Articles on strategy testing in MQL5

How to develop, write and test a trading strategy, how to find the optimal system parameters and how to analyze the results? The MetaTrader platform offers developers of trading robots rich functionality for fast and accurate testing of trading ideas. Read these articles to learn how to test multi-currency robots and how to use MQL5 Cloud Network for optimization purposes.

Developers of automated trading systems are recommended to start with the testing fundamentals and tick generation algorithms in the strategy tester.

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Continuous Walk-Forward Optimization (Part 5): Auto Optimizer project overview and creation of a GUI

This article provides further description of the walk-forward optimization in the MetaTrader 5 terminal. In previous articles, we considered methods for generating and filtering the optimization

Continuous Walk-Forward Optimization (Part 4): Optimization Manager (Auto Optimizer)

The main purpose of the article is to describe the mechanism of working with our application and its capabilities. Thus the article can be treated as an instruction on how to use the application. It

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

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

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

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

MQL5 Cookbook: Trading strategy stress testing using custom symbols

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

Merrill patterns

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

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

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

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

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

Studying candlestick analysis techniques (Part II): Auto search for new patterns

In the previous article, we analyzed 14 patterns selected from a large variety of existing candlestick formations. It is impossible to analyze all the patterns one by one, therefore another solution

Studying candlestick analysis techniques (part I): Checking existing patterns

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

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

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

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

Using indicators for optimizing Expert Advisors in real time

Efficiency of any trading robot depends on the correct selection of its parameters (optimization). However, parameters that are considered optimal for one time interval may not retain their

Automated Optimization of an EA for MetaTrader 5

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

Developing stock indicators featuring volume control through the example of the delta indicator

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

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

Visual strategy builder. Creating trading robots without programming

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

Processing optimization results using the graphical interface

This is a continuation of the idea of processing and analysis of optimization results. This time, our purpose is to select the 100 best optimization results and display them in a GUI table. The user

Multi-symbol balance graph in MetaTrader 5

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

Visualizing trading strategy optimization in MetaTrader 5

The article implements an MQL application with a graphical interface for extended visualization of the optimization process. The graphical interface applies the last version of EasyAndFast library

Controlled optimization: Simulated annealing

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

Custom Strategy Tester based on fast mathematical calculations

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

Resolving entries into indicators

Different situations happen in trader’s life. Often, the history of successful trades allows us to restore a strategy, while looking at a loss history we try to develop and improve it. In both cases

Mini Market Emulator or Manual Strategy Tester

Mini Market Emulator is an indicator designed for partial emulation of work in the terminal. Presumably, it can be used to test "manual" strategies of market analysis and trading

Optimizing a strategy using balance graph and comparing results with "Balance + max Sharpe Ratio" criterion

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

TradeObjects: Automation of trading based on MetaTrader graphical objects

The article deals with a simple approach to creating an automated trading system based on the chart linear markup and offers a ready-made Expert Advisor using the standard properties of the MetaTrader

Creating and testing custom symbols in 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

The Flag Pattern

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

Custom Walk Forward optimization in MetaTrader 5

The article deals with the approaches enabling accurate simulation of walk forward optimization using the built-in tester and auxiliary libraries implemented in MQL

Trading with Donchian Channels

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

How Long Is the Trend?

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%

Comparative Analysis of 10 Trend Strategies

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