Amaryllis Institutional Momentum Trading

 AMARYLLIS — INSTITUTIONAL MOMENTUM TRADING v2.04

Expert Advisor for MetaTrader 5 | by Rafael Vasili

WHAT IS AMARYLLIS?

Amaryllis is an institutional-grade momentum Expert Advisor engineered around a single principle: trend strength dictates everything.

The core engine is built entirely on the Average Directional Index (ADX) with directional movement components (DI+/DI−). It identifies and captures institutional momentum regimes while systematically filtering out mean-reverting, choppy markets. Entry occurs exclusively when ADX crosses above a calibrated threshold — isolating the precise moment a trending regime initiates — with directional bias determined by the dominant DI component.

One indicator. Seven years. Every market regime survived.

While most Expert Advisors layer dozens of indicators in pursuit of complexity, Amaryllis proves that a single, disciplined momentum engine — validated across two independent brokers and every market regime since 2019 — delivers superior risk-adjusted performance.

No martingale. No grid. No neural network. No curve-fitting. Fully transparent, rules-based, institutional-grade momentum capture.

WHY ONE INDICATOR OUTPERFORMS TWENTY

The greatest risk in algorithmic trading is overfitting — constructing a system that memorizes historical noise but fails on live data. Every additional indicator multiplies the degrees of freedom and the probability of curve-fitting.

Amaryllis eliminates this risk by design. The entire signal generation, entry logic, and exit framework operates on a single indicator: ADX. This produces the minimum possible parameter space, resulting in a system that transfers across market regimes, broker environments, and timeframes without degradation.

The source code is clean, institutional-grade MQL5 — no external DLLs, no web requests, no hidden dependencies. Every function is documented. Every parameter has a clear economic rationale.

This is not simplicity for its own sake. This is deliberate parameter discipline — the same philosophy employed by the most durable systematic strategies in the managed futures industry.

WALK-FORWARD VALIDATION

Robustness is not measured by in-sample performance. It is measured by survival on unseen data.

Amaryllis was validated using strict walk-forward protocol on two independent broker environments:

In-Sample Optimization (2019.01.01 – 2023.01.01): Parameters were calibrated on historical data encompassing the COVID-19 crash and recovery (2020), the post-pandemic melt-up (2021), and the aggressive rate-hiking bear market (2022). Every major regime of the past decade is represented.

Out-of-Sample Deployment (2023.01.01 – 2026.02.12): The optimized parameters were deployed on three full years of completely unseen data with zero adjustment. The strategy had never encountered a single tick of this data during development.

Multi-Broker Validation: The strategy was independently tested on RoboForex and EightCap — two brokers with fundamentally different data feeds, spread structures, symbol specifications, and execution environments. The edge persists on both.

Most retail EAs are validated on a single broker using in-sample data alone. Amaryllis is validated out-of-sample, across brokers, across regimes.

PERFORMANCE — ROBOFOREX | H1 TIMEFRAME

Broker: RoboForex-Pro (Hedge) | Raw Spreads

Symbol: .US30Cash | Digits: 1 | Contract Size: 1

Timeframe: H1 | Period: 2018.01.01 – 2026.01.01

Deposit: $10,000 | Leverage: 1:100 | Lot Size: 5.0

Note: Contract Size = 1 on RoboForex. 5.0 lots at CS1 = $5/point, equivalent to 0.5 lots at CS10.

Total Net Profit:                $13,091.50 (+130.9%)

Profit Factor:                   1.36

Sharpe Ratio:                    3.69

Recovery Factor:                 2.12

Total Trades:                    390

Win Rate:                        83.33% (325 of 390)

Win Rate Longs:                  83.05%

Win Rate Shorts:                 83.77%

Expected Payoff:                 $33.57 per trade

Average Win:                     $152.27

Average Loss:                    -$559.96

Max Consecutive Wins:            25 ($3,887.00)

Max Consecutive Losses:          3 (-$2,035.00)

Balance Drawdown Maximal:        29.74% ($5,607.00)

Equity Drawdown Maximal:         32.67% ($6,180.00)

LR Correlation:                  0.93

History Quality:                 99%

Ticks:                           285,058,569

PERFORMANCE — ROBOFOREX | M5 TIMEFRAME

Broker: RoboForex-Pro (Hedge) | Raw Spreads

Symbol: .US30Cash | Digits: 1 | Contract Size: 1

Timeframe: M5 | Period: 2018.01.01 – 2026.01.01

Deposit: $10,000 | Leverage: 1:100 | Lot Size: 5.0

Note: Contract Size = 1 on RoboForex. 5.0 lots at CS1 = $5/point, equivalent to 0.5 lots at CS10.

Total Net Profit:                $14,171.00 (+141.7%)

Profit Factor:                   1.24

Sharpe Ratio:                    4.71

Recovery Factor:                 3.37

Total Trades:                    531

Win Rate:                        69.87% (371 of 531)

Win Rate Longs:                  70.82%

Win Rate Shorts:                 68.58%

Expected Payoff:                 $26.69 per trade

Average Win:                     $195.89

Average Loss:                    -$365.64

Max Consecutive Wins:            17 ($3,450.00)

Max Consecutive Losses:          4 (-$3,012.50)

Balance Drawdown Maximal:        33.86% ($4,141.00)

Equity Drawdown Maximal:         34.23% ($4,199.50)

LR Correlation:                  0.94

History Quality:                 99%

Ticks:                           285,058,569

PERFORMANCE — EIGHTCAP | H1 IN-SAMPLE (2019.01.01 – 2023.01.01)

Broker: EightCap (Hedge) | Raw Spreads

Symbol: US30 | Digits: 2 | Contract Size: 10

Timeframe: H1 | Period: 2019.01.01 – 2023.01.01

Deposit: $10,000 | Leverage: 1:100 | Lot Size: 0.3

Total Net Profit:                $11,597.76 (+116.0%)

Profit Factor:                   1.38

Sharpe Ratio:                    2.49

Recovery Factor:                 1.91

Total Trades:                    240

Win Rate:                        82.92% (199 of 240)

Win Rate Longs:                  85.16% (128)

Win Rate Shorts:                 80.36% (112)

Expected Payoff:                 $48.32 per trade

Average Profit Trade:            $212.88

Average Loss Trade:              -$750.38

Max Consecutive Wins:            35 ($7,502.13)

Max Consecutive Losses:          2 (-$3,050.55)

Balance Drawdown Maximal:        36.56% ($5,803.95)

Equity Drawdown Maximal:         38.24% ($6,072.75)

LR Correlation:                  0.72

History Quality:                 100%

Ticks:                           111,318,870

PERFORMANCE — EIGHTCAP | H1 OUT-OF-SAMPLE (2023.01.01 – 2026.02.12)

Broker: EightCap (Hedge) | Raw Spreads

Symbol: US30 | Digits: 2 | Contract Size: 10

Timeframe: H1 | Period: 2023.01.01 – 2026.02.12

Deposit: $10,000 | Leverage: 1:100 | Lot Size: 0.3

Total Net Profit:                $8,793.38 (+87.9%)

Profit Factor:                   1.38

Sharpe Ratio:                    2.72

Recovery Factor:                 2.03

Total Trades:                    173

Win Rate:                        84.97% (147 of 173)

Win Rate Longs:                  85.44% (103)

Win Rate Shorts:                 84.29% (70)

Expected Payoff:                 $50.83 per trade

Average Profit Trade:            $218.88

Average Loss Trade:              -$899.29

Max Consecutive Wins:            19 ($4,390.39)

Max Consecutive Losses:          3 (-$2,277.98)

Balance Drawdown Maximal:        21.56% ($4,033.77)

Equity Drawdown Maximal:         23.04% ($4,331.07)

LR Correlation:                  0.81

History Quality:                 100%

Ticks:                           56,958,175

The out-of-sample Sharpe Ratio of 2.72 on three years of unseen data — with improved drawdown characteristics relative to in-sample — confirms the strategy captures genuine market structure rather than historical noise.

MULTI-BROKER ROBUSTNESS

                              RoboForex (H1)     EightCap In-Sample    EightCap OOS

Sharpe Ratio:                 3.69               2.49                  2.72

Profit Factor:                1.36               1.38                  1.38

Win Rate:                     83.33%             82.92%                84.97%

Recovery Factor:              2.12               1.91                  2.03

LR Correlation:               0.93               0.72                  0.81

Consistent profitability across two independent broker environments with different data feeds, spread structures, and symbol specifications. The core ADX momentum logic captures real market structure — not broker-specific data artifacts.

INSTITUTIONAL BENCHMARKING

Sharpe Ratio: The Barclay CTA Index averages 0.3–0.5 over rolling 5-year windows. Top-decile managed futures funds target 1.0–2.0. Amaryllis delivers 2.49–3.69 depending on broker and period, placing the strategy well above the institutional average for a single-instrument momentum system.

Profit Factor: Systematic CTA strategies typically operate within a 1.2–1.5 profit factor range. Amaryllis at 1.36–1.38 across all configurations confirms genuine edge generation without reliance on outsized winners.

Win Rate: Classical trend-following operates at 35–50% win rates. Amaryllis achieves 82–85% through ADX regime filtering — entering exclusively when trend strength is confirmed. This dramatically smooths the equity curve and reduces the psychological burden of live trading.

Recovery Factor: Values of 1.91–3.37 across all configurations indicate the strategy recovers from its worst drawdown multiple times over — a critical measure of long-term account survivability.

CORE FEATURES

ADX Momentum Engine — Entry on ADX threshold cross with DI+/DI- directional bias. Pure trend-strength momentum capture with no lagging crossover dependencies.

Session Control — Configurable trading window with hour and minute precision. Optional forced position closure outside session boundaries. Supports overnight session wrapping.

Daily Drawdown Circuit Breaker — Equity-based daily drawdown limiter with configurable threshold. Automatically halts new entries and closes positions when the daily loss limit is reached.

Risk-Based Position Sizing — Fixed lot or automatic percentage-of-balance sizing calculated from stop loss distance. Adapts to account growth.

DI Crossover Reversal — Optional position reversal on DI crossover during active ADX regime. Maintains market exposure when momentum shifts direction.

Daily Open Bias Filter — Optional directional confirmation requiring price above daily open for longs and below daily open for shorts.

Spread Filter — Maximum spread gate prevents entry during illiquid conditions. Deferred reverse orders queue until spread normalizes.

Auto Fill Mode Detection — Automatically detects and configures the correct order filling mode (FOK, IOC, or RETURN) for any broker environment.

INPUT PARAMETERS

Session: Start Hour, Start Minute, End Hour, End Minute, Close Positions Outside Session.

ADX: ADX Period, ADX Threshold, Exit on ADX Drop, Reverse on DI Crossover, Daily Open Bias Filter.

Risk: Fixed Lot Size (0 = use risk %), Risk per Trade (%), Stop Loss (points), Take Profit (points), Max Daily Drawdown (%), Max Spread (points), Reset DD With Position.

Identification: Magic Number for multi-instance deployment.

BROKER COMPATIBILITY — READ BEFORE LOADING SET FILES

Amaryllis runs on any MT5 broker offering US30 or equivalent index CFDs. However, brokers differ in how they quote prices and size contracts. These differences affect Stop Loss and Take Profit placement. The trading logic itself is universal — only the calibration changes.

Before loading a set file, right-click your symbol in Market Watch, select Specification, and check three values: Digits, Contract Size, and Tick Size.

Reference specifications:

    RoboForex (.US30Cash):   Digits: 1  |  Contract Size: 1   |  Tick Size: 0.0

    EightCap (US30):         Digits: 2  |  Contract Size: 10  |  Tick Size: 0.00

Adjusting Stop Loss and Take Profit:

SL and TP values in the set files are denominated in MT5 points. The value of one point depends on your broker's Digits setting.

    Digits = 1    →  1 point = 0.1 price movement

    Digits = 2    →  1 point = 0.01 price movement

If your broker has more decimal places than the set file origin, add one zero to the end of the SL and TP values. If fewer, remove one zero.

    RoboForex set file (1 digit):     SL = 4800     TP = 700

    Your broker (2 digits):           SL = 48000    TP = 7000

All other parameters — ADX settings, session hours, filters — remain unchanged.

IF YOUR BACKTEST RESULTS DIFFER FROM THE PUBLISHED RESULTS

Both RoboForex and EightCap are fully regulated brokers, but they source price data from different liquidity providers. Different data feeds produce different candle formations, which means indicator signals can fire at slightly different moments. The core logic is identical — the calibration adapts to the data.

If your broker's backtest results do not match the published performance, verify the following in your symbol Specification:

    1.  Digits — must match the set file or be adjusted as described above

    2.  Contract Size — affects lot sizing and dollar exposure per point

    3.  Tick Size — must correspond to the Digits setting

    4.  History Quality — run backtests on real ticks with 99–100% quality

    5.  Modelling — use "Every tick based on real ticks" for accurate results

If all specifications are correct and performance still diverges significantly, your broker's data feed requires a dedicated calibration. The strategy logic works — only the SL, TP, and session parameters need adjustment for your specific data.

Leave me a comment or send a private message with your broker name and symbol specification. I will calibrate the set file for your data feed at no additional cost.

Alternatively, you can use one of the two validated brokers above — both are fully regulated and confirmed working with the provided set files.

FTMO AND PROP FIRM USERS

The RoboForex set files have been tested on FTMO data feeds. The FTMO symbol specification for US30 closely matches RoboForex. The only adjustments required are:

    1.  Tick Size and Digits — verify in Specification and adjust SL/TP accordingly

    2.  Max Daily Drawdown — set to match your prop firm's drawdown rules

    3.  Lot Size — adjust for your firm's Contract Size and account equity

The RoboForex set files are the recommended starting point for FTMO users.

EightCap set files have not been tested on FTMO yet. If you are an FTMO user on an EightCap-style data feed, contact me for guidance.

Always validate on a demo or practice account before deploying on a funded challenge or live funded account.

EIGHTCAP SET FILES

EightCap optimized set files are coming soon. Until then, EightCap users can:

    1.  Load the RoboForex set file

    2.  Multiply SL and TP by 10 (adjusting from 1 digit to 2 digits)

    3.  Divide lot size by 10 (adjusting from Contract Size 1 to 10)

    4.  Validate on demo before live deployment

Or contact me directly — I will provide the calibrated EightCap parameters.

WHAT YOU RECEIVE

    Compiled Amaryllis v2.04 Expert Advisor (.ex5)

    Optimized set files for RoboForex (H1, M5)

    EightCap set files (coming soon)

    Broker configuration guide

    Direct support via MQL5 private messages

BACKTEST CONDITIONS

    Broker:      RoboForex-Pro (Hedge) | EightCap (Hedge)

    Modelling:   Every tick based on real ticks

    Delays:      Zero latency, ideal execution

    Deposit:     $10,000 USD

    Leverage:    1:100

    History:     99–100%

IMPORTANT DISCLAIMERS

Past performance is not indicative of future results. All backtests were conducted under ideal execution conditions with zero latency and zero slippage. Live trading introduces additional variables including slippage, requotes, spread widening during news events, and broker execution delays. Drawdown figures are a function of position sizing — adjust lot size relative to account equity for appropriate risk exposure. This Expert Advisor is a professional tool for informed traders. It is not a guaranteed profit system. Always validate on a demo account before committing capital.

Amaryllis v2.04 — One Indicator. Every Regime. Proven.

Designed and Developed by Rafael Vasili

Copyright 2025–2026