MT5 MCP Server v2.1

37-tool MCP server for MetaTrader 5 — the most complete LLM-to-MT5 bridge. Full autonomous pipeline from strategy description to PDF report, with proper risk metrics (Sharpe, Sortino, Calmar) and validation checks. Write EAs, compile, backtest, optimize, Monte Carlo, Kelly sizing, live trade, monitor portfolio — all through MCP.

Highlights

• 🤖 Autonomous Pipeline — Describe a strategy → get a complete PDF report with Monte Carlo, Kelly, risk metrics
• 📊 37 MCP tools — every MT5 operation available to LLMs
• 📈 Proper Risk Metrics — Annualized Sharpe, Sortino, Calmar with sanity checks
• 🔴 Live Trading — Place orders, manage positions, monitor portfolio from any LLM

Tools Overview (37)

📊 Backtest & Optimization (5)

Tool	Description
run_mt5_backtest	Single backtest with full parameter control
run_mt5_optimization	Genetic/complete parameter optimization
run_multi_backtest	Test EA on multiple symbols, aggregate results
get_backtest_results	Parse tester log into structured trade data
get_optimization_results	Read .opt files with best passes

✏️ EA Development (6)

Tool	Description
write_expert	Write/update .mq5 source (auto-compile)
compile_expert_file	Compile .mq5 → .ex5 via MetaEditor
read_expert_code	Read full MQL5 source
get_ea_parameters	Extract all input params with types/defaults
list_experts	List all installed EAs
get_backtest_log	Raw tester log for debugging

📈 Advanced Analytics (6)

Tool	Description
run_monte_carlo	1000-sim robustness with P5/P95 confidence
run_walk_forward	Rolling OOS validation, overfitting detection
calc_position_size	Kelly Criterion, Optimal F, Risk of Ruin
get_trade_stats	Expectancy, Z-score, streaks
get_risk_metrics	v2.1 Sharpe, Sortino, Calmar + validation
export_trades	Export results to CSV

🔴 Live Trading (6)

Tool	Description
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 Management (7)

Tool	Description
analyze_portfolio_diversification	0-100 score + verdict + recommendations
calc_correlation	Correlation matrix, diversification score
calc_efficient_frontier	Markowitz optimal weights, max Sharpe
calc_risk_allocation	Equal risk, Kelly, inverse-DD allocation
get_portfolio_health	Live P&L, concentration, margin
backtest_to_returns	Convert results to returns series
get_mt5_status	Connection and account status

🤖 Autonomous Pipeline (2)

Tool	Description
build_strategy_code	v2.0 Generate MQL5 EA from natural language
run_autonomous_pipeline	v2.0 Full auto: Create→Compile→Screen→Correlate→Optimize→MC→Kelly→Robustness→Report

📡 Data Access (5)

Tool	Description
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

Quick Start

git clone https://github.com/Boschi404/mt5-mcp-server.git
cd mt5-mcp-server
pip install -r requirements.txt

Register with MCP Client

Hermes Agent:

hermes mcp add mt5-backtest --command "C:/Python311/python" --args "/path/to/server.py" --timeout 600

Claude Desktop (claude_desktop_config.json):

{"mcpServers": {"mt5-backtest": {"command": "python", "args": ["/path/to/server.py"]}}}

Autonomous Pipeline

One command to run 9 phases:

run_autonomous_pipeline(
    strategy_name="GoldBreakout",
    strategy_description="Channel breakout M15, EMA50 H4 trend filter, SL 700pts, TP 3000pts"
)

Phases:

1. Create — Generate MQL5 code with all parameters
2. Compile — Compile to .ex5 + error check
3. Screen — Test on 15+ major symbols (1M OHLC)
4. Correlate — Find uncorrelated candidates (0-100 diversification score)
5. Optimize — Genetic optimization on tick data with fixed risk
6. Monte Carlo — 1000 simulations, skip 10% random trades
7. Kelly — Position sizing from real trade stats (max 15% DD)
8. Robustness — 100 random 6-month backtests
9. Report — Full HTML report with Sharpe, Sortino, Calmar + validation

Output: Desktop/pipelines/StrategyName_TIMESTAMP/ with organized subfolders per phase.

Risk Metrics (v2.1)

get_risk_metrics computes proper risk-adjusted returns:

Metric	Formula
Sharpe	(Return − RiskFree) / StdDev × √Periods
Sortino	(Return − RiskFree) / DownsideStdDev × √Periods
Calmar	AnnualizedReturn / MaxDrawdown

Automatic validation checks:

• Sharpe > 10? → ⚠️ WARNING: suspiciously high
• Sortino >> Sharpe? → ✅ Positive skew confirmed
• Profit Factor > 100? → ⚠️ WARNING: likely look-ahead bias
• Win Rate > 95%? → ⚠️ WARNING: survivorship bias

Example Workflows

Full Pipeline (EA → Live)

1. build_strategy_code("Channel breakout, SL 700, TP 3000") → get MQL5 code
2. write_expert("GoldScalper", code)                         → save + compile
3. run_multi_backtest("GoldScalper", ["XAUUSD","DAXEUR","NDQUSDc"]) → screen
4. analyze_portfolio_diversification(returns)                → score: 72/100 ✅
5. run_autonomous_pipeline("GoldScalper")                    → full auto
6. place_order("XAUUSD", "buy_stop", volume=0.05, ...)      → go live
7. get_portfolio_health()                                    → monitor

Risk Check

LLM → get_risk_metrics()
→ Sharpe: 1.85 (institutional quality)
→ Sortino: 3.12 (positive skew)
→ Max DD: 8.4%
→ Data Quality: GOOD
→ Validation: 3 checks passed, 0 warnings

Architecture

mt5-mcp-server/
├── server.py              # MCP server (37 tools)
├── backtest.py            # MT5 tester orchestrator
├── analytics.py           # Monte Carlo, Walk-Forward, Kelly
├── risk_metrics.py        # v2.1 Proper Sharpe/Sortino/Calmar
├── trading.py             # Live order execution
├── portfolio.py           # Correlation, efficient frontier
├── data.py                # Bar/tick data, symbols, prices
├── batch.py               # Multi-symbol testing
├── pipeline.py            # v2.0 Autonomous pipeline orchestrator
├── strategy_builder.py    # v2.0 MQL5 code generator
├── report_generator.py    # v2.0 HTML/PDF report generator
└── requirements.txt

Version History

Version	Tools	Highlights
v1.0	5	Basic backtest + log parsing
v1.1	11	Optimization, EA dev, compilation
v1.2	17	Monte Carlo, Walk-Forward, Kelly, CSV
v1.3	30	Live trading, portfolio, data access
v1.4	34	Batch testing, diversification scoring
v2.0	36	Autonomous pipeline, strategy builder, PDF reports
v2.1	37	Proper Sharpe/Sortino/Calmar + validation checks

License

MIT — use it, fork it, ship it.