v2.1 — Sharpe/Sortino/Calmar + Validation

v2.1 — Risk Metrics Done Right

New: get_risk_metrics tool (37th)

• Sharpe Ratio — properly annualized using trading frequency, risk-free rate subtracted
• Sortino Ratio — downside-only volatility, penalizes negative returns
• Calmar Ratio — annualized return / max drawdown

Validation Checks

Every metric comes with sanity checks:

• Sharpe > 10? → WARNING: suspiciously high
• Sortino >> Sharpe? → CHECK: positive skew verified
• Profit Factor > 100? → WARNING: likely look-ahead bias
• Win Rate > 95%? → WARNING: survivorship bias
• Output: GOOD / SUSPICIOUS / UNRELIABLE

Pipeline Integration

• Monte Carlo phase now computes all risk metrics
• Report shows Sharpe/Sortino/Calmar with colored indicators
• Validation warnings displayed in report

v2.0.1 — Pipeline phases ALL REAL, no placeholders

v2.0.1 — Every Phase Implemented

All 9 pipeline phases now execute REAL computations:

1. ✅ Create — MQL5 code generation
2. ✅ Compile — MetaEditor compilation
3. ✅ Screen — Multi-symbol 1M OHLC backtest
4. ✅ Correlate — Correlation matrix + diversification score
5. ✅ Optimize — Tick-data genetic optimization
6. ✅ Monte Carlo — 1000 sims, skip 10% random trades
7. ✅ Kelly — Position sizing from real trade data
8. ✅ Robustness — 100 random 6-month windows
9. ✅ Report — Full HTML report with all metrics

Zero placeholders. Every phase writes results to its folder.

v2.0 — AUTONOMOUS PIPELINE (36 tools)

🚀 v2.0 — Full Autonomous Strategy Pipeline

🆕 The Pipeline (2 new tools)

• build_strategy_code — Generate complete MQL5 EA from natural language description
• run_autonomous_pipeline — One command to run ALL phases:

Pipeline Phases

1. Create — Generate MQL5 code from description with all parameters
2. Compile — Compile to .ex5 + error check
3. Screen — Test on 15+ major symbols with 1M OHLC
4. Correlate — Find uncorrelated candidates for portfolio
5. Optimize — Tick-data optimization with fixed risk
6. Monte Carlo — 1000 simulations, skip 10% random trades
7. Kelly — Position sizing, max 15% DD
8. Robustness — 100x 6-month random start backtests
9. Report — Final comprehensive PDF/HTML report

Report Includes

• Strategy explanation + timeframe + assets
• Correlation matrix between assets
• Monte Carlo stats (probabilities, confidence intervals)
• Z-Score, Sharpe, Sortino, LR Correlation
• Max DD, Total Profit %, Time-normalized returns
• Trade count + frequency, Win rate, Avg RR
• Max/Avg Win & Loss, Max Win/Loss Streaks

Folder Structure

pipelines/StrategyName_20260101/
├── 01_create/        MQL5 code + parameters
├── 02_compile/       Compilation results
├── 03_screen/        Multi-symbol screening
├── 04_correlate/     Correlation analysis
├── 05_optimize/      Tick-data optimization
├── 06_montecarlo/    1000 simulations
├── 07_kelly/         Position sizing
├── 08_robustness/    100x 6-month tests
└── 09_report/        Final PDF report

Example

LLM → build_strategy_code('Channel breakout on M15 with EMA50 H4, SL 700pts, TP 3000pts')
LLM → run_autonomous_pipeline('GoldBreakout', strategy_description='...')

→ 20 minutes later: complete strategy report on your Desktop

v1.4 — Batch Testing + Portfolio Diversification Analyzer (34 tools)

🚀 v1.4 — Portfolio Intelligence (34 tools)

🆕 Batch Testing

• run_multi_backtest — Test EA on multiple symbols in one call, get aggregate stats
• backtest_to_returns — Convert results to returns series for portfolio analysis

🆕 Portfolio Diversification (0-100 score)

• analyze_portfolio_diversification — Comprehensive scoring with:
  • Correlation matrix + pair analysis
  • Diversification score (0-100) with verdict
  • Volatility reduction benefit %
  • Concentration risk detection
  • Asset class coverage analysis
  • Specific recommendations (which pairs to remove)

🆕 Live Portfolio Health

• get_portfolio_health — Real-time portfolio analysis:
  • Total P&L, exposure, margin usage
  • Win/loss ratio
  • Concentration risk (single symbol dominance)
  • Health verdict: HEALTHY / CONCENTRATED / DRAWING DOWN

Scoring Scale

• 80-100: 🏆 EXCELLENT — Highly diversified
• 60-79: ✅ GOOD — Well diversified
• 40-59: ⚠️ MODERATE — Some concentration risk
• 20-39: 🔴 POOR — High correlation
• 0-19: ❌ NOT DIVERSIFIED — Single asset portfolio

Full Pipeline Now

Write EA → Compile → Multi-Backtest → Returns → Diversification Score → Kelly Sizing → Live Trade → Monitor Health

v1.3 — Live Trading + Portfolio + Data (30 tools)

🚀 v1.3 — 30-Tool Complete MT5 Suite

🔴 LIVE TRADING (NEW — 6 tools)

• place_order — Market & pending orders (buy/sell/limit/stop)
• get_positions — Open positions with real-time P&L
• close_position — Close by ticket or close all
• modify_position — Modify SL/TP on open positions
• get_account — Balance, equity, margin, leverage
• get_order_history — Historical deals with P&L

📊 PORTFOLIO (NEW — 3 tools)

• calc_correlation — Correlation matrix, diversification score
• calc_efficient_frontier — Markowitz optimal weights, max Sharpe
• calc_risk_allocation — Equal risk, Kelly, inverse-DD allocation

📡 DATA (NEW — 5 tools)

• get_bars — OHLC bar data for any symbol/timeframe
• get_ticks — Raw tick data with spread stats
• list_symbols — All available trading symbols
• get_latest_price — Real-time bid/ask for multiple symbols
• get_symbol_info — Spread, swap, margin, tick value

📈 Previously (v1.0-v1.2)

Backtest, Optimization, EA dev, Compilation, Monte Carlo, Walk-Forward, Kelly, CSV export

Full Pipeline

LLM can now: Write EA → Compile → Backtest → Optimize → Monte Carlo → Walk-Forward → Kelly sizing → Live Trade → Monitor positions — all via MCP

v1.2 — Advanced Analytics Suite

🚀 v1.2 — 17-tool MCP Server with Advanced Analytics

New Tools (6 added since v1.1)

Monte Carlo:

• run_monte_carlo — 1000-simulation robustness test with P5/P95 confidence intervals
• run_walk_forward — Rolling window OOS validation to detect overfitting

Position Sizing:

• calc_position_size — Kelly Criterion, Optimal F, Risk of Ruin calculator

Data & Analysis:

• get_symbol_info — Full symbol specs: spread, swap, margin, tick value
• export_trades — Export backtest results to CSV
• get_trade_stats — Expectancy, Z-score, Sharpe, streaks

Full 17-Tool Suite

1-5: Backtest & Optimization
6-9: EA Development & Compilation
10-11: Results & Parameters
12-17: NEW — Advanced Analytics

Install

git clone https://github.com/Boschi404/mt5-mcp-server.git
pip install fastmcp MetaTrader5 numpy

v1.1 — Full MT5 Control Suite

🚀 v1.1 — 11-tool MCP Server

New Tools (6 added since v1.0)

Optimization:

• run_mt5_optimization — Genetic & complete parameter sweeps
• get_optimization_results — Parse .opt files with best passes

EA Development:

• write_expert — Write/update .mq5 source code with auto-compilation
• compile_expert_file — Compile .mq5 → .ex5 via MetaEditor
• read_expert_code — Read full MQL5 source
• get_ea_parameters — Extract input params, types, defaults

Full Workflow Now Possible

1. Write EA code → compile → optimize → analyze results — all via LLM
2. Perfect for: backtesting, EA development, portfolio optimization
3. Works with Hermes Agent, Claude Desktop, and any MCP client

Install

git clone https://github.com/Boschi404/mt5-mcp-server.git
pip install fastmcp MetaTrader5
hermes mcp add mt5-backtest --command python --args server.py --timeout 600