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Articles on data analysis and statistics in MQL5

Articles on mathematical models and laws of probability are interesting for many traders. Mathematics is the basis of technical indicators, and statistics is required to analyze trading results and develop strategies.

Read about the fuzzy logic, digital filters, market profile, Kohonen maps, neural gas and many other tools that can be used for trading.

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Using Self-Organizing Feature Maps (Kohonen Maps) in MetaTrader 5

One of the most interesting aspects of Self-Organizing Feature Maps (Kohonen maps) is that they learn to classify data without supervision. In its basic form it produces a similarity map of input data...

How to reduce trader's risks

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...

MQL5: Analysis and Processing of Commodity Futures Trading Commission (CFTC) Reports in MetaTrader 5

In this article, we will develop a tool for CFTC report analysis. We will solve the following problem: to develop an indicator, that allows using the CFTC report data directly from the data files...

Introduction to the Empirical Mode Decomposition Method

This article serves to familiarize the reader with the empirical mode decomposition (EMD) method. It is the fundamental part of the Hilbert–Huang transform and is intended for analyzing data from...

Third Generation Neural Networks: Deep Networks

This article is dedicated to a new and perspective direction in machine learning - deep learning or, to be precise, deep neural networks. This is a brief review of second generation neural networks,...

Analyzing Candlestick Patterns

Construction of Japanese candlestick chart and analysis of candlestick patterns constitute an amazing area of technical analysis. The advantage of candlesticks is that they represent data in such a...

Night trading during the Asian session: How to stay profitable

The article deals with the concept of night trading, as well as trading strategies and their implementation in MQL5. We perform tests and make appropriate conclusions.

Statistical Distributions in MQL5 - taking the best of R and making it faster

The functions for working with the basic statistical distributions implemented in the R language are considered. Those include the Cauchy, Weibull, normal, log-normal, logistic, exponential, uniform,...

The Price Histogram (Market Profile) and its implementation in MQL5

The Market Profile was developed by trully brilliant thinker Peter Steidlmayer. He suggested to use the alternative representation of information about "horizontal" and "vertical" market movements...

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...

Money Management by Vince. Implementation as a module for MQL5 Wizard

The article is based on 'The Mathematics of Money Management' by Ralph Vince. It provides the description of empirical and parametric methods used for finding the optimal size of a trading lot. Also...

Time Series Forecasting Using Exponential Smoothing

The article familiarizes the reader with exponential smoothing models used for short-term forecasting of time series. In addition, it touches upon the issues related to optimization and estimation of...

Applying The Fisher Transform and Inverse Fisher Transform to Markets Analysis in MetaTrader 5

We now know that probability density function (PDF) of a market cycle does not remind a Gaussian but rather a PDF of a sine wave and most of the indicators assume that the market cycle PDF is Gaussian...

Creating a Multi-Currency Multi-System Expert Advisor

The article introduces a structure for an Expert Advisor that trades multiple symbols and uses several trading systems simultaneously. If you already identified the optimal input parameters for all...

Self-optimization of EA: Evolutionary and genetic algorithms

This article covers the main principles set fourth in evolutionary algorithms, their variety and features. We will conduct an experiment with a simple Expert Advisor used as an example to show how our...

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...

Risk Evaluation in the Sequence of Deals with One Asset. Continued

The article develops the ideas proposed in the previous part and considers them further. It describes the problems of yield distributions, plotting and studying statistical regularities.

Evaluation and selection of variables for machine learning models

This article focuses on specifics of choice, preconditioning and evaluation of the input variables (predictors) for use in machine learning models. New approaches and opportunities of deep predictor...

Analyzing Balance/Equity graphs by symbols and EAs' ORDER_MAGIC

With the introduction of hedging, MetaTrader 5 provides an excellent opportunity to trade several Expert Advisors on a single trading account simultaneously. When one strategy is profitable, while the...

Forecasting market movements using the Bayesian classification and indicators based on Singular Spectrum Analysis

The article considers the ideology and methodology of building a recommendatory system for time-efficient trading by combining the capabilities of forecasting with the singular spectrum analysis (SSA)...

Statistical distributions in the form of histograms without indicator buffers and arrays

The article discusses the possibility of plotting statistical distribution histograms of market conditions with the help of the graphical memory meaning no indicator buffers and arrays are applied....

Controlled optimization: Simulated annealing

The Strategy Tester in the MetaTrader 5 trading platform provides only two optimization options: complete search of parameters and genetic algorithm. This article proposes a new method for optimizing...

Genetic Algorithms - It's Easy!

In this article the author talks about evolutionary calculations with the use of a personally developed genetic algorithm. He demonstrates the functioning of the algorithm, using examples, and...

Mini Market Emulator or Manual Strategy Tester

Mini Market Emulator is an indicator designed for partial emulation of work in the terminal. Presumably, it can be used to test "manual" strategies of market analysis and trading.

The Simple Example of Creating an Indicator Using Fuzzy Logic

The article is devoted to the practical application of the fuzzy logic concept for financial markets analysis. We propose the example of the indicator generating signals based on two fuzzy rules based...

Multiple Regression Analysis. Strategy Generator and Tester in One

The article gives a description of ways of use of the multiple regression analysis for development of trading systems. It demonstrates the use of the regression analysis for strategy search automation...

Moving Mini-Max: a New Indicator for Technical Analysis and Its Implementation in MQL5

In the following article I am describing a process of implementing Moving Mini-Max indicator based on a paper by Z.G.Silagadze 'Moving Mini-max: a new indicator for technical analysis'. The idea of...

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...

Creating a new trading strategy using a technology of resolving entries into indicators

The article suggests a technology helping everyone to create custom trading strategies by assembling an individual indicator set, as well as to develop custom market entry signals.

Comparing different types of moving averages in trading

This article deals with seven types of moving averages (MA) and a trading strategy to work with them. We also test and compare various MAs at a single trading strategy and evaluate the efficiency of...

Time Series Forecasting Using Exponential Smoothing (continued)

This article seeks to upgrade the indicator created earlier on and briefly deals with a method for estimating forecast confidence intervals using bootstrapping and quantiles. As a result, we will get...

A New Approach to Interpreting Classical and Hidden Divergence

The article considers the classical method for divergence construction and provides an additional divergence interpretation method. A trading strategy was developed based on this new interpretation...

Random Walk and the Trend Indicator

Random Walk looks very similar to the real market data, but it has some significant features. In this article we will consider the properties of Random Walk, simulated using the coin-tossing game. To...

Calculating the Hurst exponent

The article thoroughly explains the idea behind the Hurst exponent, as well as the meaning of its values and the calculation algorithm. A number of financial market segments are analyzed and the...

An Introduction to Fuzzy Logic

Fuzzy logic expands our boundaries of mathematical logic and set theory. This article reveals the basic principles of fuzzy logic as well as describes two fuzzy inference systems using Mamdani-type...

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,...

MQL5 Programming Basics: Lists

The new version of the programming language for trading strategy development, MQL [MQL5], provides more powerful and effective features as compared with the previous version [MQL4]. The advantage...

Deep Neural Networks (Part I). Preparing Data

This series of articles continues exploring deep neural networks (DNN), which are used in many application areas including trading. Here new dimensions of this theme will be explored along with...

Random Forests Predict Trends

This article considers using the Rattle package for automatic search of patterns for predicting long and short positions of currency pairs on Forex. This article can be useful both for novice and...

The Box-Cox Transformation

The article is intended to get its readers acquainted with the Box-Cox transformation. The issues concerning its usage are addressed and some examples are given allowing to evaluate the transformation...