Backtest EURUSD 01/03/2025 - 20/01/2026 Timeframe M5 (ONNX AI training specifically for M5-M15)

Backtest GBPUSD 01/03/2025 - 20/01/2026 Timeframe M5 (ONNX AI training specifically for M5-M15)

1. General Overview

SidewaysMartingale is an Expert Advisor designed to trade sideways (range-bound) markets using a martingale recovery strategy, enhanced with an AI-based trend detector implemented via an ONNX model.

The EA combines:

  • AI trend classification (Sideway / Bullish / Bearish)

  • Envelopes indicator for range-based entries

  • Controlled martingale position scaling

  • Profit-based basket closing

  • Margin-based emergency stop

The core idea is:

Trade only when the market is statistically classified as sideways, and avoid adding martingale positions when a strong trend is detected.

2. AI Trend Detector (ONNX Integration)

ONNX Model Output

The ONNX model returns:

  • A predicted label (not directly used)

  • A probability vector with three probabilities:

Variable

Meaning

prob_side

Probability that the market is sideways / ranging

prob_bull

Probability that the market is bullish (uptrend)

prob_bear

Probability that the market is bearish (downtrend)

These probabilities are extracted as:

float prob_side = prob_data[0].values[0]; float prob_bull = prob_data[0].values[1]; float prob_bear = prob_data[0].values[2];

3. Feature Engineering (AI Inputs)

The EA feeds 9 engineered features into the ONNX model:

Feature Index

Description

f[0]

EMA200 slope (trend direction & strength)

f[1]

Price distance from EMA200

f[2]

ATR value (volatility)

f[3]

Candle range normalized by ATR

f[4]

Breakout pressure vs previous high

f[5]

Candle body dominance

f[6]

Day of week

f[7]

Hour of day

f[8]

Previous candle direction

These features allow the AI model to detect:

  • Market volatility

  • Trend strength

  • Time-based behavioral patterns

  • Price structure behavior

4. Sideways Market Detection Logic

A market is considered sideways when:

bool is_sideway = (prob_side >= InpAISidewayThreshold);

Example:

  • If InpAISidewayThreshold = 0.70

  • Then at least 70% confidence is required to classify the market as sideways

👉 No new trades are opened unless this condition is met

5. Entry Logic (Scalping in Range)

The EA uses Envelopes to detect range extremes.

Buy Entry

if(price_close <= lower[0] && is_sideway)

  • Price touches or breaks the lower envelope

  • AI confirms a sideways market

  • Opens a BUY position

Sell Entry

else if(price_close >= upper[0] && is_sideway)

  • Price touches or breaks the upper envelope

  • AI confirms a sideways market

  • Opens a SELL position

💡 This ensures trades are taken only at range extremes during non-trending conditions.

6. Martingale Recovery Logic

When positions already exist, the EA applies a distance-based martingale:

  • New position is opened only if price moves away by a defined pip distance

  • Lot size increases using a multiplier ( LotMultiplier )

  • Maximum number of trades is limited ( MaxTradesInSeries )

Distance Check

if(dist >= reqDist)

7. AI Safety Filter for Martingale

This is a critical risk control mechanism.

Before adding a new martingale position, the EA checks:

If current series is BUY

if(s_seriesType == POSITION_TYPE_BUY && prob_bear >= InpAISafetyThreshold) return;

If current series is SELL

if(s_seriesType == POSITION_TYPE_SELL && prob_bull >= InpAISafetyThreshold) return;

🔒 Meaning:

  • If AI detects a strong opposite trend

  • And confidence exceeds InpAISafetyThreshold

  • Martingale expansion is stopped

This prevents:

  • Martingale during strong breakouts

  • Deep drawdowns caused by trend continuation

8. Profit Target & Basket Closing

The EA monitors total floating profit across all positions:

if(totalProfitUSD >= TakeProfitTargetUSD)

Once reached:

  • All positions are closed

  • Martingale series is reset

  • EA waits for a new sideways setup

This approach treats all positions as one basket trade.

9. Risk Management

Margin-Based Emergency Stop

if(((bal - eq)/bal)*100.0 >= StopLossByMarginPercent)

If equity drawdown exceeds a defined percentage:

  • All positions are immediately closed

  • Prevents margin call scenarios

10. Strategy Summary

Component

Purpose

AI Trend Detector

Classifies market regime

prob_side

Allows trading only in ranges

prob_bull / prob_bear

Blocks martingale during strong trends

Envelopes

Defines range extremes

Martingale

Recovery in sideways markets

Basket TP

Fast exit after mean reversion

Margin SL

Account-level protection