Grokking market "memory" through differentiation and entropy analysis
The scope of use of fractional differentiation is wide enough. For example, a differentiated series is usually input into machine learning algorithms. The problem is that it is necessary to display...
Price velocity measurement methods
There are multiple different approaches to market research and analysis. The main ones are technical and fundamental. In technical analysis, traders collect, process and analyze numerical data and...
Evaluating the ability of Fractal index and Hurst exponent to predict financial time series
Studies related to search for the fractal behavior of financial data suggest that behind the seemingly chaotic behavior of economic time series there are hidden stable mechanisms of participants'...
Library for easy and quick development of MetaTrader programs (part VII): StopLimit order activation events, preparing the functionality for order and position modification events
In the previous articles, we started creating a large cross-platform library simplifying the development of programs for MetaTrader 5 and MetaTrader 4 platforms. In the sixth part, we trained the...
Library for easy and quick development of MetaTrader programs (part VI): Netting account events
In the previous articles, we started creating a large cross-platform library simplifying the development of programs for MetaTrader 5 and MetaTrader 4 platforms. In the fifth part of the article...
Applying OLAP in trading (part 2): Visualizing the interactive multidimensional data analysis results
In this article, we consider the creation of an interactive graphical interface for an MQL program, which is designed for the processing of account history and trading reports using OLAP techniques....
Applying OLAP in trading (part 1): Online analysis of multidimensional data
The article describes how to create a framework for the online analysis of multidimensional data (OLAP), as well as how to implement this in MQL and to apply such analysis in the MetaTrader...
Developing graphical interfaces based on .Net Framework and C# (part 2): Additional graphical elements
The article is a follow-up of the previous publication "Developing graphical interfaces for Expert Advisors and indicators based on .Net Framework and C#". It introduces new graphical elements for...
Library for easy and quick development of MetaTrader programs (part V): Classes and collection of trading events, sending events to the program
In the previous articles, we started creating a large cross-platform library simplifying the development of programs for MetaTrader 5 and MetaTrader 4 platforms. In the fourth part, we tested tracking...
Selection and navigation utility in MQL5 and MQL4: Adding data to charts
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...
Library for easy and quick development of MetaTrader programs (part IV): Trading events
In the previous articles, we started creating a large cross-platform library simplifying the development of programs for MetaTrader 5 and MetaTrader 4 platforms. We already have collections of...
How to visualize multicurrency trading history based on HTML and CSV reports
Since its introduction, MetaTrader 5 provides multicurrency testing options. This possibility is often used by traders. However the function is not universal. The article presents several programs for...
Studying candlestick analysis techniques (part IV): Updates and additions to Pattern Analyzer
The article presents a new version of the Pattern Analyzer application. This version provides bug fixes and new features, as well as the revised user interface. Comments and suggestions from previous...
Developing a cross-platform grider EA
In this article, we will learn how to create Expert Advisors (EAs) working both in MetaTrader 4 and MetaTrader 5. To do this, we are going to develop an EA constructing order grids. Griders are EAs...
A DLL for MQL5 in 10 Minutes (Part II): Creating with Visual Studio 2017
The original basic article has not lost its relevance and thus if you are interested in this topic, be sure to read the first article. However much time has passed since then, so the current Visual...
Using MATLAB 2018 computational capabilities in MetaTrader 5
After the upgrade of the MATLAB package in 2015, it is necessary to consider a modern way of creating DLL libraries. The article uses a sample predictive indicator to illustrate the peculiarities of...
MTF indicators as the technical analysis tool
Most of traders agree that the current market state analysis starts with the evaluation of higher chart timeframes. The analysis is performed downwards to lower timeframes until the one, at which...
Library for easy and quick development of MetaTrader programs (part III). Collection of market orders and positions, search and sorting
In the first part, we started creating a large cross-platform library simplifying the development of programs for MetaTrader 5 and MetaTrader 4 platforms. Further on, we implemented the collection of...
Extracting structured data from HTML pages using CSS selectors
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...
Library for easy and quick development of MetaTrader programs (part II). Collection of historical orders and deals
In the first part, we started creating a large cross-platform library simplifying the development of programs for MetaTrader 5 and MetaTrader 4 platforms. We created the COrder abstract object which...
Studying candlestick analysis techniques (part III): Library for pattern operations
The purpose of this article is to create a custom tool, which would enable users to receive and use the entire array of information about patterns discussed earlier. We will create a library of...
Library for easy and quick development of MetaTrader programs (part I). Concept, data management and first results
While analyzing a huge number of trading strategies, orders for development of applications for MetaTrader 5 and MetaTrader 4 terminals and various MetaTrader websites, I came to the conclusion that...
Scraping bond yield data from the web
Automate the collection of interest rate data to improve the performance of an Expert Advisor.
Developing graphical interfaces for Expert Advisors and indicators based on .Net Framework and C#
The article presents a simple and fast method of creating graphical windows using Visual Studio with subsequent integration into the Expert Advisor's MQL code. The article is meant for non-specialist...
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...
MetaTrader 5 and Python integration: receiving and sending data
Comprehensive data processing requires extensive tools and is often beyond the sandbox of one single application. Specialized programming languages are used for processing and analyzing data,...
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...
MQL Parsing by Means of MQL
The article describes a preprocessor, a scanner, and a parser to be used in parsing the MQL-based source codes. MQL implementation is attached.
The power of ZigZag (part II). Examples of receiving, processing and displaying data
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...
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...
The power of ZigZag (part I). Developing the base class of the indicator
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...
Practical application of correlations in trading
In this article, we will analyze the concept of correlation between variables, as well as methods for the calculation of correlation coefficients and their practical use in trading. Correlation is a...
Applying Monte Carlo method in reinforcement learning
In the article, we will apply Reinforcement learning to develop self-learning Expert Advisors. In the previous article, we considered the Random Decision Forest algorithm and wrote a simple...
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...
Martingale as the basis for a long-term trading strategy
In this article we will consider in detail the martingale system. We will review whether this system can be applied in trading and how to use it in order to minimize risks. The main disadvantage of...
Horizontal diagrams on MеtaTrader 5 charts
Horizontal diagrams are not a common occurrence on the terminal charts but they can still be of use in a number of tasks, for example when developing indicators displaying volume or price distribution...
Analyzing trading results using HTML reports
The MetaTrader 5 platform features functionality for saving trading reports, as well as Expert Advisor testing and optimization reports. Trading and testing reports can be saved in two formats: XLSX...
Selection and navigation utility in MQL5 and MQL4: Adding auto search for patterns and displaying detected symbols
In this article, we continue expanding the features of the utility for collecting and navigating through symbols. This time, we will create new tabs displaying only the symbols that satisfy some of...
Practical Use of Kohonen Neural Networks in Algorithmic Trading. Part I. Tools
The present article develops the idea of using Kohonen Maps in MetaTrader 5, covered in some previous publications. The improved and enhanced classes provide tools to solve application tasks.
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...