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US Rates WFO Strategy: A MetaTrader 5 Expert Advisor that trades major FX pairs based on their rolling beta correlation with US Treasury Bonds (TLT). Features built-in Walk-Forward Optimization (WFO) to dynamically adapt lookback periods to current market regimes. Darwinex-ready. https://www.mql5.com/en/users/exceltrader
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README.md

US_rates_4_forex

US Rates WFO: Beta-Driven Forex Strategy

Overview

US_Rates_WFO is a quantitative Expert Advisor (EA) for MetaTrader 5. It trades major currency pairs (EURUSD, USDJPY, etc.) by analyzing their statistical relationship with the US Bond Market (using TLT as a proxy for US Treasury yields).

Unlike static strategies, this EA utilizes Walk-Forward Optimization (WFO). Before every trade, it runs an internal simulation on recent price history to determine the optimal statistical lookback period for the current market regime.

Key Features

  • Intermarket Analysis: Trades Forex based on the flows of the US Treasury Bond market.
  • Self-Optimizing (WFO): Automatically adjusts its Beta_Period daily to fit the most recent market behavior.
  • Statistical Filtering: Filters trades based on Correlation coefficients and Economic Theory (optional).
  • Volatility-Based Risk: Stops and Targets are dynamic, based on the Average True Range (ATR).
  • Darwinex Ready: Uses ORDER_FILLING_IOC for compatibility with institutional liquidity pools.

Strategy Logic

1. The Core Hypothesis

The strategy assumes that currency pairs react to changes in US Interest Rates.

  • TLT (20+ Year Treasury Bond ETF) is used as the proxy.
  • Theory: When TLT falls, Yields rise -> USD often strengthens. When TLT rises, Yields fall -> USD often weakens.

2. The Mechanics

  1. Data Gathering: Every day at Open_Hour (default 02:00 Server Time), the EA fetches price history for the FX pair and TLT.
  2. Walk-Forward Optimization:
    • The EA looks back Opt_Lookback_Days (default 40 days).
    • It simulates the strategy using Beta periods ranging from 10 to 40 days.
    • It selects the specific Beta period that would have been most profitable over this recent window.
  3. Signal Generation:
    • It calculates the Beta (sensitivity) and Correlation using the optimized period.
    • It measures the previous day's return of TLT.
    • Forecast = Beta <20> TLT_Return.
  4. Execution: If the forecast direction is strong and correlation is high, a trade is opened.

Input Parameters

Asset Proxies

  • Bond_Symbol: The ticker for the bond ETF. Must be in Market Watch. Default: TLT.

Self-Optimization (WFO)

  • Do_Self_Optimize: If true, the EA ignores the fixed Beta_Period and finds the best one dynamically.
  • Opt_Lookback_Days: The "Training Window" size. How far back to test parameters (e.g., 40 days).
  • Opt_Beta_Start / End: The range of parameters to test (e.g., test lookbacks between 10 and 40 days).

Risk Management

  • Risk_Percent: Percentage of Account Equity to risk per trade.
  • SL_ATR_Mult / TP_ATR_Mult: Size of Stop Loss and Take Profit relative to daily volatility.

Requirements

  1. MetaTrader 5 Platform.
  2. Data: You must have the TLT symbol (iShares 20+ Year Treasury Bond ETF) available in your broker's Market Watch.
  3. Liquidity: Designed for major pairs (EURUSD, USDJPY, GBPUSD, AUDUSD, USDCAD, USDCHF).

Installation

  1. Download the .mq5 file to your MQL5/Experts folder.
  2. Compile in MetaEditor.
  3. Ensure TLT is added to your Market Watch in the terminal.
  4. Attach the EA to a chart (Timeframe does not matter, logic is D1-based).

Disclaimer

This software is for educational purposes only. Past performance (even with WFO) does not guarantee future results. Trading Forex involves substantial risk.