Articles on algorithmic/automated trading in MetaTrader and MQL4/MQL5 programming

Neural networks made easy (Part 38): Self-Supervised Exploration via Disagreement

One of the key problems within reinforcement learning is environmental exploration. Previously, we have already seen the research method based on Intrinsic Curiosity. Today I propose to look at another algorithm: Exploration via Disagreement.

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.

Category Theory in MQL5 (Part 21): Natural Transformations with LDA

This article, the 21st in our series, continues with a look at Natural Transformations and how they can be implemented using linear discriminant analysis. We present applications of this in a signal class format, like in the previous article.

Estimate future performance with confidence intervals

In this article we delve into the application of boostrapping techniques as a means to estimate the future performance of an automated strategy.

Evaluating ONNX models using regression metrics

Regression is a task of predicting a real value from an unlabeled example. The so-called regression metrics are used to assess the accuracy of regression model predictions.

Category Theory in MQL5 (Part 20): A detour to Self-Attention and the Transformer

We digress in our series by pondering at part of the algorithm to chatGPT. Are there any similarities or concepts borrowed from natural transformations? We attempt to answer these and other questions in a fun piece, with our code in a signal class format.

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.

Data label for timeseries mining (Part 2)：Make datasets with trend markers using Python

This series of articles introduces several time series labeling methods, which can create data that meets most artificial intelligence models, and targeted data labeling according to needs can make the trained artificial intelligence model more in line with the expected design, improve the accuracy of our model, and even help the model make a qualitative leap!

Developing a Replay System — Market simulation (Part 06): First improvements (I)

In this article, we will begin to stabilize the entire system, without which we might not be able to proceed to the next steps.

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.

Elastic net regression using coordinate descent in MQL5

In this article we explore the practical implementation of elastic net regression to minimize overfitting and at the same time automatically separate useful predictors from those that have little prognostic power.

Understanding order placement in MQL5

When creating any trading system, there is a task we need to deal with effectively. This task is order placement or to let the created trading system deal with orders automatically because it is crucial in any trading system. So, you will find in this article most of the topics that you need to understand about this task to create your trading system in terms of order placement effectively.

Category Theory in MQL5 (Part 19): Naturality Square Induction

We continue our look at natural transformations by considering naturality square induction. Slight restraints on multicurrency implementation for experts assembled with the MQL5 wizard mean we are showcasing our data classification abilities with a script. Principle applications considered are price change classification and thus its forecasting.

Data label for time series mining(Part 1)：Make a dataset with trend markers through the EA operation chart

This series of articles introduces several time series labeling methods, which can create data that meets most artificial intelligence models, and targeted data labeling according to needs can make the trained artificial intelligence model more in line with the expected design, improve the accuracy of our model, and even help the model make a qualitative leap!

How to create a simple Multi-Currency Expert Advisor using MQL5 (Part 1): Indicator Signals based on ADX in combination with Parabolic SAR

The Multi-Currency Expert Advisor in this article is Expert Advisor or trading robot that can trade (open orders, close orders and manage orders an more) for more than 1 symbol pair only from one symbol chart.

DoEasy. Controls (Part 32): Horizontal ScrollBar, mouse wheel scrolling

In the article, we will complete the development of the horizontal scrollbar object functionality. We will also make it possible to scroll the contents of the container by moving the scrollbar slider and rotating the mouse wheel, as well as make additions to the library, taking into account the new order execution policy and new runtime error codes in MQL5.

Category Theory in MQL5 (Part 18): Naturality Square

This article continues our series into category theory by introducing natural transformations, a key pillar within the subject. We look at the seemingly complex definition, then delve into examples and applications with this series’ ‘bread and butter’; volatility forecasting.

Monte Carlo Permutation Tests in MetaTrader 5

In this article we take a look at how we can conduct permutation tests based on shuffled tick data on any expert advisor using only Metatrader 5.

Developing a Replay System — Market simulation (Part 05): Adding Previews

We have managed to develop a way to implement the market replay system in a realistic and accessible way. Now let's continue our project and add data to improve the replay behavior.

Wrapping ONNX models in classes

Object-oriented programming enables creation of a more compact code that is easy to read and modify. Here we will have a look at the example for three ONNX models.

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.

Testing different Moving Average types to see how insightful they are

We all know the importance of the Moving Average indicator for a lot of traders. There are other Moving average types that can be useful in trading, we will identify these types in this article and make a simple comparison between each one of them and the most popular simple Moving average type to see which one can show the best results.

Category Theory in MQL5 (Part 17): Functors and Monoids

This article, the final in our series to tackle functors as a subject, revisits monoids as a category. Monoids which we have already introduced in these series are used here to aid in position sizing, together with multi-layer perceptrons.

Category Theory in MQL5 (Part 16): Functors with Multi-Layer Perceptrons

This article, the 16th in our series, continues with a look at Functors and how they can be implemented using artificial neural networks. We depart from our approach so far in the series, that has involved forecasting volatility and try to implement a custom signal class for setting position entry and exit signals.

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

Join us in Part III of the "Improve Your Trading Charts With Interactive GUIs in MQL5" series as we explore the integration of interactive GUIs into movable trading dashboards in MQL5. This article builds on the foundations set in Parts I and II, guiding readers to transform static trading dashboards into dynamic, movable ones.

The RSI Deep Three Move Trading Technique

Presenting the RSI Deep Three Move Trading Technique in MetaTrader 5. This article is based on a new series of studies that showcase a few trading techniques based on the RSI, a technical analysis indicator used to measure the strength and momentum of a security, such as a stock, currency, or commodity.

Developing a Replay System — Market simulation (Part 04): adjusting the settings (II)

Let's continue creating the system and controls. Without the ability to control the service, it is difficult to move forward and improve the system.

Everything you need to learn about the MQL5 program structure

Any Program in any programming language has a specific structure. In this article, you will learn essential parts of the MQL5 program structure by understanding the programming basics of every part of the MQL5 program structure that can be very helpful when creating our MQL5 trading system or trading tool that can be executable in the MetaTrader 5.

Trading strategy based on the improved Doji candlestick pattern recognition indicator

The metabar-based indicator detected more candles than the conventional one. Let's check if this provides real benefit in the automated trading.

Category Theory in MQL5 (Part 15) : Functors with Graphs

This article on Category Theory implementation in MQL5, continues the series by looking at Functors but this time as a bridge between Graphs and a set. We revisit calendar data, and despite its limitations in Strategy Tester use, make the case using functors in forecasting volatility with the help of correlation.

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.

Cycle analysis using the Goertzel algorithm

In this article we present code utilities that implement the goertzel algorithm in Mql5 and explore two ways in which the technique can be used in the analysis of price quotes for possible strategy development.

Developing a Replay System — Market simulation (Part 03): Adjusting the settings (I)

Let's start by clarifying the current situation, because we didn't start in the best way. If we don't do it now, we'll be in trouble soon.

Understanding functions in MQL5 with applications

Functions are critical things in any programming language, it helps developers apply the concept of (DRY) which means do not repeat yourself, and many other benefits. In this article, you will find much more information about functions and how we can create our own functions in MQL5 with simple applications that can be used or called in any system you have to enrich your trading system without complicating things.

Category Theory in MQL5 (Part 13): Calendar Events with Database Schemas

This article, that follows Category Theory implementation of Orders in MQL5, considers how database schemas can be incorporated for classification in MQL5. We take an introductory look at how database schema concepts could be married with category theory when identifying trade relevant text(string) information. Calendar events are the focus.

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.

Revisiting an Old Trend Trading Strategy: Two Stochastic oscillators, a MA and Fibonacci

Old trading strategies. This article presents one of the strategies used to follow the trend in a purely technical way. The strategy is purely technical and uses a few technical indicators and tools to deliver signals and targets. The components of the strategy are as follows: A 14-period stochastic oscillator. A 5-period stochastic oscillator. A 200-period moving average. A Fibonacci projection tool (for target setting).

Creating Graphical Panels Became Easy in MQL5

In this article, we will provide a simple and easy guide to anyone who needs to create one of the most valuable and helpful tools in trading which is the graphical panel to simplify and ease doing tasks around trading which helps to save time and focus more on your trading process itself without any distractions.

MQL5 — You too can become a master of this language

This article will be a kind of interview with myself, in which I will tell you how I took my first steps in the MQL5 language. I will show you how you can become a great MQL5 programmer. I will explain the necessary bases for you to achieve this feat. The only prerequisite is a willingness to learn.

MQL4 and MQL5 Programming Articles