A statistical arbitrage Expert Advisor built in MQL5 to exploit mean-reversion spreads across correlated FX pairs simultaneously on MetaTrader 5. Delivered from scoping to live deployment in 3 weeks. Zero critical errors in 60 days of live production trading.
A quantitative prop trader needed to automate a manual statistical arbitrage strategy running across 12 correlated FX pairs on MT5. The strategy required real-time spread monitoring across all pairs simultaneously, dynamic entry/exit triggers based on Z-score deviation thresholds, and strict prop firm drawdown compliance — all without any execution lag that would erode the arbitrage edge.
Must monitor 12 pairs simultaneously from a single EA instance
Entry logic tied to rolling Z-score across a dynamic lookback window
Global account equity protection: 4% daily loss limit, 8% trailing drawdown
Strategy Tester validation required before live deployment
Timeline: 3 weeks from scoping to live production trading
PSI Square engineered a fully object-oriented MQL5 Expert Advisor leveraging MT5's native multi-symbol capability — the EA runs from a single chart instance while monitoring and trading across all 12 pairs in real time.
Handles real-time price feeds, spread monitoring, and Z-score calculation across all 12 pairs using a rolling lookback buffer.
Fires entry/exit signals when Z-score crosses configurable deviation thresholds in either direction with sub-millisecond evaluation.
Aggregates floating equity across all open positions in real time, throttles new entries when exposure approaches limits, and triggers atomic position flattening at hard stop thresholds.
Uses MT5's OrderSendAsync for non-blocking order submission, with custom fill-policy handling (FOK / IOC / Return) per broker.
A breakdown of the core platform specifications, execution framework, and risk controls engineered for this production deployment.
Measured results and performance benchmarks validated over 60 days of continuous live market operations.
The EA went live within 3 weeks of the initial scoping call. After 60 days of continuous live trading across all 12 pairs, the system recorded zero critical execution errors and maintained maximum drawdown well within the prop firm's required thresholds. The client has since expanded the strategy to additional symbol groups using the same core architecture.
We engineer production automated trading systems across all major retail and institutional environments.
Whether you need a simple Expert Advisor or a complex multi-broker trading infrastructure — tell us what you're building. We'll scope it, design it and deliver it to production standard.
Or email info@psi-square.net · Phone +44 (0) 20 3872 7195 · We reply within 24 hours · NDA available on request
