive, Day Breakout, Power Hour
• US500 (S&P 500) – Opening Drive, Power Hour
• GER40 (DAX) – Opening Drive

Every index × strategy combination can be switched on or off. Three combinations ship switched off because they did not show an edge on IC Markets data: Opening Drive on US30 and Day Breakout on US500 (out of sample) and Day Breakout on GER40 (in sample) – we prefer to tell you that rather than hide it.

Exchange time, any broker

• Cash hours are entered in exchange time (New York 09:30–16:00, Frankfurt 09:00–17:30). The EA converts them to your broker's server time (auto-detected, GMT+2/+3, fixed or EU-DST modes) and handles the US / European daylight-saving gap weeks automatically.
• Broker symbol names are found automatically: US30 / DJ30 / WS30 / WallSt30 / US30.cash, NAS100 / USTEC / US100, SPX500 / US500, GER40 / DE40 / DAX40, with suffixes such as .a, m, .cash, #.
• Position size from tick value and tick size – works with 0, 1 or 2-digit quotes and with mini or standard index contracts.
• Holidays are detected (no prices after the open = no trading that day).

Risk profiles

• Conservative (default): 0.25% risk per trade, open-risk cap 1.5%, daily loss limit 3%.
• Balanced: 0.50% risk per trade, open-risk cap 3%, daily loss limit 5%.
• Aggressive: 0.75% risk per trade, open-risk cap 4.5%, daily loss limit 7%.
• Custom: your own risk %, open-risk cap and daily loss limit. Every profile keeps a hard stop on every trade; higher profiles only use a larger position size.

Risk management

• Risk per trade as % of balance, % of equity, fixed money or fixed lots; a risk multiplier per strategy; min-lot protection.
• Portfolio open-risk cap, maximum number of positions, maximum same-direction positions per index group (US indices move together).
• Prop-firm guards: daily loss limit, maximum drawdown (static or trailing; stops the EA), daily profit lock, close-all on a hard limit.
• Every position is closed a few minutes before the cash close: no overnight swap, no weekend gap.
• Spread guard (spread as % of the stop), late-entry limit, high-impact news filter (MT5 economic calendar, live trading).
• Free-margin check before every order, broker volume limits, stop / freeze levels and filling modes respected; hedging and netting accounts.

Dashboard

• One row per index: cash hours in server time, daily ATR, a state chip for each strategy (WAIT, RANGE, ARMED, LONG / SHORT, DONE, SKIP, BLOCK) with the reason in the tooltip, P/L today.
• Portfolio totals: positions, open risk vs cap, today's P/L %, drawdown.
• Pause / resume new entries, close-all with two-click confirmation, click an index to open its chart.
• Today's opening range and the prior session's high / low drawn on the chart.
• Dark and light themes, DPI scaling, movable and minimisable; docks at the right edge without covering price.

Backtest

Every tick based on real ticks, IC Markets data, January 2018 to November 2026, default settings. The MT5 tester cannot run four index symbols over nine years in one test, so each year was tested separately from 50 000 USD (a larger deposit keeps the 0.1-lot minimum from distorting the position sizes); results below are the sum of the yearly results in % of the deposit, without compounding.

• Conservative 0.25%: +138%, maximum drawdown 9.8%, recovery factor 14.
• Balanced 0.50%: about +277%, maximum drawdown about 20%.
• Aggressive 0.75%: about +415%, maximum drawdown about 29%.

5 747 trades, profit factor 1.25, win rate 55%, all nine years profitable (weakest: 2020 +0.6%, 2026 to date +4% with the Conservative profile). In sample 2018–2022 (settings chosen here): profit factor 1.30. Out of sample 2023–2026: profit factor 1.20. Balanced and Aggressive are the same trades at two and three times the risk; real-tick runs of 2022 and 2026 with those profiles confirm the scaling.

Robustness (our own Monte Carlo and walk-forward analysis of the trade list): walk-forward efficiency 73%, 95% Monte Carlo drawdown 10.4% for the Conservative profile, still profitable with 10% extra cost per trade (profit factor 1.02). Like most breakout systems, a large part of the profit comes from the best trend days.

Method: the trend filter and break-even were chosen on 2018–2022 only; partial take-profit, trailing stops and volatility filters were tested and rejected because they did not improve both periods. Combinations without an edge were switched off. All inputs are visible; nothing is hidden. Backtest results are not a guarantee of future results.

Set-up

1. Attach the EA to one chart (any symbol, any timeframe; M5 recommended). Do not attach it to several charts.
2. The default inputs are the recommended portfolio with the Conservative profile. Pick Balanced or Aggressive with one input (Risk profile). For a prop-firm challenge: Custom profile, risk 0.20%, max open risk 1%, daily loss limit 2.5%, max drawdown 8%. For a single index: switch the other indices off.
3. Allow Algo Trading. The resolved broker symbols are printed in the Experts log.
4. Recommended: a broker with index CFDs and low spreads, from 1 000 USD (with a minimum lot of 0.1 and 1 USD per point the risk per trade is often rounded up; use fixed money risk on small accounts).

Inputs (main)

• General: magic number (strategy k uses magic + k), comment, broker server time mode, trend SMA period.
• Risk: risk profile, mode, risk % (Custom), money, lots, max lots, min-lot rule.
• Opening Drive: risk multiplier, direction, range minutes, entry deadline, stop (x range), stop cap (x ATR), min / max range, target R, trend filter, break-even R.
• Day Breakout: risk multiplier, direction, window start / end, buffer, stop (x ATR), target R, trend filter, break-even R.
• Power Hour: risk multiplier, direction, entry minutes before the close, minimum move (x ATR), stop (x ATR), target R, trend filter, break-even R.
• Indices 1–4: symbol, enabled, time zone, cash open / close, which strategies trade it, opening-range minutes.
• Exits: close N minutes before the cash close, trailing stop. Portfolio risk, account guards, filters, dashboard.

The news filter uses the MT5 economic calendar, which is not available in the Strategy Tester. Trading involves risk; past and backtest results do not guarantee future results. Test on a demo account first.