The Algorithmic Edge-Scalpex

Image source: MQL5

In the competitive world of algorithmic trading, success hinges on two factors: the mathematical precision of your strategy and the systematic reliability of your execution. The Scalpex Expert Advisor (EA) is engineered to meet these demands, utilizing a highly filtered, volatility-based breakout strategy within the MetaTrader 5 (MT5) environment.

This detailed review moves beyond surface-level marketing to analyze the core MQL5 architecture, revealing the specific controls and compliance features that define the Scalpex EA as a professional-grade tool, especially optimized for volatile markets like US Indices, Gold, and Crypto.

Image Source: Auron

Live account statistics for Scalpex on one week of live trading

Disclaimer: Algorithmic trading involves significant risk of loss. This analysis is for informational purposes only and does not constitute financial or investment advice.

The Core Strategy: Precision Extremum Hunting

The Scalpex EA is fundamentally a momentum-driven scalper. It does not chase every fluctuation; rather, it patiently waits for the market to confirm a definitive volatility extreme before initiating entry through pending stop orders.

1.1 Volatility Capture Logic

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The aggressive nature employed by Scalpex during trading. Note the multiple positions opened by the EA in a short time duration.

The EA operates by scanning the price data over a customizable lookback period (BarsN, default 100 bars on the specified Timeframe) to identify the highest high and lowest low reached during that window.

The entry mechanism is clear and non-discretionary:

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  Breakout Confirmation: The EA places pending orders (Buy Stop or Sell Stop) strategically near these identified extremes. The trade is only triggered when market momentum is strong enough to break out past the previous volatility peak, increasing the probability of continued movement in the chosen direction.

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  Trade Velocity: By limiting order placement to moments of confirmed price extreme breach, the EA ensures it capitalizes on high-velocity moves—an impossible feat for manual execution.

1.2 Multi-Asset Risk Adaptability (The Long-Tail Advantage)

Professional traders know that a Forex strategy cannot be blindly applied to Gold or US Indices. The Scalpex architecture solves this by using the SystemType input to dynamically adjust its fundamental calculations based on the asset class:

Asset Class (SystemType) Risk & Exit Parameter Calculation Strategic Implication Forex Fixed points (TppointsInput, SlPointsInput) Optimized for tighter spreads, lower volatility, and point-based precision. Crypto, Gold, US Indices Percentage of current price (TPasPctIndices, SLasPctGold, etc.) Optimized for high volatility; risk is calculated relative to the asset’s price scale, ensuring safety margins remain consistent despite large nominal price swings.

This multi-asset logic demonstrates genuine expertise and is a key feature for traders managing diversified quantitative portfolios.

2. Algorithmic Risk Management: The Path to Trustworthiness

Risk control in high-frequency trading must be instantaneous and systematic. The Scalpex EA utilizes a series of integrated safety protocols, notably its proprietary lot sizing and execution compliance systems.

2.1 Dynamic Lot Sizing: Capital Preservation First

The EA offers four distinct LotType methods, ensuring traders can align the system's exposure precisely with their capital preservation goals:

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  Fixed Lots: Standard lot volume set by the user.

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  Percentage of Balance: Risk calculated relative to the total account balance.

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  Percentage of Equity: Risk calculated relative to floating account equity.

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  Percentage of Margin: Risk calculated relative to the available free margin.

For methods 2, 3, and 4, the risk is determined by the riskPercent input (default 2%), ensuring that the calculated lot size is systematically linked to the stop-loss distance for every trade, adhering to professional money management principles.

2.2 Broker Compliance Protocol: Eliminating Error 10014

A common frustration for scalpers is trade rejection due to failure to comply with the broker's minimum distance requirements (Stop Level/Freeze Level).

The Scalpex EA integrates an internal utility function that automatically checks the calculated Stop Loss (SL) and Take Profit (TP) against the broker's minimum required distance (SYMBOL_TRADE_STOPS_LEVEL). If the initial SL/TP values are too close to the entry price, the EA proactively adjusts them before sending the order to the server. This critical feature minimizes execution errors and validates the EA’s trustworthiness and technical robustness in a live trading environment.

3. Layered Defense: The Critical Filter Suite

For a scalping strategy to succeed, it must aggressively avoid unpredictable market noise. The Scalpex EA achieves this through a multi-layered system of filters that enforce an Active Risk Mitigation Protocol: when a filter is triggered, the EA not only stops placing new trades but also cancels all existing pending orders (CloseAllOrders), removing market exposure instantly.

3.1 Proactive News Avoidance

The NewsFilterOn feature is essential, relying on a hardcoded list of high-impact events (KeyNews, e.g., "NFP," "Interest Rate," "JOLTS").

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  Time Block: The system stops trading a specified number of minutes (StopBeforeMin, default 15) before the scheduled news release and remains inactive for a period (StartTradingMin, default 15) after the event.

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  Maintenance Tip: The EA’s efficacy is tied to maintaining an up-to-date KeyNews list, requiring user vigilance to ensure all critical economic releases are covered.

3.2 The Extreme Price MA Filter

The Moving Average (MAFilterOn, default ON) is a robust tool for avoiding trades when the market is overextended, which often precedes a sharp mean reversion or consolidation phase.

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  Logic: This filter uses a longer-term Moving Average (default 200 EMA on M15) to calculate how far the current price is deviating from the trend.

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  Safety Threshold: If the price moves more than a defined percentage (PctPriceFromMA, default 3%) away from the MA, the EA considers the move extreme and disables trading.

3.3 Time and Day Restrictions

Trading is tightly controlled by the SHInput and EHInput parameters, restricting activity to peak liquidity hours (default 10:00 AM to 7:00 PM Server Time), while separate boolean toggles allow the user to disable trading on specific days of the week.

Conclusion: Systematic Control and Verifiable Performance

The Scalpex EA is built on the philosophy of systematic control. Its deep MQL5 architecture incorporates essential components for professional use: dynamic risk calculation, sophisticated breakout logic, and non-negotiable broker compliance features.

For the serious quantitative trader, the confidence to deploy a system comes from verifiable experience and demonstrated expertise. We encourage users to forward-test the Scalpex EA across its various multi-asset profiles to validate its systematic execution and superior risk controls against live market conditions.

Take the next step in quantitative trading. Deploy the Scalpex EA and gain systematic control over your market exposure.