Articles on data analysis and statistics in MQL5

icon

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.

Add a new article
latest | best
preview
Statistical Arbitrage Through Cointegrated Stocks (Part 2): Expert Advisor, Backtests, and Optimization

Statistical Arbitrage Through Cointegrated Stocks (Part 2): Expert Advisor, Backtests, and Optimization

This article presents a sample Expert Advisor implementation for trading a basket of four Nasdaq stocks. The stocks were initially filtered based on Pearson correlation tests. The filtered group was then tested for cointegration with Johansen tests. Finally, the cointegrated spread was tested for stationarity with the ADF and KPSS tests. Here we will see some notes about this process and the results of the backtests after a small optimization.
preview
A feature selection algorithm using energy based learning in pure MQL5

A feature selection algorithm using energy based learning in pure MQL5

In this article we present the implementation of a feature selection algorithm described in an academic paper titled,"FREL: A stable feature selection algorithm", called Feature weighting as regularized energy based learning.
preview
Developing a Replay System (Part 57): Understanding a Test Service

Developing a Replay System (Part 57): Understanding a Test Service

One point to note: although the service code is not included in this article and will only be provided in the next one, I'll explain it since we'll be using that same code as a springboard for what we're actually developing. So, be attentive and patient. Wait for the next article, because every day everything becomes more interesting.
preview
Gating mechanisms in ensemble learning

Gating mechanisms in ensemble learning

In this article, we continue our exploration of ensemble models by discussing the concept of gates, specifically how they may be useful in combining model outputs to enhance either prediction accuracy or model generalization.
preview
Eigenvectors and eigenvalues: Exploratory data analysis in MetaTrader 5

Eigenvectors and eigenvalues: Exploratory data analysis in MetaTrader 5

In this article we explore different ways in which the eigenvectors and eigenvalues can be applied in exploratory data analysis to reveal unique relationships in data.
preview
Developing a Replay System (Part 45): Chart Trade Project (IV)

Developing a Replay System (Part 45): Chart Trade Project (IV)

The main purpose of this article is to introduce and explain the C_ChartFloatingRAD class. We have a Chart Trade indicator that works in a rather interesting way. As you may have noticed, we still have a fairly small number of objects on the chart, and yet we get the expected functionality. The values present in the indicator can be edited. The question is, how is this possible? This article will start to make things clearer.
preview
Adaptive Social Behavior Optimization (ASBO): Two-phase evolution

Adaptive Social Behavior Optimization (ASBO): Two-phase evolution

We continue dwelling on the topic of social behavior of living organisms and its impact on the development of a new mathematical model - ASBO (Adaptive Social Behavior Optimization). We will dive into the two-phase evolution, test the algorithm and draw conclusions. Just as in nature a group of living organisms join their efforts to survive, ASBO uses principles of collective behavior to solve complex optimization problems.
preview
MQL5 Trading Toolkit (Part 5): Expanding the History Management EX5 Library with Position Functions

MQL5 Trading Toolkit (Part 5): Expanding the History Management EX5 Library with Position Functions

Discover how to create exportable EX5 functions to efficiently query and save historical position data. In this step-by-step guide, we will expand the History Management EX5 library by developing modules that retrieve key properties of the most recently closed position. These include net profit, trade duration, pip-based stop loss, take profit, profit values, and various other important details.
preview
Developing a Replay System (Part 60): Playing the Service (I)

Developing a Replay System (Part 60): Playing the Service (I)

We have been working on just the indicators for a long time now, but now it's time to get the service working again and see how the chart is built based on the data provided. However, since the whole thing is not that simple, we will have to be attentive to understand what awaits us ahead.
preview
Developing a Replay System (Part 35): Making Adjustments (I)

Developing a Replay System (Part 35): Making Adjustments (I)

Before we can move forward, we need to fix a few things. These are not actually the necessary fixes but rather improvements to the way the class is managed and used. The reason is that failures occurred due to some interaction within the system. Despite attempts to find out the cause of such failures in order to eliminate them, all these attempts were unsuccessful. Some of these cases make no sense, for example, when we use pointers or recursion in C/C++, the program crashes.
preview
Developing a Replay System (Part 55): Control Module

Developing a Replay System (Part 55): Control Module

In this article, we will implement a control indicator so that it can be integrated into the message system we are developing. Although it is not very difficult, there are some details that need to be understood about the initialization of this module. The material presented here is for educational purposes only. In no way should it be considered as an application for any purpose other than learning and mastering the concepts shown.
preview
Creating a Trading Administrator Panel in MQL5 (Part XI): Modern feature communications interface (I)

Creating a Trading Administrator Panel in MQL5 (Part XI): Modern feature communications interface (I)

Today, we are focusing on the enhancement of the Communications Panel messaging interface to align with the standards of modern, high-performing communication applications. This improvement will be achieved by updating the CommunicationsDialog class. Join us in this article and discussion as we explore key insights and outline the next steps in advancing interface programming using MQL5.
preview
Atmosphere Clouds Model Optimization (ACMO): Theory

Atmosphere Clouds Model Optimization (ACMO): Theory

The article is devoted to the metaheuristic Atmosphere Clouds Model Optimization (ACMO) algorithm, which simulates the behavior of clouds to solve optimization problems. The algorithm uses the principles of cloud generation, movement and propagation, adapting to the "weather conditions" in the solution space. The article reveals how the algorithm's meteorological simulation finds optimal solutions in a complex possibility space and describes in detail the stages of ACMO operation, including "sky" preparation, cloud birth, cloud movement, and rain concentration.
preview
News Trading Made Easy (Part 4): Performance Enhancement

News Trading Made Easy (Part 4): Performance Enhancement

This article will dive into methods to improve the expert's runtime in the strategy tester, the code will be written to divide news event times into hourly categories. These news event times will be accessed within their specified hour. This ensures that the EA can efficiently manage event-driven trades in both high and low-volatility environments.
preview
Developing a Replay System (Part 34): Order System (III)

Developing a Replay System (Part 34): Order System (III)

In this article, we will complete the first phase of construction. Although this part is fairly quick to complete, I will cover details that were not discussed previously. I will explain some points that many do not understand. Do you know why you have to press the Shift or Ctrl key?
preview
Developing a Replay System (Part 39): Paving the Path (III)

Developing a Replay System (Part 39): Paving the Path (III)

Before we proceed to the second stage of development, we need to revise some ideas. Do you know how to make MQL5 do what you need? Have you ever tried to go beyond what is contained in the documentation? If not, then get ready. Because we will be doing something that most people don't normally do.
preview
Developing a Replay System (Part 41): Starting the second phase (II)

Developing a Replay System (Part 41): Starting the second phase (II)

If everything seemed right to you up to this point, it means you're not really thinking about the long term, when you start developing applications. Over time you will no longer need to program new applications, you will just have to make them work together. So let's see how to finish assembling the mouse indicator.
preview
Atmosphere Clouds Model Optimization (ACMO): Practice

Atmosphere Clouds Model Optimization (ACMO): Practice

In this article, we will continue diving into the implementation of the ACMO (Atmospheric Cloud Model Optimization) algorithm. In particular, we will discuss two key aspects: the movement of clouds into low-pressure regions and the rain simulation, including the initialization of droplets and their distribution among clouds. We will also look at other methods that play an important role in managing the state of clouds and ensuring their interaction with the environment.
preview
Feature selection and dimensionality reduction using principal components

Feature selection and dimensionality reduction using principal components

The article delves into the implementation of a modified Forward Selection Component Analysis algorithm, drawing inspiration from the research presented in “Forward Selection Component Analysis: Algorithms and Applications” by Luca Puggini and Sean McLoone.
preview
MQL5 Trading Toolkit (Part 6): Expanding the History Management EX5 Library with the Last Filled Pending Order Functions

MQL5 Trading Toolkit (Part 6): Expanding the History Management EX5 Library with the Last Filled Pending Order Functions

Learn how to create an EX5 module of exportable functions that seamlessly query and save data for the most recently filled pending order. In this comprehensive step-by-step guide, we will enhance the History Management EX5 library by developing dedicated and compartmentalized functions to retrieve essential properties of the last filled pending order. These properties include the order type, setup time, execution time, filling type, and other critical details necessary for effective pending orders trade history management and analysis.
preview
Population optimization algorithms: Bacterial Foraging Optimization - Genetic Algorithm (BFO-GA)

Population optimization algorithms: Bacterial Foraging Optimization - Genetic Algorithm (BFO-GA)

The article presents a new approach to solving optimization problems by combining ideas from bacterial foraging optimization (BFO) algorithms and techniques used in the genetic algorithm (GA) into a hybrid BFO-GA algorithm. It uses bacterial swarming to globally search for an optimal solution and genetic operators to refine local optima. Unlike the original BFO, bacteria can now mutate and inherit genes.
preview
Stepwise feature selection in MQL5

Stepwise feature selection in MQL5

In this article, we introduce a modified version of stepwise feature selection, implemented in MQL5. This approach is based on the techniques outlined in Modern Data Mining Algorithms in C++ and CUDA C by Timothy Masters.
preview
MQL5 Wizard Techniques you should know (Part 29): Continuation on Learning Rates with MLPs

MQL5 Wizard Techniques you should know (Part 29): Continuation on Learning Rates with MLPs

We wrap up our look at learning rate sensitivity to the performance of Expert Advisors by primarily examining the Adaptive Learning Rates. These learning rates aim to be customized for each parameter in a layer during the training process and so we assess potential benefits vs the expected performance toll.
preview
Developing a Replay System (Part 56): Adapting the Modules

Developing a Replay System (Part 56): Adapting the Modules

Although the modules already interact with each other properly, an error occurs when trying to use the mouse pointer in the replay service. We need to fix this before moving on to the next step. Additionally, we will fix an issue in the mouse indicator code. So this version will be finally stable and properly polished.
preview
Population optimization algorithms: Resistance to getting stuck in local extrema (Part I)

Population optimization algorithms: Resistance to getting stuck in local extrema (Part I)

This article presents a unique experiment that aims to examine the behavior of population optimization algorithms in the context of their ability to efficiently escape local minima when population diversity is low and reach global maxima. Working in this direction will provide further insight into which specific algorithms can successfully continue their search using coordinates set by the user as a starting point, and what factors influence their success.
preview
From Novice to Expert: Animated News Headline Using MQL5 (V)—Event Reminder System

From Novice to Expert: Animated News Headline Using MQL5 (V)—Event Reminder System

In this discussion, we’ll explore additional advancements as we integrate refined event‑alerting logic for the economic calendar events displayed by the News Headline EA. This enhancement is critical—it ensures users receive timely notifications a short time before key upcoming events. Join this discussion to discover more.
preview
Developing a Replay System (Part 63): Playing the service (IV)

Developing a Replay System (Part 63): Playing the service (IV)

In this article, we will finally solve the problems with the simulation of ticks on a one-minute bar so that they can coexist with real ticks. This will help us avoid problems in the future. The material presented here is for educational purposes only. Under no circumstances should the application be viewed for any purpose other than to learn and master the concepts presented.
preview
Developing a Replay System (Part 58): Returning to Work on the Service

Developing a Replay System (Part 58): Returning to Work on the Service

After a break in development and improvement of the service used for replay/simulator, we are resuming work on it. Now that we've abandoned the use of resources like terminal globals, we'll have to completely restructure some parts of it. Don't worry, this process will be explained in detail so that everyone can follow the development of our service.
preview
MQL5 Trading Toolkit (Part 7): Expanding the History Management EX5 Library with the Last Canceled Pending Order Functions

MQL5 Trading Toolkit (Part 7): Expanding the History Management EX5 Library with the Last Canceled Pending Order Functions

Learn how to complete the creation of the final module in the History Manager EX5 library, focusing on the functions responsible for handling the most recently canceled pending order. This will provide you with the tools to efficiently retrieve and store key details related to canceled pending orders with MQL5.
preview
MQL5 Wizard Techniques you should know (Part 30): Spotlight on Batch-Normalization in Machine Learning

MQL5 Wizard Techniques you should know (Part 30): Spotlight on Batch-Normalization in Machine Learning

Batch normalization is the pre-processing of data before it is fed into a machine learning algorithm, like a neural network. This is always done while being mindful of the type of Activation to be used by the algorithm. We therefore explore the different approaches that one can take in reaping the benefits of this, with the help of a wizard assembled Expert Advisor.
preview
Self Optimizing Expert Advisors in MQL5 (Part 12): Building Linear Classifiers Using Matrix Factorization

Self Optimizing Expert Advisors in MQL5 (Part 12): Building Linear Classifiers Using Matrix Factorization

This article explores the powerful role of matrix factorization in algorithmic trading, specifically within MQL5 applications. From regression models to multi-target classifiers, we walk through practical examples that demonstrate how easily these techniques can be integrated using built-in MQL5 functions. Whether you're predicting price direction or modeling indicator behavior, this guide lays a strong foundation for building intelligent trading systems using matrix methods.