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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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MetaTrader AppStore Results for Q3 2013

Another quarter of the year has passed and we have decided to sum up its results for MetaTrader AppStore - the largest store of trading robots and technical indicators for MetaTrader platforms. More...

MQL5 Market Results for Q2 2013

Successfully operating for 1.5 years, MQL5 Market has become the largest traders' store of trading strategies and technical indicators. It offers around 800 trading applications provided by 350...

MQL5 Market Results for Q1 2013

Since its founding, the store of trading robots and technical indicators MQL5 Market has already attracted more than 250 developers who have published 580 products. The first quarter of 2013 has...

Jeremy Scott - Successful MQL5 Market Seller

Jeremy Scott who is better known under Johnnypasado nickname at MQL5.community became famous offering products in our MQL5 Market service. Jeremy has already made several thousands of dollars in the...

Calculation of Integral Characteristics of Indicator Emissions

Indicator emissions are a little-studied area of market research. Primarily, this is due to the difficulty of analysis that is caused by the processing of very large arrays of time-varying data....

MQL5 Market Turns One Year Old

One year has passed since the launch of sales in MQL5 Market. It was a year of hard work, which turned the new service into the largest store of trading robots and technical indicators for MetaTrader...

MetaTrader 4 and MetaTrader 5 Trading Signals Widgets

Recently MetaTrader 4 and MetaTrader 5 user received an opportunity to become a Signals Provider and earn additional profit. Now, you can display your trading success on your web site, blog or social...

Statistical Carry Trade Strategy

An algorithm of statistical protection of open positive swap positions from unwanted price movements. This article features a variant of the carry trade protection strategy that allows to compensate...

Fundamentals of Statistics

Every trader works using certain statistical calculations, even if being a supporter of fundamental analysis. This article walks you through the fundamentals of statistics, its basic elements and...

Application of the Eigen-Coordinates Method to Structural Analysis of Nonextensive Statistical Distributions

The major problem of applied statistics is the problem of accepting statistical hypotheses. It was long considered impossible to be solved. The situation has changed with the emergence of the...

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...

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...

Kernel Density Estimation of the Unknown Probability Density Function

The article deals with the creation of a program allowing to estimate the kernel density of the unknown probability density function. Kernel Density Estimation method has been chosen for executing the...

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...

Who Is Who in MQL5.community?

The MQL5.com website remembers all of you quite well! How many of your threads are epic, how popular your articles are and how often your programs in the Code Base are downloaded – this is only a...

Analyzing the Indicators Statistical Parameters

The technical analysis widely implements the indicators showing the basic quotes "more clearly" and allowing traders to perform analysis and forecast market prices movement. It's quite obvious that...

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...

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...

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...

Using Discriminant Analysis to Develop Trading Systems

When developing a trading system, there usually arises a problem of selecting the best combination of indicators and their signals. Discriminant analysis is one of the methods to find such...

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...

Analysis of the Main Characteristics of Time Series

This article introduces a class designed to give a quick preliminary estimate of characteristics of various time series. As this takes place, statistical parameters and autocorrelation function are...

Universal Regression Model for Market Price Prediction

The market price is formed out of a stable balance between demand and supply which, in turn, depend on a variety of economic, political and psychological factors. Differences in nature as well as...

The Role of Statistical Distributions in Trader's Work

This article is a logical continuation of my article Statistical Probability Distributions in MQL5 which set forth the classes for working with some theoretical statistical distributions. Now that we...

MQL5-RPC. Remote Procedure Calls from MQL5: Web Service Access and XML-RPC ATC Analyzer for Fun and Profit

This article describes MQL5-RPC framework that enables Remote Procedure Calls from MQL5. It starts with XML-RPC basics, MQL5 implementation and follows with two real usage examples. First example is...

Statistical Probability Distributions in MQL5

The article addresses probability distributions (normal, log-normal, binomial, logistic, exponential, Cauchy distribution, Student's t-distribution, Laplace distribution, Poisson distribution,...

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,...

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...

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...

Statistical Estimations

Estimation of statistical parameters of a sequence is very important, since most of mathematical models and methods are based on different assumptions. For example, normality of distribution law or...

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...

Econometric Approach to Analysis of Charts

This article describes the econometric methods of analysis, the autocorrelation analysis and the analysis of conditional variance in particular. What is the benefit of the approach described here? Use...

Filtering Signals Based on Statistical Data of Price Correlation

Is there any correlation between the past price behavior and its future trends? Why does the price repeat today the character of its previous day movement? Can the statistics be used to forecast the...

Building a Spectrum Analyzer

This article is intended to get its readers acquainted with a possible variant of using graphical objects of the MQL5 language. It analyses an indicator, which implements a panel of managing a simple...

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...

Growing Neural Gas: Implementation in MQL5

The article shows an example of how to develop an MQL5-program implementing the adaptive algorithm of clustering called Growing neural gas (GNG). The article is intended for the users who have studied...

Evaluation of Trade Systems - the Effectiveness of Entering, Exiting and Trades in General

There are a lot of measures that allow determining the effectiveness and profitability of a trade system. However, traders are always ready to put any system to a new crash test. The article tells how...

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...

Controlling the Slope of Balance Curve During Work of an Expert Advisor

Finding rules for a trade system and programming them in an Expert Advisor is a half of the job. Somehow, you need to correct the operation of the Expert Advisor as it accumulates the results of...

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...