New article Extract profit down to the last pip has been published:
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.
Where can we get price data for research? There are many sources of ticks. Let us choose one of them.
Chances of finding a gold nugget are probably higher when you are dealing with the rock having higher concentration of gold. Therefore, we
will use tick source with a higher potential profit. The method of determining such a comparative criterion was described
in a forum comment (in
Russian, use built-in translation option). Based on this method, I selected multi-gigabyte
archive of tick data. Billions of ticks.
Ticks can be fed into the MetaTrader 5 tester using custom
symbols. This may be too complicated for fast understanding, therefore we will use a ready script
ThirdPartyTicks, which creates such symbols based on data from the selected archive of quotes.