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End-to-End Trading Workflow Example

Related:

  • SETUP.md — Installation and MT5 connection
  • CLI.md — CLI usage patterns and output formats
  • SAMPLE-TRADE.md — Guided workflow (start here if new)

This walkthrough shows a practical “research loop”: discover methods, fetch data, add context (indicators/denoise), generate forecasts, size risk (volatility + barriers), and validate with a quick backtest.

Assumptions:

  • MetaTrader 5 terminal is running.
  • You call tools via mtdata-cli <command> ....
  • Replace EURUSD and H1 with your symbol/timeframe.

Tip: add --json for structured output.

1) Discover what’s available

Forecast methods + availability (optional libraries show up here):

mtdata-cli forecast_list_methods --json

Forecast model spaces:

mtdata-cli forecast_list_library_models native --json
mtdata-cli forecast_list_library_models statsforecast --json
mtdata-cli forecast_list_library_models sktime --json
mtdata-cli forecast_list_library_models pretrained --json

Indicators:

mtdata-cli indicators_list --limit 50
mtdata-cli indicators_describe rsi --json

2) Inspect symbol and fetch candles

mtdata-cli symbols_list --limit 20
mtdata-cli symbols_describe EURUSD --json
mtdata-cli data_fetch_candles EURUSD --timeframe H1 --limit 300 --json

Optional (liquidity snapshot):

mtdata-cli market_depth_fetch EURUSD --json

3) Prepare data: indicators + denoise

Compute a few indicators:

mtdata-cli data_fetch_candles EURUSD --timeframe H1 --limit 1500 \
  --indicators "ema(20),ema(50),rsi(14),macd(12,26,9)" \
  --json

Denoise before indicators (smoother inputs):

mtdata-cli data_fetch_candles EURUSD --timeframe H1 --limit 1500 \
  --indicators "rsi(14),ema(50)" \
  --denoise ema --denoise-params "columns=close,when=pre_ti,alpha=0.2,keep_original=true" \
  --json

Denoise after indicators (smoother signals):

mtdata-cli data_fetch_candles EURUSD --timeframe H1 --limit 1500 \
  --indicators "rsi(14)" \
  --denoise ema --denoise-params "columns=RSI_14,when=post_ti,alpha=0.3,keep_original=true" \
  --json

4) Baseline price forecasts

Simple baseline (Theta):

mtdata-cli forecast_generate EURUSD --timeframe H1 --horizon 12 \
  --library native --method theta --json

Pattern-based “analog” forecast (nearest-neighbor style):

mtdata-cli forecast_generate EURUSD --timeframe H1 --horizon 12 \
  --library native --method analog --params "window_size=64 search_depth=5000 top_k=20 scale=zscore" \
  --json

Optional: foundation model (if available):

mtdata-cli forecast_generate EURUSD --timeframe H1 --horizon 24 \
  --library pretrained --method chronos2 --params "context_length=512" \
  --json

Optional: Monte Carlo simulation forecast (range of outcomes):

mtdata-cli forecast_generate EURUSD --timeframe H1 --horizon 12 \
  --library native --method mc_gbm --params "n_sims=3000 seed=7" \
  --json

5) Volatility forecast (risk sizing)

EWMA (fast default):

mtdata-cli forecast_volatility_estimate EURUSD --timeframe H1 --horizon 12 \
  --method ewma --params "lambda=0.94" --json

HAR-RV (uses intraday realized volatility):

mtdata-cli forecast_volatility_estimate EURUSD --timeframe H1 --horizon 12 \
  --method har_rv --params "rv_timeframe=M5,days=150,window_w=5,window_m=22" --json

6) Barrier analytics (TP/SL planning)

Barrier probabilities (TP/SL odds within the horizon):

mtdata-cli forecast_barrier_prob EURUSD --timeframe H1 --horizon 12 \
  --method hmm_mc --tp-pct 0.5 --sl-pct 0.3 --params "n_sims=5000 seed=7" \
  --json

Barrier optimization (search a TP/SL grid):

mtdata-cli forecast_barrier_optimize EURUSD --timeframe H1 --horizon 12 \
  --method hmm_mc --mode pct --grid-style volatility --refine true \
  --tp-min 0.25 --tp-max 1.5 --tp-steps 7 \
  --sl-min 0.25 --sl-max 2.5 --sl-steps 9 \
  --params "n_sims=5000 seed=7" --json

Interpretation shortcuts:

  • edge ≈ P(TP first) − P(SL first)
  • prob_resolve ≈ 1 − P(no hit)
  • Wider stops/targets may look “worse” on edge but can be better after accounting for time-to-hit and payoff ratio.

7) Regime detection (gatekeeper)

Change-points (BOCPD):

mtdata-cli regime_detect EURUSD --timeframe H1 --limit 1500 \
  --method bocpd --threshold 0.6 --detail summary --lookback 300 --json

Regime labels (HMM):

mtdata-cli regime_detect EURUSD --timeframe H1 --limit 1500 \
  --method hmm --params "n_states=3" --detail compact --lookback 300 --json

8) Quick backtest (sanity check)

Run a rolling-origin backtest to compare a few methods:

mtdata-cli forecast_backtest_run EURUSD --timeframe H1 --horizon 12 \
  --steps 50 --spacing 5 --methods "theta sf_autoarima analog" --json

9) Pattern detection (optional context)

Candlestick patterns:

mtdata-cli patterns_detect EURUSD --timeframe H1 --mode candlestick --limit 500 \
  --robust-only true --json

Classic chart patterns:

mtdata-cli patterns_detect EURUSD --timeframe H1 --mode classic --limit 800 --json

10) Combine signals into a decision (simple recipe)

A pragmatic decision checklist:

  • Forecast direction: do multiple methods agree on the sign of the next horizon bars?
  • Volatility: is projected volatility within your risk budget?
  • Regime: are you trading in a regime your strategy is designed for?
  • Barriers: does the TP/SL pair have acceptable edge / prob_resolve?
  • Patterns: do detections support or contradict the idea (optional)?

Appendix: Troubleshooting

See TROUBLESHOOTING.md.

See Also