This article describes the use of CSV files for backtesting portfolio weights updates in a mean-reversion-based strategy that uses statistical arbitrage through cointegrated stocks. It goes from feeding the database with the results of a Rolling Windows Eigenvector Comparison (RWEC) to comparing the backtest reports. In the meantime, the article details the role of each RWEC parameter and its impact in the overall backtest result, showing how the comparison of the relative drawdown can help us to further improve those parameters.
In this article, we build a correlation matrix dashboard in MQL5 to compute asset relationships using Pearson, Spearman, and Kendall methods over a set timeframe and bars. The system offers standard mode with color thresholds and p-value stars, plus heatmap mode with gradient visuals for correlation strengths. It includes an interactive UI with timeframe selectors, mode toggles, and a dynamic legend for efficient analysis of symbol interdependencies.
In this article, we enhance the correlation matrix dashboard in MQL5 with interactive features like panel dragging, minimizing/maximizing, hover effects on buttons and timeframes, and mouse event handling for improved user experience. We add sorting of symbols by average correlation strength in ascending/descending modes, toggle between correlation and p-value views, and incorporate light/dark theme switching with dynamic color updates.
This article explores the development of an ensemble algorithmic trading strategy for the EURUSD market that combines the Bollinger Bands and the Relative Strength Indicator (RSI). Initial rule-based strategies produced high-quality signals but suffered from low trade frequency and limited profitability. Multiple iterations of the strategy were evaluated, revealing flaws in our understanding of the market, increased noise, and degraded performance. By appropriately employing statistical learning algorithms, shifting the modeling target to technical indicators, applying proper scaling, and combining machine learning forecasts with classical trading rules, the final strategy achieved significantly improved profitability and trade frequency while maintaining acceptable signal quality.
This article presents the Chow test for detecting structural breaks in pair relationships and the application of the Cumulative Sum of Squares - CUSUM - for structural breaks monitoring and early detection. The article uses the Nvidia/Intel partnership announcement and the US Gov foreign trade tariff announcement as examples of slope inversion and intercept shift, respectively. Python scripts for all the tests are provided.
Adaptation of the classical CAPM model for the Forex currency market in MQL5. The indicator calculates expected return and risk premium based on historical volatility. The indicators rise at peaks and bottoms, reflecting the fundamental principles of pricing. Practical application for counter-trend and trend-following strategies, taking into account the dynamics of the risk-reward ratio in real time. The article includes mathematical apparatus and technical implementation.
Let's try mining CFTC data, downloading COT and TFF reports via Python, connecting all this with MetaTrader 5 quotes and an AI model, and get forecasts. What are COT reports in the Forex market? How to use COT and TFF reports for forecasting?
This article tests three common filters on a standard MACD crossover for US_TECH100 H1 using five years of broker-native data. Filters are layered incrementally: regime, higher timeframe (HTF) alignment, and US session timing, to isolate each one's marginal impact. Results show session timing contributes far more than indicator refinements, while regime and HTF add little on their own. Includes a reproducible MQL5 regime classifier.
A backtest shows only one path among many possible outcomes. This MQL5 script performs 1000 bootstrap Monte Carlo resamples of a trade P&L series, draws a percentile fan chart on the chart via CCanvas, and reports probability of ruin, value at risk, and 95th‑percentile worst drawdown. The result is a practical view of path risk and drawdown exposure beyond a single equity curve.
Our next focus in these series on ideas that can be rapidly prototyped with the MQL5 Wizard, is a Custom Trailing class that uses the Blooming Filter. Trailing Stop systems are an optional but very resourceful part to any trading system that we want to explore more in these series besides the traditional Entry Signals.
The article presents a minimal working set for maintaining a trading journal in MQL5 using SQLite: a table structure for trades, signals, and events, indices, prepared statements and trades, as well as standard analytical SQL queries. Integration with the statistics dashboard in MetaTrader 5 and working with the database via MetaEditor are demonstrated. The approach allows automating the journal, accelerating calculations, and performing analysis without complicating the EA code.
This article delivers a production-grade MQL5 implementation of fixed-width fractional differentiation for live MetaTrader 5 feeds. We introduce a header-only CFFDEngine that precomputes weights without a fixed cap, performs O(width) per-bar updates, and avoids per-tick allocations. The FFD.mq5 indicator supports all ENUM_APPLIED_PRICE types and prev_calculated optimization. Validation scripts confirm numerical equivalence with the standard Python frac diff_ffd pipeline.
This article presents an MQL5 implementation of AutoARIMA that builds ARIMA models without manual tuning. It estimates d via a variance-based heuristic, fits ARMA(p,q) by gradient optimization with Adam, and selects p and q using AICc. The code returns a one-step-ahead price forecast by differencing, model estimation, and integration back to price level, ready to call on a Close series.
The article presents a systematic approach to news trading in MetaTrader 5 using the built-in economic calendar: data structure, API functions, time synchronization rules, and event filtering. Methods of caching and incremental updating without overloading the server are described. The article also provides a working mechanism for exporting history to an .EX5 resource for deterministic testing using the same algorithm.
