Algorithmic Trading Articles for Statistics and analysis

Trading in financial markets is associated with a whole range of risks that should be taken into account in the algorithms of trading systems. Reducing such risks is the most important task to make a profit when trading.

Applying the Monte Carlo method for optimizing trading strategies

Before launching a robot on a trading account, we usually test and optimize it on quotes history. However, a reasonable question arises: how can past results help us in the future? The article describes applying the Monte Carlo method to construct custom criteria for trading strategy optimization. In addition, the EA stability criteria are considered.

This article deals with the theory and practical application of the algorithm for forecasting time series, based on support-vector method. It also proposes its implementation in MQL and provides test indicators and Expert Advisors. This technology has not been implemented in MQL yet. But first, we have to get to know math for it.

This article deals with the theory and practical use of the algorithm for forecasting time series, based on the empirical decomposition mode. It proposes the MQL implementation of this method and presents test indicators and Expert Advisors.

The article deals with the approaches enabling accurate simulation of walk forward optimization using the built-in tester and auxiliary libraries implemented in MQL.

The Easy Way to Evaluate a Signal: Trading Activity, Drawdown/Load and MFE/MAE Distribution Charts

Subscribers often search for an appropriate signal by analyzing the total growth on the signal provider's account, which is not a bad idea. However, it is also important to analyze potential risks of a particular trading strategy. In this article we will show a simple and efficient way to evaluate a Trading Signal based on its performance values.

The MQL5.com website remembers all of you quite well! How many of your threads are epic, how popular your articles are and how often your programs in the Code Base are downloaded – this is only a small part of what is remembered at MQL5.com. Your achievements are available in your profile, but what about the overall picture? In this article we will show the general picture of all MQL5.community members achievements.

Optimizing a strategy using balance graph and comparing results with "Balance + max Sharpe Ratio" criterion

In this article, we consider yet another custom trading strategy optimization criterion based on the balance graph analysis. The linear regression is calculated using the function from the ALGLIB library.

One year has passed since the launch of sales in MQL5 Market. It was a year of hard work, which turned the new service into the largest store of trading robots and technical indicators for MetaTrader 5 platform.

In this article, we will consider combining the lists of bar objects for each used symbol period into a single symbol timeseries object. Thus, each symbol will have an object storing the lists of all used symbol timeseries periods.

Limitless Opportunities with MetaTrader 5 and MQL5

In this article, I would like to give an example of what a trader's program can be like as well as what results can be achieved in 9 months, having started to learn MQL5 from scratch. This example will also show how multi-functional and informative such a program can be for a trader while taking minimum space on the price chart. And we will be able to see just how colorful, bright and intuitively clear to the user trade information panels can get. As well as many other features...

Creating Custom Criteria of Optimization of Expert Advisors

The MetaTrader 5 Client Terminal offers a wide range of opportunities for optimization of Expert Advisor parameters. In addition to the optimization criteria included in the strategy tester, developers are given the opportunity of creating their own criteria. This leads to an almost limitless number of possibilities of testing and optimizing of Expert Advisors. The article describes practical ways of creating such criteria - both complex and simple ones.

Continuous Walk-Forward Optimization (Part 2): Mechanism for creating an optimization report for any robot

The first article within the Walk-Through Optimization series described the creation of a DLL to be used in our auto optimizer. This continuation is entirely devoted to the MQL5 language.

In this article, we will create a new base class of all library objects adding the event functionality to all its descendants and develop the class for tracking symbol collection events based on the new base class. We will also change account and account event classes for developing the new base object functionality.

This article starts a new series about the creation of the DoEasy library for easy and fast program development. In the current article, we will implement the library functionality for accessing and working with symbol timeseries data. We are going to create the Bar object storing the main and extended timeseries bar data, and place bar objects to the timeseries list for convenient search and sorting of the objects.

In this article, we will complete the description of the pending request trading concept and create the functionality for removing pending orders, as well as modifying orders and positions under certain conditions. Thus, we are going to have the entire functionality enabling us to develop simple custom strategies, or rather EA behavior logic activated upon user-defined conditions.

We continue the development of the functionality allowing users to trade using pending requests. In this article, we are going to implement the ability to place pending orders under certain conditions.

We continue the development of the library functionality featuring trading using pending requests. We have already implemented sending conditional trading requests for opening positions and placing pending orders. In the current article, we will implement conditional position closure – full, partial and closing by an opposite position.

Starting with this article, we are going to develop a functionality allowing users to trade using pending requests under certain conditions, for example, when reaching a certain time limit, exceeding a specified profit or closing a position by stop loss.

In the previous article, we have created the classes of pending request objects corresponding to the general concept of library objects. This time, we are going to deal with the class allowing the management of pending request objects.

In the previous articles, we checked the concept of pending trading requests. A pending request is, in fact, a common trading order executed by a certain condition. In this article, we are going to create full-fledged classes of pending request objects — a base request object and its descendants.

This is the third article about the concept of pending requests. We are going to complete the tests of pending trading requests by creating the methods for closing positions, removing pending orders and modifying position and pending order parameters.

In this article, we will continue the development of trading requests, implement placing pending orders and eliminate detected shortcomings of the trading class operation.

In this article, we are going to store some data in the value of the orders and positions magic number and start the implementation of pending requests. To check the concept, let's create the first test pending request for opening market positions when receiving a server error requiring waiting and sending a repeated request.

After we send a trading order to the server, we need to check the error codes or the absence of errors. In this article, we will consider handling errors returned by the trade server and prepare for creating pending trading requests.

In this article, we will have a look at the handler of invalid trading order parameters and improve the trading event class. Now all trading events (both single ones and the ones occurred simultaneously within one tick) will be defined in programs correctly.

In the article, we continue the development of the trading class by implementing the control over incorrect trading order parameter values and voicing trading events.

In this article, we will start the development of the library base trading class and add the initial verification of permissions to conduct trading operations to its first version. Besides, we will slightly expand the features and content of the base trading class.

In this article, we will start the development of the new library section - trading classes. Besides, we will consider the development of a unified base trading object for MetaTrader 5 and MetaTrader 4 platforms. When sending a request to the server, such a trading object implies that verified and correct trading request parameters are passed to it.

The article deals with storing data in the program's source code and creating audio and graphical files out of them. When developing an application, we often need audio and images. The MQL language features several methods of using such data.

In this article, we will consider the class of displaying text messages. Currently, we have a sufficient number of different text messages. It is time to re-arrange the methods of their storage, display and translation of Russian or English messages to other languages. Besides, it would be good to introduce convenient ways of adding new languages to the library and quickly switching between them.

How to create 3D graphics using DirectX in MetaTrader 5

3D graphics provide excellent means for analyzing huge amounts of data as they enable the visualization of hidden patterns. These tasks can be solved directly in MQL5, while DireсtX functions allow creating three-dimensional object. Thus, it is even possible to create programs of any complexity, even 3D games for MetaTrader 5. Start learning 3D graphics by drawing simple three-dimensional shapes.

Applying OLAP in trading (part 3): Analyzing quotes for the development of trading strategies

In this article we will continue dealing with the OLAP technology applied to trading. We will expand the functionality presented in the first two articles. This time we will consider the operational analysis of quotes. We will put forward and test the hypotheses on trading strategies based on aggregated historical data. The article presents Expert Advisors for studying bar patterns and adaptive trading.

In this article, we will discuss the idea of creating a multicurrency monitor of trading signals and will develop a future application structure along with its prototype, as well as create its framework for further operation. The article presents a step-by-step creation of a flexible multicurrency application which will enable the generation of trading signals and which will assist traders in finding the desired signals.

Continuous Walk-Forward Optimization (Part 3): Adapting a Robot to Auto Optimizer

The third part serves as a bridge between the previous two parts: it describes the mechanism of interaction with the DLL considered in the first article and the objects for report downloading, which were described in the second article. We will analyze the process of wrapper creation for a class which is imported from DLL and which forms an XML file with the trading history. We will also consider a method for interacting with this wrapper.

Artificial intelligence is often associated with something fantastically complex and incomprehensible. At the same time, artificial intelligence is increasingly mentioned in everyday life. News about achievements related to the use of neural networks often appear in different media. The purpose of this article is to show that anyone can easily create a neural network and use the AI achievements in trading.

SQLite: Native handling of SQL databases in MQL5

The development of trading strategies is associated with handling large amounts of data. Now, you are able to work with databases using SQL queries based on SQLite directly in MQL5. An important feature of this engine is that the entire database is placed in a single file located on a user's PC.

The article describes a preprocessor, a scanner, and a parser to be used in parsing the MQL-based source codes. MQL implementation is attached.

In this article we will view seasonal characteristics of financial time series using Boxplot diagrams. Each separate boxplot (or box-and-whiskey diagram) provides a good visualization of how values are distributed along the dataset. Boxplots should not be confused with the candlestick charts, although they can be visually similar.

Continuous Walk-Forward Optimization (Part 1): Working with Optimization Reports

The first article is devoted to the creation of a toolkit for working with optimization reports, for importing them from the terminal, as well as for filtering and sorting the obtained data. MetaTrader 5 allows downloading optimization results, however our purpose is to add our own data to the optimization report.

How to reduce trader's risks

Applying the Monte Carlo method for optimizing trading strategies

Forecasting Time Series (Part 2): Least-Square Support-Vector Machine (LS-SVM)

Forecasting Time Series (Part 1): Empirical Mode Decomposition (EMD) Method

Custom Walk Forward optimization in MetaTrader 5

The Easy Way to Evaluate a Signal: Trading Activity, Drawdown/Load and MFE/MAE Distribution Charts

Who Is Who in MQL5.community?

Optimizing a strategy using balance graph and comparing results with "Balance + max Sharpe Ratio" criterion

MQL5 Market Turns One Year Old

Timeseries in DoEasy library (part 36): Object of timeseries for all used symbol periods

Limitless Opportunities with MetaTrader 5 and MQL5

Creating Custom Criteria of Optimization of Expert Advisors

Continuous Walk-Forward Optimization (Part 2): Mechanism for creating an optimization report for any robot

Library for easy and quick development of MetaTrader programs (part XVI): Symbol collection events

Timeseries in DoEasy library (part 35): Bar object and symbol timeseries list

Library for easy and quick development of MetaTrader programs (part XXXIV): Pending trading requests - removing and modifying orders and positions under certain conditions

Library for easy and quick development of MetaTrader programs (part XXXII): Pending trading requests - placing orders under certain conditions

Library for easy and quick development of MetaTrader programs (part XXXIII): Pending trading requests - closing positions under certain conditions

Library for easy and quick development of MetaTrader programs (part XXXI): Pending trading requests - opening positions under certain conditions

Library for easy and quick development of MetaTrader programs (part XXX): Pending trading requests - managing request objects

Library for easy and quick development of MetaTrader programs (part XXIX): Pending trading requests - request object classes

Library for easy and quick development of MetaTrader programs (part XXVIII): Closure, removal and modification of pending trading requests

Library for easy and quick development of MetaTrader programs (part XXVII): Working with trading requests - placing pending orders

Library for easy and quick development of MetaTrader programs (part XXVI): Working with pending trading requests - first implementation (opening positions)

Library for easy and quick development of MetaTrader programs (part XXV): Handling errors returned by the trade server

Library for easy and quick development of MetaTrader programs (part XXIV): Base trading class - auto correction of invalid parameters

Library for easy and quick development of MetaTrader programs (part XXIII): Base trading class - verification of valid parameters

Library for easy and quick development of MetaTrader programs (part XXII): Trading classes - Base trading class, verification of limitations

Library for easy and quick development of MetaTrader programs (part XXI): Trading classes - Base cross-platform trading object

Library for easy and quick development of MetaTrader programs (part XX): Creating and storing program resources

Library for easy and quick development of MetaTrader programs (part XIX): Class of library messages

How to create 3D graphics using DirectX in MetaTrader 5

Applying OLAP in trading (part 3): Analyzing quotes for the development of trading strategies

Multicurrency monitoring of trading signals (Part 1): Developing the application structure

Continuous Walk-Forward Optimization (Part 3): Adapting a Robot to Auto Optimizer

Neural Networks Made Easy

SQLite: Native handling of SQL databases in MQL5

MQL Parsing by Means of MQL

Exploring Seasonal Patterns of Financial Time Series with Boxplot

Continuous Walk-Forward Optimization (Part 1): Working with Optimization Reports