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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Metamodels in machine learning and trading: Original timing of trading orders

Metamodels in machine learning: Auto creation of trading systems with little or no human intervention — The model decides when and how to trade on its own

Data Science and Machine Learning — Neural Network (Part 01): Feed Forward Neural Network demystified

Many people love them but a few understand the whole operations behind Neural Networks. In this article I will try to explain everything that goes behind closed doors of a feed-forward multi-layer

Neural networks made easy (Part 17): Dimensionality reduction

In this part we continue discussing Artificial Intelligence models. Namely, we study unsupervised learning algorithms. We have already discussed one of the clustering algorithms. In this article, I am

Developing a trading Expert Advisor from scratch (Part 17): Accessing data on the web (III)

In this article we continue considering how to obtain data from the web and to use it in an Expert Advisor. This time we will proceed to developing an alternative system

Data Science and Machine Learning (Part 06): Gradient Descent

The gradient descent plays a significant role in training neural networks and many machine learning algorithms. It is a quick and intelligent algorithm despite its impressive work it is still

Neural networks made easy (Part 16): Practical use of clustering

In the previous article, we have created a class for data clustering. In this article, I want to share variants of the possible application of obtained results in solving practical trading tasks

Developing a trading Expert Advisor from scratch (Part 16): Accessing data on the web (II)

Knowing how to input data from the Web into an Expert Advisor is not so obvious. It is not so easy to do without understanding all the possibilities offered by MetaTrader 5

The price movement model and its main provisions (Part 1): The simplest model version and its applications

The article provides the foundations of a mathematically rigorous price movement and market functioning theory. Up to the present, we have not had any mathematically rigorous price movement theory

Neural networks made easy (Part 15): Data clustering using MQL5

We continue to consider the clustering method. In this article, we will create a new CKmeans class to implement one of the most common k-means clustering methods. During tests, the model managed to

Developing a trading Expert Advisor from scratch (Part 15): Accessing data on the web (I)

How to access online data via MetaTrader 5? There are a lot of websites and places on the web, featuring a huge amount information. What you need to know is where to look and how best to use this

Neural networks made easy (Part 14): Data clustering

It has been more than a year since I published my last article. This is quite a lot time to revise ideas and to develop new approaches. In the new article, I would like to divert from the previously

Data Science and Machine Learning (Part 05): Decision Trees

Decision trees imitate the way humans think to classify data. Let's see how to build trees and use them to classify and predict some data. The main goal of the decision trees algorithm is to separate

MQL5 Wizard techniques you should know (Part 01): Regression Analysis

Todays trader is a philomath who is almost always (either consciously or not...) looking up new ideas, trying them out, choosing to modify them or discard them; an exploratory process that should cost

Data Science and Machine Learning (Part 04): Predicting Current Stock Market Crash

In this article I am going to attempt to use our logistic model to predict the stock market crash based upon the fundamentals of the US economy, the NETFLIX and APPLE are the stocks we are going to

Data Science and Machine Learning (Part 03): Matrix Regressions

This time our models are being made by matrices, which allows flexibility while it allows us to make powerful models that can handle not only five independent variables but also many variables as long

Tips from a professional programmer (Part III): Logging. Connecting to the Seq log collection and analysis system

Implementation of the Logger class for unifying and structuring messages which are printed to the Experts log. Connection to the Seq log collection and analysis system. Monitoring log messages online

Data Science and Machine Learning (Part 02): Logistic Regression

Data Classification is a crucial thing for an algo trader and a programmer. In this article, we are going to focus on one of classification logistic algorithms that can probability help us identify

Mathematics in trading: Sharpe and Sortino ratios

Return on investments is the most obvious indicator which investors and novice traders use for the analysis of trading efficiency. Professional traders use more reliable tools to analyze strategies

Data Science and Machine Learning (Part 01): Linear Regression

It's time for us as traders to train our systems and ourselves to make decisions based on what number says. Not on our eyes, and what our guts make us believe, this is where the world is heading so

The correct way to choose an Expert Advisor from the Market

In this article, we will consider some of the essential points you should pay attention to when purchasing an Expert Advisor. We will also look for ways to increase profit, to spend money wisely, and

Visual evaluation of optimization results

In this article, we will consider how to build graphs of all optimization passes and to select the optimal custom criterion. We will also see how to create a desired solution with little MQL5

An Analysis of Why Expert Advisors Fail

This article presents an analysis of currency data to better understand why expert advisors can have good performance in some regions of time and poor performance in other regions of time

Combinatorics and probability for trading (Part V): Curve analysis

In this article, I decided to conduct a study related to the possibility of reducing multiple states to double-state systems. The main purpose of the article is to analyze and to come to useful

Combinatorics and probability for trading (Part IV): Bernoulli Logic

In this article, I decided to highlight the well-known Bernoulli scheme and to show how it can be used to describe trading-related data arrays. All this will then be used to create a self-adapting

Multilayer perceptron and backpropagation algorithm (Part II): Implementation in Python and integration with MQL5

There is a Python package available for developing integrations with MQL, which enables a plethora of opportunities such as data exploration, creation and use of machine learning models. The built in

Programming a Deep Neural Network from Scratch using MQL Language

This article aims to teach the reader how to make a Deep Neural Network from scratch using the MQL4/5 language

Combinatorics and probability theory for trading (Part III): The first mathematical model

A logical continuation of the earlier discussed topic would be the development of multifunctional mathematical models for trading tasks. In this article, I will describe the entire process related to

Combinatorics and probability theory for trading (Part II): Universal fractal

In this article, we will continue to study fractals and will pay special attention to summarizing all the material. To do this, I will try to bring all earlier developments into a compact form which

Bid/Ask spread analysis in MetaTrader 5

An indicator to report your brokers Bid/Ask spread levels. Now we can use MT5s tick data to analyze what the historic true average Bid/Ask spread actually have recently been. You shouldn't need to

Combinatorics and probability theory for trading (Part I): The basics

In this series of article, we will try to find a practical application of probability theory to describe trading and pricing processes. In the first article, we will look into the basics of

Patterns with Examples (Part I): Multiple Top

This is the first article in a series related to reversal patterns in the framework of algorithmic trading. We will begin with the most interesting pattern family, which originate from the Double Top

Better Programmer (Part 02): Stop doing these 5 things to become a successful MQL5 programmer

This is the must read article for anyone wanting to improve their programming career. This article series is aimed at making you the best programmer you can possibly be, no matter how experienced you

Cluster analysis (Part I): Mastering the slope of indicator lines

Cluster analysis is one of the most important elements of artificial intelligence. In this article, I attempt applying the cluster analysis of the indicator slope to get threshold values for

Other classes in DoEasy library (Part 72): Tracking and recording chart object parameters in the collection

In this article, I will complete working with chart object classes and their collection. I will also implement auto tracking of changes in chart properties and their windows, as well as saving new

Other classes in DoEasy library (Part 71): Chart object collection events

In this article, I will create the functionality for tracking some chart object events — adding/removing symbol charts and chart subwindows, as well as adding/removing/changing indicators in chart

Other classes in DoEasy library (Part 70): Expanding functionality and auto updating the chart object collection

In this article, I will expand the functionality of chart objects and arrange navigation through charts, creation of screenshots, as well as saving and applying templates to charts. Also, I will

Combination scalping: analyzing trades from the past to increase the performance of future trades

The article provides the description of the technology aimed at increasing the effectiveness of any automated trading system. It provides a brief explanation of the idea, as well as its underlying

Other classes in DoEasy library (Part 69): Chart object collection class

With this article, I start the development of the chart object collection class. The class will store the collection list of chart objects with their subwindows and indicators providing the ability to

Other classes in DoEasy library (Part 68): Chart window object class and indicator object classes in the chart window

In this article, I will continue the development of the chart object class. I will add the list of chart window objects featuring the lists of available indicators

Other classes in DoEasy library (Part 66): Signals collection class

In this article, I will create the signal collection class of the Signals service with the functions for managing signals. Besides, I will improve the Depth of Market snapshot object class