Articles on strategy testing in MQL5

Do the positions of planets and stars affect financial markets? Let's arm ourselves with statistics and big data, and embark on an exciting journey into the world where stars and stock charts intersect.

Having a proper understanding of different ideas allows us to do more with less effort. In this article, we'll look at why it's necessary to configure a template before the service can interact with the chart. Also, what if we improve the mouse pointer so we can do more things with it?

We can now start creating an Expert Advisor for use in the replay/simulation system. However, we need something improved, not a random solution. Despite this, we should not be intimidated by the initial complexity. It's important to start somewhere, otherwise we end up ruminating about the difficulty of a task without even trying to overcome it. That's what programming is all about: overcoming obstacles through learning, testing, and extensive research.

How about learning something new? In this article, you will learn how to convert scripts into services and why it is useful to do so.

Category Theory is a diverse and expanding branch of Mathematics which is only recently getting some coverage in the MQL5 community. These series of articles look to explore and examine some of its concepts & axioms with the overall goal of establishing an open library that provides insight while also hopefully furthering the use of this remarkable field in Traders' strategy development.

In this article, I will introduce a very important tool for developers. If you are not familiar with GIT, read this article to get an idea of what it is and how to use it with MQL5.

The first of a series of articles looking at the mathematics of Custom Criteria with a specific focus on non-linear functions used in Neural Networks, MQL5 code for implementation and the use of targeted and correctional offsets.

In the second part of the article, we will continue developing a modified version of the AOS (Atomic Orbital Search) algorithm focusing on specific operators to improve its efficiency and adaptability. After analyzing the fundamentals and mechanics of the algorithm, we will discuss ideas for improving its performance and the ability to analyze complex solution spaces, proposing new approaches to extend its functionality as an optimization tool.

In this article we will continue the simulator development stage. this time we will see how to effectively create a RANDOM WALK type movement. This type of movement is very intriguing because it forms the basis of everything that happens in the capital market. In addition, we will begin to understand some concepts that are fundamental to those conducting market analysis.

In the previous parts, the Expert Advisor (EA) under development was able to use only a fixed position size for trading. This is acceptable for testing, but is not advisable when trading on a real account. Let's make it possible to trade using variable position sizes.

The ATR oscillator is a very popular indicator for acting as a volatility proxy, especially in the forex markets where volume data is scarce. We examine this, on a pattern basis as we have with prior indicators, and share strategies & test reports thanks to the MQL5 wizard library classes and assembly.

In this article, we take the first step in MQL5 programming, even for complete beginners. We'll show you how to transform familiar candlestick patterns into a fully functional custom indicator. Candlestick patterns are valuable as they reflect real price action and signal market shifts. Instead of manually scanning charts—an approach prone to errors and inefficiencies—we'll discuss how to automate the process with an indicator that identifies and labels patterns for you. Along the way, we’ll explore key concepts like indexing, time series, Average True Range (for accuracy in varying market volatility), and the development of a custom reusable Candlestick Pattern library for use in future projects.

Category Theory is a diverse and expanding branch of Mathematics which is only recently getting some coverage in the MQL5 community. These series of articles look to explore and examine some of its concepts & axioms with the overall goal of establishing an open library that provides insight while also hopefully furthering the use of this remarkable field in Traders' strategy development.

The article takes a detailed look at the archery-inspired optimization algorithm, with an emphasis on using the roulette method as a mechanism for selecting promising areas for "arrows". The method allows evaluating the quality of solutions and selecting the most promising positions for further study.

The article presents an artificial electric field algorithm (AEFA) inspired by Coulomb's law of electrostatic force. The algorithm simulates electrical phenomena to solve complex optimization problems using charged particles and their interactions. AEFA exhibits unique properties in the context of other algorithms related to laws of nature.

In this article, we will look at how to lock the indicator while simply using the MQL5 language, and we will do it in a very interesting and amazing way.

Linear Kernels are the simplest matrix of its kind used in machine learning for linear regression and support vector machines. The Matérn kernel on the other hand is a more versatile version of the Radial Basis Function we looked at in an earlier article, and it is adept at mapping functions that are not as smooth as the RBF would assume. We build a custom signal class that utilizes both kernels in forecasting long and short conditions.

Here we'll see how custom events are triggered and how the indicator reports the state of the replay/simulation service.

Today we will remove a limitation that has been preventing simulations based on the Last price and will introduce a new entry point specifically for this type of simulation. The entire operating mechanism will be based on the principles of the forex market. The main difference in this procedure is the separation of Bid and Last simulations. However, it is important to note that the methodology used to randomize the time and adjust it to be compatible with the C_Replay class remains identical in both simulations. This is good because changes in one mode lead to automatic improvements in the other, especially when it comes to handling time between ticks.

Now the creation occurs at the same point where we converted ticks into bars. This way, if something goes wrong during the conversion process, we will immediately notice the error. This is because the same code that places 1-minute bars on the chart during fast forwarding is also used for the positioning system to place bars during normal performance. In other words, the code that is responsible for this task is not duplicated anywhere else. This way we get a much better system for both maintenance and improvement.

Although this is the third article on this topic, I must explain for those who have not yet understood the difference between the stock market and the foreign exchange market: the big difference is that in the Forex there is no, or rather, we are not given information about some points that actually occurred during the course of trading.

Let's create something more interesting. I don't want to spoil the surprise, so follow the article for a better understanding. From the very beginning of this series on developing the replay/simulator system, I was saying that the idea is to use the MetaTrader 5 platform in the same way both in the system we are developing and in the real market. It is important that this is done properly. No one wants to train and learn to fight using one tool while having to use another one during the fight.

In this article, we will finally begin to do what we wanted to do much earlier. However, due to the lack of "solid ground", I did not feel confident to present this part publicly. Now I have the basis to do this. I suggest that you focus as much as possible on understanding the content of this article. I mean not simply reading it. I want to emphasize that if you do not understand this article, you can completely give up hope of understanding the content of the following ones.