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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Timeseries in DoEasy library (part 50): Multi-period multi-symbol standard indicators with a shift

In the article, let’s improve library methods for correct display of multi-symbol multi-period standard indicators, which lines are displayed on the current symbol chart with a shift set in the

Neural networks made easy (Part 2): Network training and testing

In this second article, we will continue to study neural networks and will consider an example of using our created CNet class in Expert Advisors. We will work with two neural network models, which

What is a trend and is the market structure based on trend or flat?

Traders often talk about trends and flats but very few of them really understand what a trend/flat really is and even fewer are able to clearly explain these concepts. Discussing these basic terms is

Price series discretization, random component and noise

We usually analyze the market using candlesticks or bars that slice the price series into regular intervals. Doesn't such discretization method distort the real structure of market movements

Timeseries in DoEasy library (part 49): Multi-period multi-symbol multi-buffer standard indicators

In the current article, I will improve the library classes to implement the ability to develop multi-symbol multi-period standard indicators requiring several indicator buffers to display their data

Timeseries in DoEasy library (part 48): Multi-period multi-symbol indicators on one buffer in a subwindow

The article considers an example of creating multi-symbol multi-period standard indicators using a single indicator buffer for construction and working in the indicator subwindow. I am going to

Timeseries in DoEasy library (part 47): Multi-period multi-symbol standard indicators

In this article, I will start developing the methods of working with standard indicators, which will ultimately allow creating multi-symbol multi-period standard indicators based on library classes

On Methods to Detect Overbought/Oversold Zones. Part I

Overbought/oversold zones characterize a certain state of the market, differentiating through weaker changes in the prices of securities. This adverse change in the synamics is pronounced most at the

Probability theory and mathematical statistics with examples (part I): Fundamentals and elementary theory

Trading is always about making decisions in the face of uncertainty. This means that the results of the decisions are not quite obvious at the time these decisions are made. This entails the

Timeseries in DoEasy library (part 46): Multi-period multi-symbol indicator buffers

In this article, I am going to improve the classes of indicator buffer objects to work in the multi-symbol mode. This will pave the way for creating multi-symbol multi-period indicators in custom

Timeseries in DoEasy library (part 45): Multi-period indicator buffers

In this article, I will start the improvement of the indicator buffer objects and collection class for working in multi-period and multi-symbol modes. I am going to consider the operation of buffer

Practical application of neural networks in trading. It's time to practice

The article provides a description and instructions for the practical use of neural network modules on the Matlab platform. It also covers the main aspects of creation of a trading system using the

Timeseries in DoEasy library (part 44): Collection class of indicator buffer objects

The article deals with creating a collection class of indicator buffer objects. I am going to test the ability to create and work with any number of buffers for indicators (the maximum number of

Timeseries in DoEasy library (part 43): Classes of indicator buffer objects

The article considers the development of indicator buffer object classes as descendants of the abstract buffer object simplifying declaration and working with indicator buffers, while creating custom

Timeseries in DoEasy library (part 42): Abstract indicator buffer object class

In this article, we start the development of the indicator buffer classes for the DoEasy library. We will create the base class of the abstract buffer which is to be used as a foundation for the

Timeseries in DoEasy library (part 41): Sample multi-symbol multi-period indicator

In the article, we will consider a sample multi-symbol multi-period indicator using the timeseries classes of the DoEasy library displaying the chart of a selected currency pair on a selected

Timeseries in DoEasy library (part 40): Library-based indicators - updating data in real time

The article considers the development of a simple multi-period indicator based on the DoEasy library. Let's improve the timeseries classes to receive data from any timeframes to display it on the

Timeseries in DoEasy library (part 39): Library-based indicators - preparing data and timeseries events

The article deals with applying DoEasy library for creating multi-symbol multi-period indicators. We are going to prepare the library classes to work within indicators and test creating timeseries to

Timeseries in DoEasy library (part 38): Timeseries collection - real-time updates and accessing data from the program

The article considers real-time update of timeseries data and sending messages about the "New bar" event to the control program chart from all timeseries of all symbols for the ability to handle these

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

Timeseries in DoEasy library (part 37): Timeseries collection - database of timeseries by symbols and periods

The article deals with the development of the timeseries collection of specified timeframes for all symbols used in the program. We are going to develop the timeseries collection, the methods of

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

Timeseries in DoEasy library (part 36): Object of timeseries for all used symbol periods

In this article, we will consider combining the lists of bar objects for each used symbol period into a single symbol timeseries object. Thus, each symbol will have an object storing the lists of all

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

Timeseries in DoEasy library (part 35): Bar object and symbol timeseries list

This article starts a new series about the creation of the DoEasy library for easy and fast program development. In the current article, we will implement the library functionality for accessing and

Library for easy and quick development of MetaTrader programs (part XXXIV): Pending trading requests - removing and modifying orders and positions under certain conditions

In this article, we will complete the description of the pending request trading concept and create the functionality for removing pending orders, as well as modifying orders and positions under

How to create 3D graphics using DirectX in MetaTrader 5

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

Library for easy and quick development of MetaTrader programs (part XXXIII): Pending trading requests - closing positions under certain conditions

We continue the development of the library functionality featuring trading using pending requests. We have already implemented sending conditional trading requests for opening positions and placing

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

Library for easy and quick development of MetaTrader programs (part XXXII): Pending trading requests - placing orders under certain conditions

We continue the development of the functionality allowing users to trade using pending requests. In this article, we are going to implement the ability to place pending orders under certain

Library for easy and quick development of MetaTrader programs (part XXXI): Pending trading requests - opening positions under certain conditions

Starting with this article, we are going to develop a functionality allowing users to trade using pending requests under certain conditions, for example, when reaching a certain time limit, exceeding

Multicurrency monitoring of trading signals (Part 1): Developing the application structure

In this article, we will discuss the idea of creating a multicurrency monitor of trading signals and will develop a future application structure along with its prototype, as well as create its

Continuous Walk-Forward Optimization (Part 3): Adapting a Robot to Auto Optimizer

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

Library for easy and quick development of MetaTrader programs (part XXX): Pending trading requests - managing request objects

In the previous article, we have created the classes of pending request objects corresponding to the general concept of library objects. This time, we are going to deal with the class allowing the

Library for easy and quick development of MetaTrader programs (part XXIX): Pending trading requests - request object classes

In the previous articles, we checked the concept of pending trading requests. A pending request is, in fact, a common trading order executed by a certain condition. In this article, we are going to

Neural Networks Made Easy

Artificial intelligence is often associated with something fantastically complex and incomprehensible. At the same time, artificial intelligence is increasingly mentioned in everyday life. News about

Library for easy and quick development of MetaTrader programs (part XXVIII): Closure, removal and modification of pending trading requests

This is the third article about the concept of pending requests. We are going to complete the tests of pending trading requests by creating the methods for closing positions, removing pending orders

SQLite: Native handling of SQL databases in MQL5

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

Continuous Walk-Forward Optimization (Part 2): Mechanism for creating an optimization report for any robot

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

Library for easy and quick development of MetaTrader programs (part XXVII): Working with trading requests - placing pending orders

In this article, we will continue the development of trading requests, implement placing pending orders and eliminate detected shortcomings of the trading class operation