Articles on data analysis and statistics in MQL5

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 4 platforms. When sending a request to the server, such a trading object implies that verified and correct trading request parameters are passed to it.

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 account events in the previous article when developing the account object collection.

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.

This article deals with the theory and practical application of the algorithm for forecasting time series, based on support-vector method. It also proposes its implementation in MQL and provides test indicators and Expert Advisors. This technology has not been implemented in MQL yet. But first, we have to get to know math for it.

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 Mean (PM) as a normalization index for timeseries that computes the fraction between any data point and the CMA. We then build PMO as the difference between the moving averages applied to two PM signals. Some preliminary experiments carried out on the EURUSD symbol to test the efficacy of the proposed indicator are also reported, leaving ample space for further considerations and improvements.

The article discusses the possibility of plotting statistical distribution histograms of market conditions with the help of the graphical memory meaning no indicator buffers and arrays are applied. Sample histograms are described in details and the "hidden" functionality of MQL5 graphical objects is shown.

The article develops the ideas proposed in the previous part and considers them further. It describes the problems of yield distributions, plotting and studying statistical regularities.

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.

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 their further analysis and comparison.

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 methods, which also use three parameters. Thus, three testing parameters can be converted to one color, which visually represents the values. Read this article to find out if such a representation can be useful.

This article is intended for developers who would be interested in using SQL in their projects. It explains the functionality and advantages of SQLite. The article does not require special knowledge of SQLite functions, yet minimum understanding of SQL would be beneficial.

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.

This article describes a new approach to hedging of positions and draws the line in the debates between users of MetaTrader 4 and MetaTrader 5 about this matter. The algorithms making such hedging reliable are described in layman's terms and illustrated with simple charts and diagrams. This article is dedicated to the new panel HedgeTerminal, which is essentially a fully featured trading terminal within MetaTrader 5. Using HedgeTerminal and the virtualization of the trade it offers, positions can be managed in the way similar to MetaTrader 4.

The article gives a description of ways of use of the multiple regression analysis for development of trading systems. It demonstrates the use of the regression analysis for strategy search automation. A regression equation generated and integrated in an EA without requiring high proficiency in programming is given as an example.

The article considers real-time update of timeseries data and sending messages about the "New bar" event to the control program chart from all timeseries of all symbols for the ability to handle these events in custom programs. The "New tick" class is used to determine the need to update timeseries for the non-current chart symbol and periods.

In this article, we will continue expanding the functionality of the utility. This time, we will add the ability to display data that simplifies our trading. In particular, we are going to add High and Low prices of the previous day, round levels, High and Low prices of the year, session start time, etc.

Comparing several time series during a technical analysis is a quite common task that requires appropriate tools. In this article, I suggest developing a tool for graphical analysis and detecting correlations between two or more time series.

The trade Signals service develops in leaps and bounds. Trusting our funds to a signal provider, we would like to minimize the risk of losing our deposit. So how to puzzle out in this forest of trade signals? How to find the one that would produce profits? This paper proposes to create a tool for visually analyzing the history of trades on trade signals in a symbol chart.

This is the must read article for anyone wanting to improve their programming career. This article series is aimed at making you the best programmer you can possibly be, no matter how experienced you are. The discussed ideas work for MQL5 programming newbies as well as professionals.

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. A few more articles will be written concerning this topic. The extension has been developed using the C# language and design patterns, which additionally demonstrates the ability to expand the terminal capabilities by developing custom modules, as well as the ability to create custom graphical user interfaces using the functionality of a preferred programming language.

Many researchers do not pay enough attention to determining the price behavior. At the same time, complex methods are used, which very often are simply “black boxes”, such as machine learning or neural networks. The most important question arising in that case is what data to submit for training a particular model.

The article deals with applying DoEasy library for creating multi-symbol multi-period indicators. We are going to prepare the library classes to work within indicators and test creating timeseries to be used as data sources in indicators. We will also implement creating and sending timeseries events.

Random Walk looks very similar to the real market data, but it has some significant features. In this article we will consider the properties of Random Walk, simulated using the coin-tossing game. To study the properties of the data, the trendiness indicator is developed.

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 framework for further operation. The article presents a step-by-step creation of a flexible multicurrency application which will enable the generation of trading signals and which will assist traders in finding the desired signals.

It is essential to detect whether a market is flat or not for many strategies. Using the well known ADX we demonstrate how we can use the Strategy Tester not only to optimize this indicator for our specific purpose, but as well we can decide whether this indicator will meet our needs and get to know the average range of the flat and trend markets which might be quite important to determine stops and targets of the markets.

The idea of digital signal filtering has been widely discussed on forum topics about building trading systems. And it would be imprudent not to create a standard code of digital filters in MQL5. In this article the author describes the transformation of simple SMA indicator's code from his article "Custom Indicators in MQL5 for Newbies" into code of more complicated and universal digital filter. This article is a logical sequel to the previous article. It also tells how to replace text in code and how to correct programming errors.

In the first part of the article, I have described a modified ZigZag indicator and a class for receiving data of that type of indicators. Here, I will show how to develop indicators based on these tools and write an EA for tests that features making deals according to signals formed by ZigZag indicator. As an addition, the article will introduce a new version of the EasyAndFast library for developing graphical user interfaces.

The article provides a description of a universal method for analyzing and converting data from HTML documents based on CSS selectors. Trading reports, tester reports, your favorite economic calendars, public signals, account monitoring and additional online quote sources will become available straight from MQL.

This article considers using the Rattle package for automatic search of patterns for predicting long and short positions of currency pairs on Forex. This article can be useful both for novice and experienced traders.

The article describes custom methods for assessing the trading history. Two classes have been written for downloading and analyzing history. The first of them collects the trading history and represents it as a summary table. The second one deals with statistics: it calculates a number of variables and builds charts for a more efficient evaluation of trading results.

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 description of non-standard solutions. As a result, we will create a new tool for solving the technical task.

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

The article compares the time and results of Expert Advisors' optimization using genetic algorithms and those obtained by simple search.