Articles on trading system automation in MQL5
Read articles on the trading systems with a wide variety of ideas at the core. Learn how to use statistical methods and patterns on candlestick charts, how to filter signals and where to use semaphore indicators.
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Trading with the MQL5 Economic Calendar (Part 1): Mastering the Functions of the MQL5 Economic Calendar
In this article, we explore how to use the MQL5 Economic Calendar for trading by first understanding its core functionalities. We then implement key functions of the Economic Calendar in MQL5 to extract relevant news data for trading decisions. Finally, we conclude by showcasing how to utilize this information to enhance trading strategies effectively.
Developing a multi-currency Expert Advisor (Part 4): Pending virtual orders and saving status
Having started developing a multi-currency EA, we have already achieved some results and managed to carry out several code improvement iterations. However, our EA was unable to work with pending orders and resume operation after the terminal restart. Let's add these features.
Ten "Errors" of a Newcomer in Trading?
The article substantiates approach to building a trading system as a sequence of opening and closing the interrelated orders regarding the existing conditions - prices and the current values of each order's profit/loss, not only and not so much the conventional "alerts". We are giving an exemplary realization of such an elementary trading system.
Neural Networks in Trading: Dual-Attention-Based Trend Prediction Model
We continue the discussion about the use of piecewise linear representation of time series, which was started in the previous article. Today we will see how to combine this method with other approaches to time series analysis to improve the price trend prediction quality.
Developing a multi-currency Expert Advisor (Part 6): Automating the selection of an instance group
After optimizing the trading strategy, we receive sets of parameters. We can use them to create several instances of trading strategies combined in one EA. Previously, we did this manually. Here we will try to automate this process.
Design Patterns in software development and MQL5 (Part 2): Structural Patterns
In this article, we will continue our articles about Design Patterns after learning how much this topic is more important for us as developers to develop extendable, reliable applications not only by the MQL5 programming language but others as well. We will learn about another type of Design Patterns which is the structural one to learn how to design systems by using what we have as classes to form larger structures.
Developing a Replay System — Market simulation (Part 09): Custom events
Here we'll see how custom events are triggered and how the indicator reports the state of the replay/simulation service.
Creating an MQL5-Telegram Integrated Expert Advisor (Part 4): Modularizing Code Functions for Enhanced Reusability
In this article, we refactor the existing code used for sending messages and screenshots from MQL5 to Telegram by organizing it into reusable, modular functions. This will streamline the process, allowing for more efficient execution and easier code management across multiple instances.
Visualizing deals on a chart (Part 2): Data graphical display
Here we are going to develop a script from scratch that simplifies unloading print screens of deals for analyzing trading entries. All the necessary information on a single deal is to be conveniently displayed on one chart with the ability to draw different timeframes.
Manual Backtesting Made Easy: Building a Custom Toolkit for Strategy Tester in MQL5
In this article, we design a custom MQL5 toolkit for easy manual backtesting in the Strategy Tester. We explain its design and implementation, focusing on interactive trade controls. We then show how to use it to test strategies effectively
Neural Networks in Trading: State Space Models
A large number of the models we have reviewed so far are based on the Transformer architecture. However, they may be inefficient when dealing with long sequences. And in this article, we will get acquainted with an alternative direction of time series forecasting based on state space models.
Trend Prediction with LSTM for Trend-Following Strategies
Long Short-Term Memory (LSTM) is a type of recurrent neural network (RNN) designed to model sequential data by effectively capturing long-term dependencies and addressing the vanishing gradient problem. In this article, we will explore how to utilize LSTM to predict future trends, enhancing the performance of trend-following strategies. The article will cover the introduction of key concepts and the motivation behind development, fetching data from MetaTrader 5, using that data to train the model in Python, integrating the machine learning model into MQL5, and reflecting on the results and future aspirations based on statistical backtesting.
Neural Networks Made Easy (Part 84): Reversible Normalization (RevIN)
We already know that pre-processing of the input data plays a major role in the stability of model training. To process "raw" input data online, we often use a batch normalization layer. But sometimes we need a reverse procedure. In this article, we discuss one of the possible approaches to solving this problem.
Developing a multi-currency Expert Advisor (Part 3): Architecture revision
We have already made some progress in developing a multi-currency EA with several strategies working in parallel. Considering the accumulated experience, let's review the architecture of our solution and try to improve it before we go too far ahead.
Trading Insights Through Volume: Trend Confirmation
The Enhanced Trend Confirmation Technique combines price action, volume analysis, and machine learning to identify genuine market movements. It requires both price breakouts and volume surges (50% above average) for trade validation, while using an LSTM neural network for additional confirmation. The system employs ATR-based position sizing and dynamic risk management, making it adaptable to various market conditions while filtering out false signals.
Integrate Your Own LLM into EA (Part 4): Training Your Own LLM with GPU
With the rapid development of artificial intelligence today, language models (LLMs) are an important part of artificial intelligence, so we should think about how to integrate powerful LLMs into our algorithmic trading. For most people, it is difficult to fine-tune these powerful models according to their needs, deploy them locally, and then apply them to algorithmic trading. This series of articles will take a step-by-step approach to achieve this goal.
Data Science and Machine Learning (Part 17): Money in the Trees? The Art and Science of Random Forests in Forex Trading
Discover the secrets of algorithmic alchemy as we guide you through the blend of artistry and precision in decoding financial landscapes. Unearth how Random Forests transform data into predictive prowess, offering a unique perspective on navigating the complex terrain of stock markets. Join us on this journey into the heart of financial wizardry, where we demystify the role of Random Forests in shaping market destiny and unlocking the doors to lucrative opportunities
Neural networks made easy (Part 71): Goal-Conditioned Predictive Coding (GCPC)
In previous articles, we discussed the Decision Transformer method and several algorithms derived from it. We experimented with different goal setting methods. During the experiments, we worked with various ways of setting goals. However, the model's study of the earlier passed trajectory always remained outside our attention. In this article. I want to introduce you to a method that fills this gap.
Developing a Replay System — Market simulation (Part 24): FOREX (V)
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.
MQL5 Wizard Techniques you should know (Part 37): Gaussian Process Regression with Linear and Matérn Kernels
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.
Developing a Replay System — Market simulation (Part 23): FOREX (IV)
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.
Creating a Trading Administrator Panel in MQL5 (Part II): Enhancing Responsiveness and Quick Messaging
In this article, we will enhance the responsiveness of the Admin Panel that we previously created. Additionally, we will explore the significance of quick messaging in the context of trading signals.
Developing a Replay System — Market simulation (Part 13): Birth of the SIMULATOR (III)
Here we will simplify a few elements related to the work in the next article. I'll also explain how you can visualize what the simulator generates in terms of randomness.
Archery Algorithm (AA)
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.
Price Action Analysis Toolkit Development (Part 12): External Flow (III) TrendMap
The flow of the market is determined by the forces between bulls and bears. There are specific levels that the market respects due to the forces acting on them. Fibonacci and VWAP levels are especially powerful in influencing market behavior. Join me in this article as we explore a strategy based on VWAP and Fibonacci levels for signal generation.
Neural networks made easy (Part 74): Trajectory prediction with adaptation
This article introduces a fairly effective method of multi-agent trajectory forecasting, which is able to adapt to various environmental conditions.
Neural networks made easy (Part 42): Model procrastination, reasons and solutions
In the context of reinforcement learning, model procrastination can be caused by several reasons. The article considers some of the possible causes of model procrastination and methods for overcoming them.
Automating Trading Strategies in MQL5 (Part 17): Mastering the Grid-Mart Scalping Strategy with a Dynamic Dashboard
In this article, we explore the Grid-Mart Scalping Strategy, automating it in MQL5 with a dynamic dashboard for real-time trading insights. We detail its grid-based Martingale logic and risk management features. We also guide backtesting and deployment for robust performance.
Building a Candlestick Trend Constraint Model (Part 10): Strategic Golden and Death Cross (EA)
Did you know that the Golden Cross and Death Cross strategies, based on moving average crossovers, are some of the most reliable indicators for identifying long-term market trends? A Golden Cross signals a bullish trend when a shorter moving average crosses above a longer one, while a Death Cross indicates a bearish trend when the shorter average moves below. Despite their simplicity and effectiveness, manually applying these strategies often leads to missed opportunities or delayed trades. By automating them within the Trend Constraint EA using MQL5, these strategies can operate independently to handle market reversals efficiently, while constrained strategies align with broader trends. This approach revolutionizes performance by ensuring precise execution and seamless integration of reversal and trend-following systems.
Application of Nash's Game Theory with HMM Filtering in Trading
This article delves into the application of John Nash's game theory, specifically the Nash Equilibrium, in trading. It discusses how traders can utilize Python scripts and MetaTrader 5 to identify and exploit market inefficiencies using Nash's principles. The article provides a step-by-step guide on implementing these strategies, including the use of Hidden Markov Models (HMM) and statistical analysis, to enhance trading performance.
Neural Networks Made Easy (Part 83): The "Conformer" Spatio-Temporal Continuous Attention Transformer Algorithm
This article introduces the Conformer algorithm originally developed for the purpose of weather forecasting, which in terms of variability and capriciousness can be compared to financial markets. Conformer is a complex method. It combines the advantages of attention models and ordinary differential equations.
Building A Candlestick Trend Constraint Model (Part 5): Notification System (Part III)
This part of the article series is dedicated to integrating WhatsApp with MetaTrader 5 for notifications. We have included a flow chart to simplify understanding and will discuss the importance of security measures in integration. The primary purpose of indicators is to simplify analysis through automation, and they should include notification methods for alerting users when specific conditions are met. Discover more in this article.
Developing a Replay System — Market simulation (Part 22): FOREX (III)
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.
Neural Networks Made Easy (Part 85): Multivariate Time Series Forecasting
In this article, I would like to introduce you to a new complex timeseries forecasting method, which harmoniously combines the advantages of linear models and transformers.
Neural Networks in Trading: Lightweight Models for Time Series Forecasting
Lightweight time series forecasting models achieve high performance using a minimum number of parameters. This, in turn, reduces the consumption of computing resources and speeds up decision-making. Despite being lightweight, such models achieve forecast quality comparable to more complex ones.
MQL5 Wizard Techniques you should know (Part 24): Moving Averages
Moving Averages are a very common indicator that are used and understood by most Traders. We explore possible use cases that may not be so common within MQL5 Wizard assembled Expert Advisors.
Developing a Replay System — Market simulation (Part 19): Necessary adjustments
Here we will prepare the ground so that if we need to add new functions to the code, this will happen smoothly and easily. The current code cannot yet cover or handle some of the things that will be necessary to make meaningful progress. We need everything to be structured in order to enable the implementation of certain things with the minimal effort. If we do everything correctly, we can get a truly universal system that can very easily adapt to any situation that needs to be handled.
Developing a Replay System (Part 37): Paving the Path (I)
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.
Developing a Replay System (Part 51): Things Get Complicated (III)
In this article, we will look into one of the most difficult issues in the field of MQL5 programming: how to correctly obtain a chart ID, and why objects are sometimes not plotted on the chart. The materials presented here are for didactic purposes only. Under no circumstances should the application be viewed for any purpose other than to learn and master the concepts presented.
Neural Networks Made Easy (Part 95): Reducing Memory Consumption in Transformer Models
Transformer architecture-based models demonstrate high efficiency, but their use is complicated by high resource costs both at the training stage and during operation. In this article, I propose to get acquainted with algorithms that allow to reduce memory usage of such models.