Algorithmic Trading Articles for Integration

Developing a multi-currency Expert Advisor (Part 1): Collaboration of several trading strategies

There are quite a lot of different trading strategies. So, it might be useful to apply several strategies working in parallel to diversify risks and increase the stability of trading results. But if each strategy is implemented as a separate Expert Advisor (EA), then managing their work on one trading account becomes much more difficult. To solve this problem, it would be reasonable to implement the operation of different trading strategies within a single EA.

Integrating Hidden Markov Models in MetaTrader 5

In this article we demonstrate how Hidden Markov Models trained using Python can be integrated into MetaTrader 5 applications. Hidden Markov Models are a powerful statistical tool used for modeling time series data, where the system being modeled is characterized by unobservable (hidden) states. A fundamental premise of HMMs is that the probability of being in a given state at a particular time depends on the process's state at the previous time slot.

Using optimization algorithms to configure EA parameters on the fly

The article discusses the practical aspects of using optimization algorithms to find the best EA parameters on the fly, as well as virtualization of trading operations and EA logic. The article can be used as an instruction for implementing optimization algorithms into an EA.

MQL5 Wizard Techniques you should know (Part 22): Conditional GANs

Generative Adversarial Networks are a pairing of Neural Networks that train off of each other for more accurate results. We adopt the conditional type of these networks as we look to possible application in forecasting Financial time series within an Expert Signal Class.

Population optimization algorithms: Artificial Multi-Social Search Objects (MSO)

This is a continuation of the previous article considering the idea of social groups. The article explores the evolution of social groups using movement and memory algorithms. The results will help to understand the evolution of social systems and apply them in optimization and search for solutions.

Population optimization algorithms: Evolution of Social Groups (ESG)

We will consider the principle of constructing multi-population algorithms. As an example of this type of algorithm, we will have a look at the new custom algorithm - Evolution of Social Groups (ESG). We will analyze the basic concepts, population interaction mechanisms and advantages of this algorithm, as well as examine its performance in optimization problems.

Causal inference in time series classification problems

In this article, we will look at the theory of causal inference using machine learning, as well as the custom approach implementation in Python. Causal inference and causal thinking have their roots in philosophy and psychology and play an important role in our understanding of reality.

Population optimization algorithms: Binary Genetic Algorithm (BGA). Part II

In this article, we will look at the binary genetic algorithm (BGA), which models the natural processes that occur in the genetic material of living things in nature.

Developing an MQL5 RL agent with RestAPI integration (Part 2): MQL5 functions for HTTP interaction with the tic-tac-toe game REST API

In this article we will talk about how MQL5 can interact with Python and FastAPI, using HTTP calls in MQL5 to interact with the tic-tac-toe game in Python. The article discusses the creation of an API using FastAPI for this integration and provides a test script in MQL5, highlighting the versatility of MQL5, the simplicity of Python, and the effectiveness of FastAPI in connecting different technologies to create innovative solutions.

Algorithmic Trading With MetaTrader 5 And R For Beginners

Embark on a compelling exploration where financial analysis meets algorithmic trading as we unravel the art of seamlessly uniting R and MetaTrader 5. This article is your guide to bridging the realms of analytical finesse in R with the formidable trading capabilities of MetaTrader 5.

Population optimization algorithms: Changing shape, shifting probability distributions and testing on Smart Cephalopod (SC)

The article examines the impact of changing the shape of probability distributions on the performance of optimization algorithms. We will conduct experiments using the Smart Cephalopod (SC) test algorithm to evaluate the efficiency of various probability distributions in the context of optimization problems.

Developing an MQL5 Reinforcement Learning agent with RestAPI integration (Part 1): How to use RestAPIs in MQL5

In this article we will talk about the importance of APIs (Application Programming Interface) for interaction between different applications and software systems. We will see the role of APIs in simplifying interactions between applications, allowing them to efficiently share data and functionality.

Classification models in the Scikit-Learn library and their export to ONNX

In this article, we will explore the application of all classification models available in the Scikit-Learn library to solve the classification task of Fisher's Iris dataset. We will attempt to convert these models into ONNX format and utilize the resulting models in MQL5 programs. Additionally, we will compare the accuracy of the original models with their ONNX versions on the full Iris dataset.

Developing an MQTT client for MetaTrader 5: a TDD approach — Final

This article is the last part of a series describing our development steps of a native MQL5 client for the MQTT 5.0 protocol. Although the library is not production-ready yet, in this part, we will use our client to update a custom symbol with ticks (or rates) sourced from another broker. Please, see the bottom of this article for more information about the library's current status, what is missing for it to be fully compliant with the MQTT 5.0 protocol, a possible roadmap, and how to follow and contribute to its development.

Population optimization algorithms: Charged System Search (CSS) algorithm

In this article, we will consider another optimization algorithm inspired by inanimate nature - Charged System Search (CSS) algorithm. The purpose of this article is to present a new optimization algorithm based on the principles of physics and mechanics.

WebSockets for MetaTrader 5 — Using the Windows API

In this article, we will use the WinHttp.dll to create a WebSocket client for MetaTrader 5 programs. The client will ultimately be implemented as a class and also tested against the Deriv.com WebSocket API.

Integrating ML models with the Strategy Tester (Conclusion): Implementing a regression model for price prediction

This article describes the implementation of a regression model based on a decision tree. The model should predict prices of financial assets. We have already prepared the data, trained and evaluated the model, as well as adjusted and optimized it. However, it is important to note that this model is intended for study purposes only and should not be used in real trading.

Cross-validation and basics of causal inference in CatBoost models, export to ONNX format

The article proposes the method of creating bots using machine learning.

Developing an MQTT client for Metatrader 5: a TDD approach — Part 6

This article is the sixth part of a series describing our development steps of a native MQL5 client for the MQTT 5.0 protocol. In this part we comment on the main changes in our first refactoring, how we arrived at a viable blueprint for our packet-building classes, how we are building PUBLISH and PUBACK packets, and the semantics behind the PUBACK Reason Codes.

Modified Grid-Hedge EA in MQL5 (Part III): Optimizing Simple Hedge Strategy (I)

In this third part, we revisit the Simple Hedge and Simple Grid Expert Advisors (EAs) developed earlier. Our focus shifts to refining the Simple Hedge EA through mathematical analysis and a brute force approach, aiming for optimal strategy usage. This article delves deep into the mathematical optimization of the strategy, setting the stage for future exploration of coding-based optimization in later installments.

Working with ONNX models in float16 and float8 formats

Data formats used to represent machine learning models play a crucial role in their effectiveness. In recent years, several new types of data have emerged, specifically designed for working with deep learning models. In this article, we will focus on two new data formats that have become widely adopted in modern models.

Developing an MQTT client for Metatrader 5: a TDD approach — Part 4

This article is the fourth part of a series describing our development steps of a native MQL5 client for the MQTT protocol. In this part, we describe what MQTT v5.0 Properties are, their semantics, how we are reading some of them, and provide a brief example of how Properties can be used to extend the protocol.

DRAKON visual programming language — communication tool for MQL developers and customers

DRAKON is a visual programming language designed to simplify interaction between specialists from different fields (biologists, physicists, engineers...) with programmers in Russian space projects (for example, in the Buran reusable spacecraft project). In this article, I will talk about how DRAKON makes the creation of algorithms accessible and intuitive, even if you have never encountered code, and also how it is easier for customers to explain their thoughts when ordering trading robots, and for programmers to make fewer mistakes in complex functions.

Developing an MQTT client for Metatrader 5: a TDD approach — Part 5

This article is the fifth part of a series describing our development steps of a native MQL5 client for the MQTT 5.0 protocol. In this part we describe the structure of PUBLISH packets, how we are setting their Publish Flags, encoding Topic Name(s) strings, and setting Packet Identifier(s) when required.

Implementation of the Augmented Dickey Fuller test in MQL5

In this article we demonstrate the implementation of the Augmented Dickey-Fuller test, and apply it to conduct cointegration tests using the Engle-Granger method.

Market Reactions and Trading Strategies in Response to Dividend Announcements: Evaluating the Efficient Market Hypothesis in Stock Trading

In this article, we will analyse the impact of dividend announcements on stock market returns and see how investors can earn more returns than those offered by the market when they expect a company to announce dividends. In doing so, we will also check the validity of the Efficient Market Hypothesis in the context of the Indian Stock Market.

Combinatorially Symmetric Cross Validation In MQL5

In this article we present the implementation of Combinatorially Symmetric Cross Validation in pure MQL5, to measure the degree to which a overfitting may occure after optimizing a strategy using the slow complete algorithm of the Strategy Tester.

The case for using Hospital-Performance Data with Perceptrons, this Q4, in weighing SPDR XLV's next Performance

XLV is SPDR healthcare ETF and in an age where it is common to be bombarded by a wide array of traditional news items plus social media feeds, it can be pressing to select a data set for use with a model. We try to tackle this problem for this ETF by sizing up some of its critical data sets in MQL5.

Regression models of the Scikit-learn Library and their export to ONNX

In this article, we will explore the application of regression models from the Scikit-learn package, attempt to convert them into ONNX format, and use the resultant models within MQL5 programs. Additionally, we will compare the accuracy of the original models with their ONNX versions for both float and double precision. Furthermore, we will examine the ONNX representation of regression models, aiming to provide a better understanding of their internal structure and operational principles.

Mastering ONNX: The Game-Changer for MQL5 Traders

Dive into the world of ONNX, the powerful open-standard format for exchanging machine learning models. Discover how leveraging ONNX can revolutionize algorithmic trading in MQL5, allowing traders to seamlessly integrate cutting-edge AI models and elevate their strategies to new heights. Uncover the secrets to cross-platform compatibility and learn how to unlock the full potential of ONNX in your MQL5 trading endeavors. Elevate your trading game with this comprehensive guide to Mastering ONNX

Developing an MQTT client for MetaTrader 5: a TDD approach — Part 3

This article is the third part of a series describing our development steps of a native MQL5 client for the MQTT protocol. In this part, we describe in detail how we are using Test-Driven Development to implement the Operational Behavior part of the CONNECT/CONNACK packet exchange. At the end of this step, our client MUST be able to behave appropriately when dealing with any of the possible server outcomes from a connection attempt.

Neural networks made easy (Part 37): Sparse Attention

In the previous article, we discussed relational models which use attention mechanisms in their architecture. One of the specific features of these models is the intensive utilization of computing resources. In this article, we will consider one of the mechanisms for reducing the number of computational operations inside the Self-Attention block. This will increase the general performance of the model.

OpenAI's ChatGPT features within the framework of MQL4 and MQL5 development

In this article, we will fiddle around ChatGPT from OpenAI in order to understand its capabilities in terms of reducing the time and labor intensity of developing Expert Advisors, indicators and scripts. I will quickly navigate you through this technology and try to show you how to use it correctly for programming in MQL4 and MQL5.

Developing an MQTT client for MetaTrader 5: a TDD approach — Part 2

This article is part of a series describing our development steps of a native MQL5 client for the MQTT protocol. In this part we describe our code organization, the first header files and classes, and how we are writing our tests. This article also includes brief notes about the Test-Driven-Development practice and how we are applying it to this project.

Improve Your Trading Charts With Interactive GUI's in MQL5 (Part I): Movable GUI (I)

Unleash the power of dynamic data representation in your trading strategies or utilities with our comprehensive guide on creating movable GUI in MQL5. Dive into the core concept of chart events and learn how to design and implement simple and multiple movable GUI on the same chart. This article also explores the process of adding elements to your GUI, enhancing their functionality and aesthetic appeal.

Category Theory in MQL5 (Part 14): Functors with Linear-Orders

This article which is part of a broader series on Category Theory implementation in MQL5, delves into Functors. We examine how a Linear Order can be mapped to a set, thanks to Functors; by considering two sets of data that one would typically dismiss as having any connection.

Developing a Replay System — Market simulation (Part 02): First experiments (II)

This time, let's try a different approach to achieve the 1 minute goal. However, this task is not as simple as one might think.

Developing a Replay System — Market simulation (Part 01): First experiments (I)

How about creating a system that would allow us to study the market when it is closed or even to simulate market situations? Here we are going to start a new series of articles in which we will deal with this topic.

Improve Your Trading Charts With Interactive GUI's in MQL5 (Part II): Movable GUI (II)

Unlock the potential of dynamic data representation in your trading strategies and utilities with our in-depth guide to creating movable GUIs in MQL5. Delve into the fundamental principles of object-oriented programming and discover how to design and implement single or multiple movable GUIs on the same chart with ease and efficiency.

Developing an MQTT client for MetaTrader 5: a TDD approach

This article reports the first attempts in the development of a native MQTT client for MQL5. MQTT is a Client Server publish/subscribe messaging transport protocol. It is lightweight, open, simple, and designed to be easy to implement. These characteristics make it ideal for use in many situations.