Articles on the MQL5 programming and use of trading robots

Expert Advisors created for the MetaTrader platform perform a variety of functions implemented by their developers. Trading robots can track financial symbols 24 hours a day, copy deals, create and send reports, analyze news and even provide specific custom graphical interface.

The articles describe programming techniques, mathematical ideas for data processing, tips on creating and ordering of trading robots.

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Applying OLAP in trading (part 4): Quantitative and visual analysis of tester reports

The article offers basic tools for the OLAP analysis of tester reports relating to single passes and optimization results. The tool can work with standard format files (tst and opt), and it also

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

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

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

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

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

Econometric approach to finding market patterns: Autocorrelation, Heat Maps and Scatter Plots

The article presents an extended study of seasonal characteristics: autocorrelation heat maps and scatter plots. The purpose of the article is to show that "market memory" is of seasonal nature, which

Building an Expert Advisor using separate modules

When developing indicators, Expert Advisors and scripts, developers often need to create various pieces of code, which are not directly related to the trading strategy. In this article, we consider a

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

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

Library for easy and quick development of MetaTrader programs (part XVIII): Interactivity of account and any other library objects

The article arranges the work of an account object on a new base object of all library objects, improves the CBaseObj base object and tests setting tracked parameters, as well as receiving events for

Developing a cross-platform grid EA (Last part): Diversification as a way to increase profitability

In previous articles within this series, we tried various methods for creating a more or less profitable grid Expert Advisor. Now we will try to increase the EA profitability through diversification

A New Approach to Interpreting Classic and Hidden Divergence. Part II

The article provides a critical examination of regular divergence and efficiency of various indicators. In addition, it contains filtering options for an increased analysis accuracy and features

Developing a cross-platform grider EA (part III): Correction-based grid with martingale

In this article, we will make an attempt to develop the best possible grid-based EA. As usual, this will be a cross-platform EA capable of working both with MetaTrader 4 and MetaTrader 5. The first EA

Developing a cross-platform grider EA (part II): Range-based grid in trend direction

In this article, we will develop a grider EA for trading in a trend direction within a range. Thus, the EA is to be suited mostly for Forex and commodity markets. According to the tests, our grider

Applying OLAP in trading (part 2): Visualizing the interactive multidimensional data analysis results

In this article, we consider the creation of an interactive graphical interface for an MQL program, which is designed for the processing of account history and trading reports using OLAP techniques

Applying OLAP in trading (part 1): Online analysis of multidimensional data

The article describes how to create a framework for the online analysis of multidimensional data (OLAP), as well as how to implement this in MQL and to apply such analysis in the MetaTrader

Developing a cross-platform grider EA

In this article, we will learn how to create Expert Advisors (EAs) working both in MetaTrader 4 and MetaTrader 5. To do this, we are going to develop an EA constructing order grids. Griders are EAs

Extracting structured data from HTML pages using CSS selectors

The article provides a description of a universal method for analyzing and converting data from HTML documents based on CSS selectors. Trading reports, tester reports, your favorite economic

Studying candlestick analysis techniques (part III): Library for pattern operations

The purpose of this article is to create a custom tool, which would enable users to receive and use the entire array of information about patterns discussed earlier. We will create a library of

MetaTrader 5 and Python integration: receiving and sending data

Comprehensive data processing requires extensive tools and is often beyond the sandbox of one single application. Specialized programming languages are used for processing and analyzing data

The power of ZigZag (part II). Examples of receiving, processing and displaying data

In the first part of the article, I have described a modified ZigZag indicator and a class for receiving data of that type of indicators. Here, I will show how to develop indicators based on these

The power of ZigZag (part I). Developing the base class of the indicator

Many researchers do not pay enough attention to determining the price behavior. At the same time, complex methods are used, which very often are simply “black boxes”, such as machine learning or

Applying Monte Carlo method in reinforcement learning

In the article, we will apply Reinforcement learning to develop self-learning Expert Advisors. In the previous article, we considered the Random Decision Forest algorithm and wrote a simple

Practical Use of Kohonen Neural Networks in Algorithmic Trading. Part II. Optimizing and forecasting

Based on universal tools designed for working with Kohonen networks, we construct the system of analyzing and selecting the optimal EA parameters and consider forecasting time series. In Part I, we

Martingale as the basis for a long-term trading strategy

In this article we will consider in detail the martingale system. We will review whether this system can be applied in trading and how to use it in order to minimize risks. The main disadvantage of

Practical Use of Kohonen Neural Networks in Algorithmic Trading. Part I. Tools

The present article develops the idea of using Kohonen Maps in MetaTrader 5, covered in some previous publications. The improved and enhanced classes provide tools to solve application tasks

Separate optimization of a strategy on trend and flat conditions

The article considers applying the separate optimization method during various market conditions. Separate optimization means defining trading system's optimal parameters by optimizing for an uptrend

How to create and test custom MOEX symbols in MetaTrader 5

The article describes the creation of a custom exchange symbol using the MQL5 language. In particular, it considers the use of exchange quotes from the popular Finam website. Another option considered

Using OpenCL to test candlestick patterns

The article describes the algorithm for implementing the OpenCL candlestick patterns tester in the "1 minute OHLC" mode. We will also compare its speed with the built-in strategy tester launched in

DIY multi-threaded asynchronous MQL5 WebRequest

The article describes the library allowing you to increase the efficiency of working with HTTP requests in MQL5. Execution of WebRequest in non-blocking mode is implemented in additional threads that

Reversing: Formalizing the entry point and developing a manual trading algorithm

This is the last article within the series devoted to the Reversing trading strategy. Here we will try to solve the problem, which caused the testing results instability in previous articles. We will

Reversing: Reducing maximum drawdown and testing other markets

In this article, we continue to dwell on reversing techniques. We will try to reduce the maximum balance drawdown till an acceptable level for the instruments considered earlier. We will see if the

Reversal patterns: Testing the Head and Shoulders pattern

This article is a follow-up to the previous one called "Reversal patterns: Testing the Double top/bottom pattern". Now we will have a look at another well-known reversal pattern called Head and

Reversal patterns: Testing the Double top/bottom pattern

Traders often look for trend reversal points since the price has the greatest potential for movement at the very beginning of a newly formed trend. Consequently, various reversal patterns are

Gap - a profitable strategy or 50/50?

The article dwells on gaps — significant differences between a close price of a previous timeframe and an open price of the next one, as well as on forecasting a daily bar direction. Applying the

Movement continuation model - searching on the chart and execution statistics

This article provides programmatic definition of one of the movement continuation models. The main idea is defining two waves — the main and the correction one. For extreme points, I apply fractals as

EA remote control methods

The main advantage of trading robots lies in the ability to work 24 hours a day on a remote VPS server. But sometimes it is necessary to intervene in their work, while there may be no direct access to

100 best optimization passes (part 1). Developing optimization analyzer

The article dwells on the development of an application for selecting the best optimization passes using several possible options. The application is able to sort out the optimization results by a

Modeling time series using custom symbols according to specified distribution laws

The article provides an overview of the terminal's capabilities for creating and working with custom symbols, offers options for simulating a trading history using custom symbols, trend and various

Reversing: The holy grail or a dangerous delusion?

In this article, we will study the reverse martingale technique and will try to understand whether it is worth using, as well as whether it can help improve your trading strategy. We will create an

Using indicators for optimizing Expert Advisors in real time

Efficiency of any trading robot depends on the correct selection of its parameters (optimization). However, parameters that are considered optimal for one time interval may not retain their

Automated Optimization of an EA for MetaTrader 5

This article describes the implementation of a self-optimization mechanism under MetaTrader 5