mirror of
https://github.com/RomySaputraSihananda/ares.git
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romysaputrasihananda
7d094591b8
- Add live trading loop (live.rs) with MT5 pending order placement, state persistence, and per-symbol tokio task for multi-pair - Extract backtest engine to backtest.rs and shared helpers to helpers.rs - Multi-pair support via SYMBOLS env var (comma-separated) - Add GitHub Actions workflow: Linux musl + Windows release binaries - Add README with strategy docs, config reference, backtest results - Clean up warnings, remove unused env vars, tighten .gitignore Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
112 lines
4.2 KiB
Markdown
112 lines
4.2 KiB
Markdown
# Ares
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M5 momentum FVG scalping bot for MetaTrader 5. Detects 3-candle impulse patterns that leave a Fair Value Gap, enters on limit orders back into the zone, and manages SL/TP automatically.
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## Strategy
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1. **Impulse detection** — a candle whose body ≥ `BODY_PCT_MIN` of its range, closing in the top/bottom `CLOSE_PCT_MIN` fraction
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2. **FVG zone** — the gap between the pre-impulse candle and the post-impulse candle must be ≥ `MIN_FVG_PIPS`
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3. **EMA filter** — trade only in the direction of the `EMA_PERIOD`-bar trend
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4. **Entry** — limit order at the FVG zone edge; expires after `FVG_EXPIRY_CANDLES` bars if unfilled
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5. **SL** — at the structural extreme of the impulse candle ± `SL_BUFFER`
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6. **TP** — `MIN_RR × SL distance` from entry
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## Requirements
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- Rust (stable, 2024 edition)
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- [MT5 HTTP Bridge](https://github.com/romysaputrasihananda/mt5-bridge) running and reachable at `MT5_BASE_URL`
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## Setup
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```bash
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cp .env.example .env
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# edit .env — set MT5_BASE_URL and your preferred params
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```
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## Usage
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### Backtest
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```bash
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cargo run --release
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```
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Runs a walk-forward simulation over the last `BACKTEST_CANDLES` M5 bars and prints a summary.
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### Live trading
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```bash
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LIVE=true cargo run --release
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```
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Polls MT5 every `LIVE_POLL_SECS` seconds. Places a pending limit order when a valid FVG is detected; cancels it when the setup expires. Uses magic number `19730` to identify its own orders and positions.
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State for each symbol is persisted in `.ares_state_{symbol}.json` so the bot survives restarts without orphaning orders.
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### Multi-pair
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```bash
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SYMBOLS=XAUUSDm,USOILm cargo run --release
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```
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Backtest runs symbols sequentially; live mode runs one async task per symbol.
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## Configuration
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Copy `.env.example` to `.env` and adjust. All fields are optional except `MT5_BASE_URL` and at least one of `SYMBOL` / `SYMBOLS`.
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| Variable | Default | Description |
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|---|---|---|
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| `MT5_BASE_URL` | — | MT5 bridge base URL (required) |
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| `SYMBOL` | — | Single symbol, e.g. `XAUUSDm` |
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| `SYMBOLS` | — | Comma-separated list, overrides `SYMBOL` |
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| `TIMEFRAME` | `M5` | Candle timeframe |
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| `RISK_PCT` | `0.01` | Fraction of balance to risk per trade |
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| `BODY_PCT_MIN` | `0.5` | Minimum body/range ratio for impulse candle |
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| `CLOSE_PCT_MIN` | `0.8` | Close must be in top/bottom this fraction of range |
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| `FVG_EXPIRY_CANDLES` | `10` | Bars before an unfilled setup is cancelled |
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| `MIN_FVG_PIPS` | `1` | Minimum FVG zone width in pips |
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| `MIN_SL_PIPS` | `5` | Minimum SL distance in pips |
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| `SL_BUFFER` | `0` | Extra buffer beyond impulse extreme for SL |
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| `MIN_RR` | `1.5` | Minimum reward:risk ratio |
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| `EMA_PERIOD` | `20` | EMA trend filter period (0 = disabled) |
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| `COMMISSION_PER_LOT` | `7` | Round-trip commission in USD |
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| `SLIPPAGE_POINTS` | `2` | SL slippage in MT5 points |
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| `SPREAD_OVERRIDE` | `0` | Override spread (0 = use live spread) |
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| `BACKTEST_BALANCE` | `600` | Starting balance for backtest |
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| `BACKTEST_CANDLES` | `50000` | Number of M5 bars to fetch |
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| `DATE_FROM` | — | Optional backtest start date `YYYY-MM-DD` |
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| `DATE_TO` | — | Optional backtest end date `YYYY-MM-DD` |
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| `TIMEOUT_CANDLES` | `0` | Force-close open trade after N bars (0 = disabled) |
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| `LIVE` | `false` | Set to `true` to enable live mode |
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| `LIVE_POLL_SECS` | `30` | Poll interval for live mode |
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## Backtest results
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XAUUSDm M5 · 50 000 bars · $600 start · 1% risk · EMA20 · $7/lot commission
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| Metric | Value |
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|---|---|
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| Trades | 1 309 |
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| Win rate | 50.9% |
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| Profit factor | 1.24 |
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| Return | +345% |
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| Max drawdown | −$200 |
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> Results are in-sample. The dataset covers a period of elevated XAU volatility. Out-of-sample validation is recommended before live deployment.
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## Project layout
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```
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ares/
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├── src/
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│ ├── main.rs # entry point, env parsing, mode dispatch
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│ ├── backtest.rs # walk-forward simulation engine
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│ ├── live.rs # live trading loop
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│ ├── detector.rs # momentum FVG detection
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│ └── helpers.rs # shared math utilities
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└── crates/
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├── domain/ # shared types (Candle, Symbol, Timeframe, Side…)
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└── mt5-client/ # async HTTP client for the MT5 bridge
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```
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