Algorithmic Trading Articles for Statistics and analysis

Category Theory in MQL5 (Part 12): Orders

This article which is part of a series that follows Category Theory implementation of Graphs in MQL5, delves in Orders. We examine how concepts of Order-Theory can support monoid sets in informing trade decisions by considering two major ordering types.

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.

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.

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.

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 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.

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.

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.

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 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.

Rebuy algorithm: Math model for increasing efficiency

In this article, we will use the rebuy algorithm for a deeper understanding of the efficiency of trading systems and start working on the general principles of improving trading efficiency using mathematics and logic, as well as apply the most non-standard methods of increasing efficiency in terms of using absolutely any trading system.

Timeseries in DoEasy library (part 49): Multi-period multi-symbol multi-buffer standard indicators

In the current article, I will improve the library classes to implement the ability to develop multi-symbol multi-period standard indicators requiring several indicator buffers to display their data.

Timeseries in DoEasy library (part 50): Multi-period multi-symbol standard indicators with a shift

In the article, let’s improve library methods for correct display of multi-symbol multi-period standard indicators, which lines are displayed on the current symbol chart with a shift set in the settings. As well, let’s put things in order in methods of work with standard indicators and remove the redundant code to the library area in the final indicator program.

The article considers an example of creating multi-symbol multi-period standard indicators using a single indicator buffer for construction and working in the indicator subwindow. I am going to prepare the library classes for working with standard indicators working in the program main window and having more than one buffer for displaying their data.

In this article, I will start developing the methods of working with standard indicators, which will ultimately allow creating multi-symbol multi-period standard indicators based on library classes. Besides, I will add the "Skipped bars" event to the timeseries classes and eliminate excessive load from the main program code by moving the library preparation functions to CEngine class.

In this article, I am going to improve the classes of indicator buffer objects to work in the multi-symbol mode. This will pave the way for creating multi-symbol multi-period indicators in custom programs. I will add the missing functionality to the calculated buffer objects allowing us to create multi-symbol multi-period standard indicators.

Gary Anderson developed a method of market analysis based on a theory he dubbed the Janus Factor. The theory describes a set of indicators that can be used to reveal trends and assess market risk. In this article we will implement these tools in mql5.

Category Theory (Part 9): Monoid-Actions

This article continues the series on category theory implementation in MQL5. Here we continue monoid-actions as a means of transforming monoids, covered in the previous article, leading to increased applications.

In this article, I will start the improvement of the indicator buffer objects and collection class for working in multi-period and multi-symbol modes. I am going to consider the operation of buffer objects for receiving and displaying data from any timeframe on the current symbol chart.

The article deals with creating a collection class of indicator buffer objects. I am going to test the ability to create and work with any number of buffers for indicators (the maximum number of buffers that can be created in MQL indicators is 512).

The article considers the development of indicator buffer object classes as descendants of the abstract buffer object simplifying declaration and working with indicator buffers, while creating custom indicator programs based on DoEasy library.

In this article, we start the development of the indicator buffer classes for the DoEasy library. We will create the base class of the abstract buffer which is to be used as a foundation for the development of different class types of indicator buffers.

In the article, we will consider a sample multi-symbol multi-period indicator using the timeseries classes of the DoEasy library displaying the chart of a selected currency pair on a selected timeframe as candles in a subwindow. I am going to modify the library classes a bit and create a separate file for storing enumerations for program inputs and selecting a compilation language.

The article deals with applying DoEasy library for creating multi-symbol multi-period indicators. We are going to prepare the library classes to work within indicators and test creating timeseries to be used as data sources in indicators. We will also implement creating and sending timeseries events.

Frequency domain representations of time series: The Power Spectrum

In this article we discuss methods related to the analysis of timeseries in the frequency domain. Emphasizing the utility of examining the power spectra of time series when building predictive models. In this article we will discuss some of the useful perspectives to be gained by analyzing time series in the frequency domain using the discrete fourier transform (dft).

Machine learning has become a popular method for strategy development. Whilst there has been more emphasis on maximizing profitability and prediction accuracy , the importance of processing the data used to build predictive models has not received a lot of attention. In this article we consider using the concept of entropy to evaluate the appropriateness of indicators to be used in predictive model building as documented in the book Testing and Tuning Market Trading Systems by Timothy Masters.

Category Theory in MQL5 (Part 6): Monomorphic Pull-Backs and Epimorphic Push-Outs

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.

Category Theory in MQL5 (Part 12): Orders

Rebuy algorithm: Multicurrency trading simulation

Category Theory in MQL5 (Part 11): Graphs

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

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 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

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

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

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

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

Rebuy algorithm: Math model for increasing efficiency

Timeseries in DoEasy library (part 49): Multi-period multi-symbol multi-buffer standard indicators

Timeseries in DoEasy library (part 50): Multi-period multi-symbol standard indicators with a shift

Timeseries in DoEasy library (part 48): Multi-period multi-symbol indicators on one buffer in a subwindow

Timeseries in DoEasy library (part 47): Multi-period multi-symbol standard indicators

Timeseries in DoEasy library (part 46): Multi-period multi-symbol indicator buffers

Implementing the Janus factor in MQL5

Category Theory (Part 9): Monoid-Actions

Timeseries in DoEasy library (part 45): Multi-period indicator buffers

Timeseries in DoEasy library (part 44): Collection class of indicator buffer objects

Timeseries in DoEasy library (part 43): Classes of indicator buffer objects

Timeseries in DoEasy library (part 42): Abstract indicator buffer object class

Timeseries in DoEasy library (part 41): Sample multi-symbol multi-period indicator

Timeseries in DoEasy library (part 39): Library-based indicators - preparing data and timeseries events

Frequency domain representations of time series: The Power Spectrum

Measuring Indicator Information

Category Theory in MQL5 (Part 6): Monomorphic Pull-Backs and Epimorphic Push-Outs