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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Forecasting Time Series (Part 1): Empirical Decomposition Mode (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

Library for easy and quick development of MetaTrader programs (part XXVI): Working with pending trading requests - first implementation (opening positions)

In this article, we are going to store some data in the value of the orders and positions magic number and start the implementation of pending requests. To check the concept, let's create the first

Exploring Seasonal Patterns of Financial Time Series with Boxplot

In this article we will view seasonal characteristics of financial time series using Boxplot diagrams. Each separate boxplot (or box-and-whiskey diagram) provides a good visualization of how values

Library for easy and quick development of MetaTrader programs (part XXV): Handling errors returned by the trade server

After we send a trading order to the server, we need to check the error codes or the absence of errors. In this article, we will consider handling errors returned by the trade server and prepare for

Library for easy and quick development of MetaTrader programs (part XXIV): Base trading class - auto correction of invalid parameters

In this article, we will have a look at the handler of invalid trading order parameters and improve the trading event class. Now all trading events (both single ones and the ones occurred

Continuous Walk-Forward Optimization (Part 1): Working with Optimization Reports

The first article is devoted to the creation of a toolkit for working with optimization reports, for importing them from the terminal, as well as for filtering and sorting the obtained data

Library for easy and quick development of MetaTrader programs (part XXIII): Base trading class - verification of valid parameters

In the article, we continue the development of the trading class by implementing the control over incorrect trading order parameter values and voicing trading events

Library for easy and quick development of MetaTrader programs (part XXII): Trading classes - Base trading class, verification of limitations

In this article, we will start the development of the library base trading class and add the initial verification of permissions to conduct trading operations to its first version. Besides, we will

Library for easy and quick development of MetaTrader programs (part XXI): Trading classes - Base cross-platform trading object

In this article, we will start the development of the new library section - trading classes. Besides, we will consider the development of a unified base trading object for MetaTrader 5 and MetaTrader

Library for easy and quick development of MetaTrader programs (part XX): Creating and storing program resources

The article deals with storing data in the program's source code and creating audio and graphical files out of them. When developing an application, we often need audio and images. The MQL language

Library for easy and quick development of MetaTrader programs (part XIX): Class of library messages

In this article, we will consider the class of displaying text messages. Currently, we have a sufficient number of different text messages. It is time to re-arrange the methods of their storage

Library for easy and quick development of MetaTrader programs (part XVII): Interactivity of library objects

In this article, we are going to finish the development of the base object of all library objects, so that any library object based on it is able to interact with a user. For example, users will be

Library for easy and quick development of MetaTrader programs (part XVI): Symbol collection events

In this article, we will create a new base class of all library objects adding the event functionality to all its descendants and develop the class for tracking symbol collection events based on the

Developing Pivot Mean Oscillator: a novel Indicator for the Cumulative Moving Average

This article presents Pivot Mean Oscillator (PMO), an implementation of the cumulative moving average (CMA) as a trading indicator for the MetaTrader platforms. In particular, we first introduce Pivot

Library for easy and quick development of MetaTrader programs (part XV): Collection of symbol objects

In this article, we will consider creation of a symbol collection based on the abstract symbol object developed in the previous article. The abstract symbol descendants are to clarify a symbol data

A New Approach to Interpreting Classic and Hidden Divergence. Part II

The article provides a critical examination of regular divergence and efficiency of various indicators. In addition, it contains filtering options for an increased analysis accuracy and features

Optimization management (Part II): Creating key objects and add-on logic

This article is a continuation of the previous publication related to the creation of a graphical interface for optimization management. The article considers the logic of the add-on. A wrapper for

Library for easy and quick development of MetaTrader programs (part XIV): Symbol object

In this article, we will create the class of a symbol object that is to be the basic object for creating the symbol collection. The class will allow us to obtain data on the necessary symbols for

Library for easy and quick development of MetaTrader programs (part XIII): Account object events

The article considers working with account events for tracking important changes in account properties affecting the automated trading. We have already implemented some functionality for tracking

Library for easy and quick development of MetaTrader programs (part XII): Account object class and collection of account objects

In the previous article, we defined position closure events for MQL4 in the library and got rid of the unused order properties. Here we will consider the creation of the Account object, develop the

Library for easy and quick development of MetaTrader programs (part XI). Compatibility with MQL4 - Position closure events

We continue the development of a large cross-platform library simplifying the development of programs for MetaTrader 5 and MetaTrader 4 platforms. In the tenth part, we resumed our work on the library

Optimization management (Part I): Creating a GUI

This article describes the process of creating an extension for the MetaTrader terminal. The solution discussed helps to automate the optimization process by running optimizations in other terminals

Library for easy and quick development of MetaTrader programs (part X): Compatibility with MQL4 - Events of opening a position and activating pending orders

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 ninth part, we started

Extract profit down to the last pip

The article describes an attempt to combine theory with practice in the algorithmic trading field. Most of discussions concerning the creation of Trading Systems is connected with the use of historic