Articles on strategy testing in MQL5

Buying a trading robot on MQL5 Market has a distinct benefit over all other similar options - an automated system offered can be thoroughly tested directly in the MetaTrader 5 terminal. Before buying, an Expert Advisor can and should be carefully run in all unfavorable modes in the built-in Strategy Tester to get a complete grasp of the system.

The article provides the results of testing a simple trading strategy in three modes: "1 minute OHLC", "Every tick" and "Every tick based on real ticks" using actual historical data.

Before any product is published in the Market, it must undergo compulsory preliminary checks in order to ensure a uniform quality standard. This article considers the most frequent errors made by developers in their technical indicators and trading robots. An also shows how to self-test a product before sending it to the Market.

MQL5.community Market provides Expert Advisors developers with the already formed market consisting of thousands of potential customers. This is the best place for selling trading robots and technical indicators!

This article describes the implementation of a self-optimization mechanism under MetaTrader 5.

Creating custom symbols pushes the boundaries in the development of trading systems and financial market analysis. Now traders are able to plot charts and test trading strategies on an unlimited number of financial instruments.

This article presents a visual strategy builder. It is shown how any user can create trading robots and utilities without programming. Created Expert Advisors are fully functional and can be tested in the strategy tester, optimized in the cloud or executed live on real time charts.

MetaTrader 5 allows us to simulate automatic trading, within an embedded strategy tester, by using Expert Advisors and the MQL5 language. This type of simulation is called testing of Expert Advisors, and can be implemented using multithreaded optimization, as well as simultaneously on a number of instruments. In order to provide a thorough testing, a generation of ticks based on the available minute history, needs to be performed. This article provides a detailed description of the algorithm, by which the ticks are generated for the historical testing in the MetaTrader 5 client terminal.

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 variety of factors. Optimization passes are always written to a database, therefore you can always select new robot parameters without re-optimization. Besides, you are able to see all optimization passes on a single chart, calculate parametric VaR ratios and build the graph of the normal distribution of passes and trading results of a certain ratio set. Besides, the graphs of some calculated ratios are built dynamically beginning with the optimization start (or from a selected date to another selected date).

The article provides a brief overview of ten trend following strategies, as well as their testing results and comparative analysis. Based on the obtained results, we draw a general conclusion about the appropriateness, advantages and disadvantages of trend following trading.

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 will also show how multi-functional and informative such a program can be for a trader while taking minimum space on the price chart. And we will be able to see just how colorful, bright and intuitively clear to the user trade information panels can get. As well as many other features...

In this article, we will have a look at Merrill patterns' model and try to evaluate their current relevance. To do this, we will develop a tool to test the patterns and apply the model to various data types such as Close, High and Low prices, as well as oscillators.

How many cores do you have on your home computer? How many computers can you use to optimize a trading strategy? We show here how to use the MQL5 Cloud Network to accelerate calculations by receiving the computing power across the globe with the click of a mouse. The phrase "Time is money" becomes even more topical with each passing year, and we cannot afford to wait for important computations for tens of hours or even days.

The article describes the way to create a custom strategy tester and a custom analyzer of the optimization passes. After reading it, you will understand how the math calculations mode and the mechanism of so-called frames work, how to prepare and load custom data for calculations and use effective algorithms for their compression. This article will also be interesting to those interested in ways of storing custom information within an expert.

The article provides an example of an MQL application with its graphical interface featuring multi-symbol balance and deposit drawdown graphs based on the last test results.

This article explains the step by step process of identifying and resolving code errors as well as the steps in testing and optimizing of the Expert Advisor input parameters. You will learn how to use Strategy Tester of MetaTrader 5 client terminal to find the best symbol and set of input parameters for your Expert Advisor.

The article provides the analysis of the following patterns: Flag, Pennant, Wedge, Rectangle, Contracting Triangle, Expanding Triangle. In addition to analyzing their similarities and differences, we will create indicators for detecting these patterns on the chart, as well as a tester indicator for the fast evaluation of their effectiveness.

We all know the saying "Better to see once than hear a hundred times". You can read various books about Paris or Venice, but based on the mental images you wouldn't have the same feelings as on the evening walk in these fabulous cities. The advantage of visualization can easily be projected on any aspect of our lives, including work in the market, for example, the analysis of price on charts using indicators, and of course, the visualization of strategy testing. This article contains descriptions of all the visualization features of the MetaTrader 5 Strategy Tester.

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 the statistics based on measures of effectiveness can be used for the MetaTrader 5 platform. It includes the class for transformation of the interpretation of statistics by deals to the one that doesn't contradict the description given in the "Statistika dlya traderov" ("Statistics for Traders") book by S.V. Bulashev. It also includes an example of custom function for optimization.

In this article, we develop and tests several strategies based on the Donchian channel using various indicator filters. We also perform a comparative analysis of their operation.

This article is intended primarily for the programmers who have already learned the language but have not fully mastered the program development yet. It reveals some debugging techniques and presents a combined experience of the author and many other programmers.

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 are distributed along the dataset. Boxplots should not be confused with the candlestick charts, although they can be visually similar.

The article highlights several methods for trend identification aiming to determine the trend duration relative to the flat market. In theory, the trend to flat rate is considered to be 30% to 70%. This is what we'll be checking.

The article deals with the algorithm of developing stock indicators based on real volumes using the CopyTicks() and CopyTicksRange() functions. Some subtle aspects of developing such indicators, as well as their operation in real time and in the strategy tester are also described.

The article considers an approach to stress testing of a trading strategy using custom symbols. A custom symbol class is created for this purpose. This class is used to receive tick data from third-party sources, as well as to change symbol properties. Based on the results of the work done, we will consider several options for changing trading conditions, under which a trading strategy is being tested.

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 describes applying the Monte Carlo method to construct custom criteria for trading strategy optimization. In addition, the EA stability criteria are considered.

Scalping automatic systems are rightfully regarded the pinnacle of algorithmic trading, but at the same time their code is the most difficult to write. In this article we will show how to build strategies based on analysis of incoming ticks using the built-in debugging tools and visual testing. Developing rules for entry and exit often require years of manual trading. But with the help of MetaTrader 5, you can quickly test any such strategy on real history.

Using the object-oriented approach in MQL5 greatly simplifies the creation of multi-currency/multi-system /multi-time-frame Expert Advisors. Just imagine, your single EA trades on several dozens of trading strategies, on all of the available instruments, and on all of the possible time frames! In addition, the EA is easily tested in the tester, and for all of the strategies, included in its composition, it has one or several working systems of money management.

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 the MetaTrader 5 terminal will be created: it will enable the running of the add-on as a managed process via C#. In addition, operation with configuration files and setup files is considered in this article. The application logic is divided into two parts: the first one describes the methods called after pressing a particular key, while the second part covers optimization launch and management.

In this article, we consider yet another custom trading strategy optimization criterion based on the balance graph analysis. The linear regression is calculated using the function from the ALGLIB library.

This article will describe an implementation of a simple approach suitable for a multi-currency Expert Advisor. This means that you will be able to set up the Expert Advisor for testing/trading under identical conditions but with different parameters for each symbol. As an example, we will create a pattern for two symbols but in such a way so as to be able to add additional symbols, if necessary, by making small changes to the code.

In this article, we will consider popular candlestick patterns and will try to find out if they are still relevant and effective in today's markets. Candlestick analysis appeared more than 20 years ago and has since become quite popular. Many traders consider Japanese candlesticks the most convenient and easily understandable asset price visualization form.

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 bars and various indicators applied thereon. This is the most well covered field and thus we will not consider it. Bars represent a very artificial entity; therefore we will work with something closer to proto-data, namely the price ticks.

The Strategy Tester in the MetaTrader 5 trading platform provides only two optimization options: complete search of parameters and genetic algorithm. This article proposes a new method for optimizing trading strategies — Simulated annealing. The method's algorithm, its implementation and integration into any Expert Advisor are considered. The developed algorithm is tested on the Moving Average EA.