Algorithmic Trading Articles — Guides & Examples

In this article, I will create a dynamic multidimensional array class with the ability to change the amount of data in any dimension. Based on the created class, I will create a two-dimensional dynamic array to store some dynamically changed properties of graphical objects.

In this article, I will continue my work on tracking standard graphical object events and create the functionality allowing users to control changes in the properties of graphical objects placed on any charts opened in the terminal.

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In this article, I will consider tracking property value modification, as well as removing and renaming graphical objects in the library.

In this article, I will complete the development of the descendant classes of the abstract graphical object class and start implementing the ability to store these objects in the collection class. In particular, I will create the functionality for adding newly created standard graphical objects to the collection class.

In this article, I will consider creation of descendant objects for the terminal abstract standard graphical object. The class object describes the properties that are common for all graphical objects. So, it is simply some kind of a graphical object. To clarify its affiliation with a real graphical object, we need to set the properties inherent in this particular graphical object in the descendant object class.

Rebuy algorithm: Multicurrency trading simulation

In this article, we will create a mathematical model for simulating multicurrency pricing and complete the study of the diversification principle as part of the search for mechanisms to increase the trading efficiency, which I started in the previous article with theoretical calculations.

Understanding MQL5 Object-Oriented Programming (OOP)

As developers, we need to learn how to create and develop software that can be reusable and flexible without duplicated code especially if we have different objects with different behaviors. This can be smoothly done by using object-oriented programming techniques and principles. In this article, we will present the basics of MQL5 Object-Oriented programming to understand how we can use principles and practices of this critical topic in our software.

In this article, I will create the class of the abstract graphical object. This object is to serve as a basis for creating the class of standard graphical objects. Graphical objects feature multiple properties. Therefore, I will need to do a lot of preparatory work before actually creating the abstract graphical object class. This work includes setting the properties in the library enumerations.

In this article, I will improve all library objects by assigning a unique type to each object and continue the development of the library graphical objects collection class.

It is time to start the integration of the already created objects into the previously created library objects. This will ultimately endow each library object with its own graphical object allowing users to interact with the program.

Category Theory in MQL5 (Part 11): Graphs

This article is a continuation in a series that look at Category Theory implementation in MQL5. In here we examine how Graph-Theory could be integrated with monoids and other data structures when developing a close-out strategy to a trading system.

Creating an EA that works automatically (Part 15): Automation (VII)

To complete this series of articles on automation, we will continue discussing the topic of the previous article. We will see how everything will fit together, making the EA run like clockwork.

In this article, I will complete working with chart object classes and their collection. I will also implement auto tracking of changes in chart properties and their windows, as well as saving new parameters to the object properties. Such a revision allows the future implementation of an event functionality for the entire chart collection.

In this article, I will create the functionality for tracking some chart object events — adding/removing symbol charts and chart subwindows, as well as adding/removing/changing indicators in chart windows.

In this article, I will expand the functionality of chart objects and arrange navigation through charts, creation of screenshots, as well as saving and applying templates to charts. Also, I will implement auto update of the collection of chart objects, their windows and indicators within them.

In this article we continue the development of the CArima class for building ARIMA models by adding intuitive methods that enable forecasting.

Matrices and vectors in MQL5: Activation functions

Here we will describe only one of the aspects of machine learning - activation functions. In artificial neural networks, a neuron activation function calculates an output signal value based on the values of an input signal or a set of input signals. We will delve into the inner workings of the process.

With this article, I start the development of the chart object collection class. The class will store the collection list of chart objects with their subwindows and indicators providing the ability to work with any selected charts and their subwindows or with a list of several charts at once.

In this article, I will continue the development of the chart object class. I will add the list of chart window objects featuring the lists of available indicators.

In this article, I will create the chart object class (of a single trading instrument chart) and improve the collection class of MQL5 signal objects so that each signal object stored in the collection updates all its parameters when updating the list.

Category Theory in MQL5 (Part 10): Monoid Groups

This article continues the series on category theory implementation in MQL5. Here we look at monoid-groups as a means normalising monoid sets making them more comparable across a wider span of monoid sets and data types..

In this article, I will create the signal collection class of the MQL5.com Signals service with the functions for managing signals. Besides, I will improve the Depth of Market snapshot object class for displaying the total DOM buy and sell volumes.

In this article, I will create the collection class of Depths of Market of all symbols and start developing the functionality for working with the MQL5.com Signals service by creating the signal object class.

In this article, I will create two classes (the class of DOM snapshot object and the class of DOM snapshot series object) and test creation of the DOM data series.

Creating an EA that works automatically (Part 14): Automation (VI)

In this article, we will put into practice all the knowledge from this series. We will finally build a 100% automated and functional system. But before that, we still have to learn one last detail.

In the article, I will start developing the functionality for working with the Depth of Market. I will also create the class of the Depth of Market abstract order object and its descendants.

In this article, I will implement updating tick data in real time and prepare the symbol object class for working with Depth of Market (DOM itself is to be implemented in the next article).

Since a program may use different symbols in its work, a separate list should be created for each of them. In this article, I will combine such lists into a tick data collection. In fact, this will be a regular list based on the class of dynamic array of pointers to instances of CObject class and its descendants of the Standard library.

Multilayer perceptron and backpropagation algorithm (Part 3): Integration with the Strategy Tester - Overview (I).

The multilayer perceptron is an evolution of the simple perceptron which can solve non-linear separable problems. Together with the backpropagation algorithm, this neural network can be effectively trained. In Part 3 of the Multilayer Perceptron and Backpropagation series, we'll see how to integrate this technique into the Strategy Tester. This integration will allow the use of complex data analysis aimed at making better decisions to optimize your trading strategies. In this article, we will discuss the advantages and problems of this technique.

In this article, I will create the list for storing tick data of a single symbol and check its creation and retrieval of required data in an EA. Tick data lists that are individual for each used symbol will further constitute a collection of tick data.

From this article on, start creating library functionality to work with price data. Today, create an object class which will store all price data which arrived with yet another tick.

Timeseries in DoEasy library (part 58): Timeseries of indicator buffer data

In conclusion of the topic of working with timeseries organise storage, search and sort of data stored in indicator buffers which will allow to further perform the analysis based on values of the indicators to be created on the library basis in programs. The general concept of all collection classes of the library allows to easily find necessary data in the corresponding collection. Respectively, the same will be possible in the class created today.

Automated exchange grid trading using stop pending orders on Moscow Exchange (MOEX)

The article considers the grid trading approach based on stop pending orders and implemented in an MQL5 Expert Advisor on the Moscow Exchange (MOEX). When trading in the market, one of the simplest strategies is a grid of orders designed to "catch" the market price.

Timeseries in DoEasy library (part 57): Indicator buffer data object

In the article, develop an object which will contain all data of one buffer for one indicator. Such objects will be necessary for storing serial data of indicator buffers. With their help, it will be possible to sort and compare buffer data of any indicators, as well as other similar data with each other.

Timeseries in DoEasy library (part 56): Custom indicator object, get data from indicator objects in the collection

The article considers creation of the custom indicator object for the use in EAs. Let’s slightly improve library classes and add methods to get data from indicator objects in EAs.

Timeseries in DoEasy library (part 55): Indicator collection class

The article continues developing indicator object classes and their collections. For each indicator object create its description and correct collection class for error-free storage and getting indicator objects from the collection list.

Category Theory in MQL5 (Part 7): Multi, Relative and Indexed Domains

Category Theory is a diverse and expanding branch of Mathematics which is only recently getting some coverage in the MQL5 community. These series of articles look to explore and examine some of its concepts & axioms with the overall goal of establishing an open library that provides insight while also hopefully furthering the use of this remarkable field in Traders' strategy development.

Timeseries in DoEasy library (part 54): Descendant classes of abstract base indicator

The article considers creation of classes of descendant objects of base abstract indicator. Such objects will provide access to features of creating indicator EAs, collecting and getting data value statistics of various indicators and prices. Also, create indicator object collection from which getting access to properties and data of each indicator created in the program will be possible.

Timeseries in DoEasy library (part 53): Abstract base indicator class

The article considers creation of an abstract indicator which further will be used as the base class to create objects of library’s standard and custom indicators.

Graphics in DoEasy library (Part 88): Graphical object collection — two-dimensional dynamic array for storing dynamically changing object properties

Graphics in DoEasy library (Part 87): Graphical object collection - managing object property modification on all open charts

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Graphics in DoEasy library (Part 86): Graphical object collection - managing property modification

Graphics in DoEasy library (Part 85): Graphical object collection - adding newly created objects

Graphics in DoEasy library (Part 84): Descendant classes of the abstract standard graphical object

Rebuy algorithm: Multicurrency trading simulation

Understanding MQL5 Object-Oriented Programming (OOP)

Graphics in DoEasy library (Part 83): Class of the abstract standard graphical object

Graphics in DoEasy library (Part 82): Library objects refactoring and collection of graphical objects

Graphics in DoEasy library (Part 81): Integrating graphics into library objects

Category Theory in MQL5 (Part 11): Graphs

Creating an EA that works automatically (Part 15): Automation (VII)

Other classes in DoEasy library (Part 72): Tracking and recording chart object parameters in the collection

Other classes in DoEasy library (Part 71): Chart object collection events

Other classes in DoEasy library (Part 70): Expanding functionality and auto updating the chart object collection

Forecasting with ARIMA models in MQL5

Matrices and vectors in MQL5: Activation functions

Other classes in DoEasy library (Part 69): Chart object collection class

Other classes in DoEasy library (Part 68): Chart window object class and indicator object classes in the chart window

Other classes in DoEasy library (Part 67): Chart object class

Category Theory in MQL5 (Part 10): Monoid Groups

Other classes in DoEasy library (Part 66): MQL5.com Signals collection class

Prices and Signals in DoEasy library (Part 65): Depth of Market collection and the class for working with MQL5.com Signals

Prices in DoEasy library (Part 64): Depth of Market, classes of DOM snapshot and snapshot series objects

Creating an EA that works automatically (Part 14): Automation (VI)

Prices in DoEasy library (part 63): Depth of Market and its abstract request class

Prices in DoEasy library (part 62): Updating tick series in real time, preparation for working with Depth of Market

Prices in DoEasy library (part 61): Collection of symbol tick series

Multilayer perceptron and backpropagation algorithm (Part 3): Integration with the Strategy Tester - Overview (I).

Prices in DoEasy library (part 60): Series list of symbol tick data

Prices in DoEasy library (part 59): Object to store data of one tick

Timeseries in DoEasy library (part 58): Timeseries of indicator buffer data

Automated exchange grid trading using stop pending orders on Moscow Exchange (MOEX)

Timeseries in DoEasy library (part 57): Indicator buffer data object

Timeseries in DoEasy library (part 56): Custom indicator object, get data from indicator objects in the collection

Timeseries in DoEasy library (part 55): Indicator collection class

Category Theory in MQL5 (Part 7): Multi, Relative and Indexed Domains

Timeseries in DoEasy library (part 54): Descendant classes of abstract base indicator

Timeseries in DoEasy library (part 53): Abstract base indicator class