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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Evaluating the ability of Fractal index and Hurst exponent to predict financial time series

Studies related to search for the fractal behavior of financial data suggest that behind the seemingly chaotic behavior of economic time series there are hidden stable mechanisms of participants'...

Library for easy and quick development of MetaTrader programs (part VII): StopLimit order activation events, preparing the functionality for order and position modification events

In the previous articles, we started creating a large cross-platform library simplifying the development of programs for MetaTrader 5 and MetaTrader 4 platforms. In the sixth part, we trained the...

Library for easy and quick development of MetaTrader programs (part VI): Netting account events

In the previous articles, we started creating a large cross-platform library simplifying the development of programs for MetaTrader 5 and MetaTrader 4 platforms. In the fifth part of the article...

Applying OLAP in trading (part 2): Visualizing the interactive multidimensional data analysis results

In this article, we consider the creation of an interactive graphical interface for an MQL program, which is designed for the processing of account history and trading reports using OLAP techniques....

Applying OLAP in trading (part 1): Online analysis of multidimensional data

The article describes how to create a framework for the online analysis of multidimensional data (OLAP), as well as how to implement this in MQL and to apply such analysis in the MetaTrader...

Library for easy and quick development of MetaTrader programs (part V): Classes and collection of trading events, sending events to the program

In the previous articles, we started creating a large cross-platform library simplifying the development of programs for MetaTrader 5 and MetaTrader 4 platforms. In the fourth part, we tested tracking...

Selection and navigation utility in MQL5 and MQL4: Adding data to charts

In this article, we will continue expanding the functionality of the utility. This time, we will add the ability to display data that simplifies our trading. In particular, we are going to add High...

Library for easy and quick development of MetaTrader programs (part IV): Trading events

In the previous articles, we started creating a large cross-platform library simplifying the development of programs for MetaTrader 5 and MetaTrader 4 platforms. We already have collections of...

How to visualize multicurrency trading history based on HTML and CSV reports

Since its introduction, MetaTrader 5 provides multicurrency testing options. This possibility is often used by traders. However the function is not universal. The article presents several programs for...

Studying candlestick analysis techniques (part IV): Updates and additions to Pattern Analyzer

The article presents a new version of the Pattern Analyzer application. This version provides bug fixes and new features, as well as the revised user interface. Comments and suggestions from previous...

Using MATLAB 2018 computational capabilities in MetaTrader 5

After the upgrade of the MATLAB package in 2015, it is necessary to consider a modern way of creating DLL libraries. The article uses a sample predictive indicator to illustrate the peculiarities of...

MTF indicators as the technical analysis tool

Most of traders agree that the current market state analysis starts with the evaluation of higher chart timeframes. The analysis is performed downwards to lower timeframes until the one, at which...

Library for easy and quick development of MetaTrader programs (part III). Collection of market orders and positions, search and sorting

In the first part, we started creating a large cross-platform library simplifying the development of programs for MetaTrader 5 and MetaTrader 4 platforms. Further on, we implemented the collection of...

Extracting structured data from HTML pages using CSS selectors

The article provides a description of a universal method for analyzing and converting data from HTML documents based on CSS selectors. Trading reports, tester reports, your favorite economic calendars...

Library for easy and quick development of MetaTrader programs (part II). Collection of historical orders and deals

In the first part, we started creating a large cross-platform library simplifying the development of programs for MetaTrader 5 and MetaTrader 4 platforms. We created the COrder abstract object which...

Library for easy and quick development of MetaTrader programs (part I). Concept, data management and first results

While analyzing a huge number of trading strategies, orders for development of applications for MetaTrader 5 and MetaTrader 4 terminals and various MetaTrader websites, I came to the conclusion that...

Color optimization of trading strategies

In this article we will perform an experiment: we will color optimization results. The color is determined by three parameters: the levels of red, green and blue (RGB). There are other color coding...

MetaTrader 5 and Python integration: receiving and sending data

Comprehensive data processing requires extensive tools and is often beyond the sandbox of one single application. Specialized programming languages are used for processing and analyzing data,...

MQL Parsing by Means of MQL

The article describes a preprocessor, a scanner, and a parser to be used in parsing the MQL-based source codes. MQL implementation is attached.

The power of ZigZag (part II). Examples of receiving, processing and displaying data

In the first part of the article, I have described a modified ZigZag indicator and a class for receiving data of that type of indicators. Here, I will show how to develop indicators based on these...

The power of ZigZag (part I). Developing the base class of the indicator

Many researchers do not pay enough attention to determining the price behavior. At the same time, complex methods are used, which very often are simply “black boxes”, such as machine learning or...

Practical application of correlations in trading

In this article, we will analyze the concept of correlation between variables, as well as methods for the calculation of correlation coefficients and their practical use in trading. Correlation is a...

Practical Use of Kohonen Neural Networks in Algorithmic Trading. Part II. Optimizing and forecasting

Based on universal tools designed for working with Kohonen networks, we construct the system of analyzing and selecting the optimal EA parameters and consider forecasting time series. In Part I, we...

Analyzing trading results using HTML reports

The MetaTrader 5 platform features functionality for saving trading reports, as well as Expert Advisor testing and optimization reports. Trading and testing reports can be saved in two formats: XLSX...

Selection and navigation utility in MQL5 and MQL4: Adding auto search for patterns and displaying detected symbols

In this article, we continue expanding the features of the utility for collecting and navigating through symbols. This time, we will create new tabs displaying only the symbols that satisfy some of...

Practical Use of Kohonen Neural Networks in Algorithmic Trading. Part I. Tools

The present article develops the idea of using Kohonen Maps in MetaTrader 5, covered in some previous publications. The improved and enhanced classes provide tools to solve application tasks.

Separate optimization of a strategy on trend and flat conditions

The article considers applying the separate optimization method during various market conditions. Separate optimization means defining trading system's optimal parameters by optimizing for an uptrend...

Selection and navigation utility in MQL5 and MQL4: Adding "homework" tabs and saving graphical objects

In this article, we are going to expand the capabilities of the previously created utility by adding tabs for selecting the symbols we need. We will also learn how to save graphical objects we have...

How to create and test custom MOEX symbols in MetaTrader 5

The article describes the creation of a custom exchange symbol using the MQL5 language. In particular, it considers the use of exchange quotes from the popular Finam website. Another option considered...

Applying the probability theory to trading gaps

In this article, we will apply the probability theory and mathematical statistics methods to creating and testing trading strategies. We will also look for optimal trading risk using the differences...

Developing the symbol selection and navigation utility in MQL5 and MQL4

Experienced traders are well aware of the fact that most time-consuming things in trading are not opening and tracking positions but selecting symbols and looking for entry points. In this article, we...

Movement continuation model - searching on the chart and execution statistics

This article provides programmatic definition of one of the movement continuation models. The main idea is defining two waves — the main and the correction one. For extreme points, I apply fractals as...

100 best optimization passes (part 1). Developing optimization analyzer

The article dwells on the development of an application for selecting the best optimization passes using several possible options. The application is able to sort out the optimization results by a...

Modeling time series using custom symbols according to specified distribution laws

The article provides an overview of the terminal's capabilities for creating and working with custom symbols, offers options for simulating a trading history using custom symbols, trend and various...

PairPlot graph based on CGraphic for analyzing correlations between data arrays (time series)

Comparing several time series during a technical analysis is a quite common task that requires appropriate tools. In this article, I suggest developing a tool for graphical analysis and detecting...

950 websites broadcast the Economic Calendar from MetaQuotes

The widget provides websites with a detailed release schedule of 500 indicators and indices, of the world's largest economies. Thus, traders quickly receive up-to-date information on all important...

Custom presentation of trading history and creation of report diagrams

The article describes custom methods for assessing the trading history. Two classes have been written for downloading and analyzing history. The first of them collects the trading history and...

Trading account monitoring is an indispensable trader's tool

Trading account monitoring provides a detailed report on all completed deals. All trading statistics are collected automatically and provided to you as easy-to-understand diagrams and graphs.

Visualizing optimization results using a selected criterion

In the article, we continue to develop the MQL application for working with optimization results. This time, we will show how to form the table of the best results after optimizing the parameters by...

Applying the Monte Carlo method for optimizing trading strategies

Before launching a robot on a trading account, we usually test and optimize it on quotes history. However, a reasonable question arises: how can past results help us in the future? The article...