Articles on MetaTrader 5 integration using MQL5

The program has been modified based on comments and requests from users and readers of this article series. This article contains a new version of the auto optimizer. This version implements requested features and provides other improvements, which I found when working with the program.

The article provides the code and the description of the main stages of the machine learning process using a specific example. To obtain the model, you do not need Python or R knowledge. Furthermore, basic MQL5 knowledge is enough — this is exactly my level. Therefore, I hope that the article will serve as a good tutorial for a broad audience, assisting those interested in evaluating machine learning capabilities and in implementing them in their programs.

Before the introduction of the network functionality provided with the updated MQL5 API, MetaTrader programs have been limited in their ability to connect and interface with websocket based services. But of course this has all changed, in this article we will explore the implementation of a websocket library in pure MQL5. A brief description of the websocket protocol will be given along with a step by step guide on how to use the resulting library.

Training the CatBoost classifier in Python and exporting the model to mql5, as well as parsing the model parameters and a custom strategy tester. The Python language and the MetaTrader 5 library are used for preparing the data and for training the model.

We have previously considered the creation of automatic walk-forward optimization. This time, we will proceed to the internal structure of the auto optimizer tool. The article will be useful for all those who wish to further work with the created project and to modify it, as well as for those who wish to understand the program logic. The current article contains UML diagrams which present the internal structure of the project and the relationships between objects. It also describes the process of optimization start, but it does not contain the description of the optimizer implementation process.

This article provides further description of the walk-forward optimization in the MetaTrader 5 terminal. In previous articles, we considered methods for generating and filtering the optimization report and started analyzing the internal structure of the application responsible for the optimization process. The Auto Optimizer is implemented as a C# application and it has its own graphical interface. The fifth article is devoted to the creation of this graphical interface.

The main purpose of the article is to describe the mechanism of working with our application and its capabilities. Thus the article can be treated as an instruction on how to use the application. It covers all possible pitfalls and specifics of the application usage.

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.

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.

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 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.

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.