Libraries: Symbol - page 4

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Forum on trading, automated trading systems and testing trading strategies

Machine learning in trading: theory and practice (trading and not only)

fxsaber, 2018.04.15 16:31

Let's create a custom symbol with the right tick distribution and write a grail TC. Let's make a backtest and post the result.

// Example of creating a custom character from generated ticks

#property script_show_inputs

input string SymbName = "TESTER";

#include <fxsaber\ThirdPartyTicks\CustomSymbol.mqh> // https://www.mql5.com/en/code/20225

// Generation of tick history with the required property - technical example
int GetTicks( MqlTick &Ticks[], const int Amount = 1 e5 )
{
  static const MqlTick NullTick = {0};
  
  const int Size = ArrayResize(Ticks, Amount);
  
  long time = (TimeCurrent() - 7 * 24 * 3600) * 1000;
  
  for (int i = 0; i < Size; i++)
  {
    Ticks[i] = NullTick;
    
    const double Price1 = NormalizeDouble(MathRand() / 1000.0, 3);
    const double Price2 = NormalizeDouble(MathRand() / 1000.0, 3);
    
    Ticks[i].bid = MathMin(Price1, Price2);
    Ticks[i].ask = MathMax(Price1, Price2);
    
    time += MathRand();
    
    Ticks[i].time_msc = time;
    Ticks[i].time = (datetime)(time / 1000);
  }
  
  return(Size);
}

void OnStart()
{  
  CUSTOMSYMBOL Symb(SymbName); // Created a symbol

  if (Symb.IsCustom())
  {
    Symb.SetProperty(SYMBOL_TRADE_STOPS_LEVEL, 0);    

    // Make the currencies of the symbol the currency of the account
    Symb.SetProperty(SYMBOL_CURRENCY_PROFIT, AccountInfoString(ACCOUNT_CURRENCY));
    Symb.SetProperty(SYMBOL_CURRENCY_MARGIN, AccountInfoString(ACCOUNT_CURRENCY));
    Symb.SetProperty(SYMBOL_CURRENCY_BASE, AccountInfoString(ACCOUNT_CURRENCY));

    // To calculate the profit
// Symb.SetProperty(SYMBOL_TRADE_TICK_VALUE, 1);
// Symb.SetProperty(SYMBOL_TRADE_TICK_SIZE, Symb.GetProperty(SYMBOL_POINT));
    
    MqlTick Ticks[];
    
    GetTicks(Ticks); // Formed a tick history
    
    if ((Symb.AddTicks(Ticks) > 0) && (Symb.DataToSymbol() > 0) && Symb.On()) // Send tick history to the symbol
      ChartOpen(Symb.Name, PERIOD_CURRENT); // Opened the chart
  }
}

In this script we need to write only our own GetTicks. Based on the generated history, we will have an almost full-fledged (custom) symbol available for trading in the Tester.


 
fxsaber:

Another scenario of using custom symbols (not necessarily with the help of this library).


It is possible to fully automate the regular backtest of the Expert Advisor on fresh historical data and transfer the test results to the combat Expert Advisor to synchronise the real picture with the tester. This allows you to implement such trading logic without writing your own tester


Another possibility of using this scheme:

A free demo version of the Expert Advisor from the Market is taken and chased in the tester by fresh quotes, the copier takes data from the result of the tester. Accordingly, the paid version is not required.


Perhaps it is necessary to prohibit Market Expert Advisors backtest on custom symbols....

// Include the current day in the backtest
#property script_show_inputs

#include <Symbol.mqh> // https://www.mql5.com/en/code/18855

input int Offset = -24 * 7; // Offset in hours

#define  HOUR 3600

void OnStart()
{
  const SYMBOL Symb(_Symbol + "_Offset" + (string)Offset); // Created a symbol

  if (Symb.IsExist()) // If the symbol is created
  {
    Symb.CloneProperties(); // Copied the properties
    
    MqlRates Rates[];

    // Shifted bar times
    for (int i = CopyRates(_Symbol, PERIOD_M1, 0, (int)SeriesInfoInteger(_Symbol, PERIOD_M1, SERIES_BARS_COUNT), Rates) - 1; i >= 0; i--)
      Rates[i].time += Offset * HOUR;
      
// Symb.CloneTicks(Ticks);

    // Record the offset bars and include the symbol in the Market Watch
    if ((Symb.CloneRates(Rates) > 0) && Symb.On())
      ChartOpen(Symb.Name, PERIOD_CURRENT); // Opened a new symbol chart
  }
}

MT5 Build 1880 - works so far.

 

Two ways to set slippages in the Tester

  1. Insert pseudo-ticks (degraded prices by the slippage value) between real ticks. Then odd ticks - analysis, even ticks - trading.
  2. Analysis by a real symbol, trading - by a custom one. Custom - deterioration of the real one by the slippage value.

 

great library, but, and I quote.

Andrey Khatimlianskii:

Thank you! As always, a bit more complicated than I'd like ;)

Your codes have one undeniable advantage - they can be taken, and used. But it's quite difficult to tweak anything in them, that's a disadvantage.

It is very convenient that with one line I create a fully ready copy of a custom symbol, but:

tell me how to create your own symbol using your library, but not to copy historical data - I want to modify OHLC, and do not want to spoil your code ))), thank you in advance!

 
And I wonder why custom symbols are needed ? If real symbols available at DC are traded ?
 
Viktar Dzemikhau:
And I wonder why custom symbols are needed ? If real symbols available in DC are traded ?

I develop the thought of dickfix, like "it is not always possible to use any symbol for automatic trading, if the EA does not work on this symbol, perhaps it needs another symbol or use custom charts".

there is a certain rationale in it.

;)

 
Igor Makanu:

I'm developing the thought of dickfix, like "that it is not always possible to use any symbol for automatic trading, if the EA doesn't work on this symbol, maybe it needs another symbol or use custom charts".

there is a certain rationale in it.

;)

This is rubbish. What difference does it make what symbol? If the symbol is real, it can be accessed. I have my own symbol class. The only necessary member of the class is the name of the traded instrument. You enter another instrument, and I get all the necessary data. So I wondered, having got into this thread, why a custom symbol? If it can be traded, its name is so and so, and if it can not be traded... how can it not?
 
Viktar Dzemikhau:
If it can be traded, its name is so-and-so, and if it can't be traded... how can it not be traded?

Why can't it be traded? The Expert Advisor will work in the strategy tester, so you can use the optimiser... which means you can look for patterns.

As they say, everyone has his own way - if you think you can store data in a class, be my guest, it's easier for me to output data into a custom symbol and then use indicators on this chart.

here is the EURUSD - GBPUSD spread from my synthetics.

https://charts.mql5.com/18/849/spread-h1-alpari-international-limited.png

it is very convenient that you can visually see the chart and analyse the time of bars, and in addition, there are all TFs and you can run the strategy in the strategy tester, and it is not a problem to go back to real symbols.

 
Igor Makanu:

why not? in the strategy tester the Expert Advisor will work, so you can use the optimiser... which means you can look for patterns.

As they say, everyone has his own way - if you think that data can be stored in a class, be my guest, it's easier for me to output data into a custom symbol and then use indicators on this chart.

Of course I do. After all, in 5 you can access different tools at any moment of time. And writing a class for each tool is redundancy. It's like having shapes, and we won't use the basic shape class, but always write a new one. I am not criticising, of course. fxsaber writes quite competent things sometimes. And he knows better, apparently he needs it. But I think it is unnecessary.


Igor Makanu:

why can't you? an Expert Advisor will work in the strategy tester, so you can use the optimiser... which means you can look for patterns

As they say, everyone has his own way - if you think that data can be stored in a class, be my guest, it is easier for me to output data into a custom symbol and then use indicators on this chart.

here's a sketch of the EURUSD - GBPUSD spread from my synthetics.

https://charts.mql5.com/18/849/spread-h1-alpari-international-limited.png

It is very convenient that you can visually see the chart and analyse the time of bars, and in addition there are all TFs and you can run a strategy in the strategy tester, and it is not a problem to go back to real symbols.

If I had known what it would give, maybe I would have supported this idea. But as it is...)))

 
Igor Makanu:

please tell me how to create your own symbol using your library, but not to copy historical data - I want to modify OHLC, and do not want to spoil your code ))), thanks in advance!

Above is a short code. There are detailed comments there.

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