Articles on strategy testing in MQL5

The article describes the methods of how to understand the tester optimization results better. It also gives some tips that help to avoid "harmful optimization".

In this article, we will develop a framework for a trading system based on the Triple Screen strategy in MQL5. The Expert Advisor will not be developed from scratch. Instead, we will simply modify the program from the previous article "MQL5 Cookbook: Using Indicators to Set Trading Conditions in Expert Advisors" which already substantially serves our purpose. So the article will also demonstrate how you can easily modify patterns of ready-made programs.

How to make the testing process more visual? The answer is simple: you need to use one or more indicators in the Strategy Tester, including a tick indicator, an indicator of balance and equity, an indicator of drawdown and deposit load. This solution will help you visually track the nature of ticks, balance and equity changes, as well as drawdown and deposit load.

Determing the broker offset and GMT automatically. Instead of asking the support of your broker, from whom you will probably receive an insufficient answer (who would be willing to explain a missing hour), we simply look ourselves how they time their prices in the weeks of the time changes — but not cumbersome by hand, we let a program do it — why do we have a PC after all.

What happens after you have clicked on the "Start" button? The article answers this and many other questions.

It is time to briefly summarize the information provided in the previous articles on position properties. In this article, we will create a few additional functions to get the properties that can only be obtained after accessing the history of deals. We will also get familiar with data structures that will allow us to access position and symbol properties in a more convenient way.

When communicating in various forums, I often used examples of my test results displayed as screenshots of Microsoft Excel charts. I have many times been asked to explain how such charts can be created. Finally, I now have some time to explain it all in this article.

It's not just simple; it's super simple. Testing Expert Advisors on non-standard time frames is possible! All we need to do is to replace standard time frame data with non-standard time frame data. Furthermore, we can even test Expert Advisors that use data from several non-standard time frames.

In this article, we will create a pattern that uses a single set of parameters for optimization of a trading system, while allowing for unlimited number of parameters. The list of symbols will be created in a standard text file (*.txt). Input parameters for each symbol will also be stored in files. This way we will be able to circumvent the restriction of the terminal on the number of input parameters of an Expert Advisor.

The article implements an MQL application with a graphical interface for extended visualization of the optimization process. The graphical interface applies the last version of EasyAndFast library. Many users may ask why they need graphical interfaces in MQL applications. This article demonstrates one of multiple cases where they can be useful for traders.

This article describes the usage of the TesterWithDrawal() function for estimating risks in trade systems which imply the withdrawing of a certain part of assets during their operation. In addition, it describes the effect of this function on the algorithm of calculation of the drawdown of equity in the strategy tester. This function is useful when optimizing parameter of your Expert Advisors.

Before the first single test, every trader faces the same question — "Which of the four modes to use?" Each of the provided modes has its advantages and features, so we will do it the easy way - run all four modes at once with a single button! The article shows how to use the Win API and a little magic to see all four testing chart at the same time.

In this article, I will show you how to calculate the total profit or loss of any trade, including commission and swap. I will provide the most accurate mathematical model and use it to write the code and compare it with the standard. Besides, I will also try to get on the inside of the main MQL5 function to calculate profit and get to the bottom of all the necessary values from the specification.

The elaborate interface of the terminal MetaTrader 4 is a forefront, but beside this the terminal includes a deep-laid tester of strategies. And while the worth of MetaTrader 4 as a trading terminal is obvious, the quality of the tester's strategy testing can be assessed only in practice. This article shows the advantages and conveniences of testing in MetaTrader 4.

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 and downtrend separately. To reduce the effect of false signals and improve profitability, the systems are made flexible, meaning they have some specific set of settings or input data, which is justified because the market behavior is constantly changing.

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 corrected and improved the publicly available neural network classes, having added necessary algorithms. Now, it is time to apply them to practice.

We will present a modified version of the Expert Advisor from the previous article "MQL5 Cookbook: Position Properties on the Custom Info Panel". Some of the issues we will address include getting data from bars, checking for new bar events on the current symbol, including a trade class of the Standard Library to a file, creating a function to search for trading signals and a function for executing trading operations, as well as determining trade events in the OnTrade() function.

The MetaTrader 5 platform allows developing and testing trading robots that simultaneously trade multiple financial instruments. The built-in Strategy Tester automatically downloads required tick history from the broker's server taking into account contract specifications, so the developer does not need to do anything manually. This makes it possible to easily and reliably reproduce trading environment conditions, including even millisecond intervals between the arrival of ticks on different symbols. In this article we will demonstrate the development and testing of a spread strategy on two Moscow Exchange futures.

In this article an example of optimization by profit/drawdown criterion with results returned into a file is developed for a standard Expert Advisor - Moving Average.

Developers of order modification/closing algorithms suffer from an imperishable woe - how to compare results obtained by different methods? The mechanism of checking is well known - it is Strategy Tester. But how to make an EA to work equally for opening/closing orders? The article describes a tool that provides strong repetition of order openings that allows us to maintain a mathematically correct platform to compare the results of different algorithms for trailing stops and for exiting the market.

It will soon be a year and a half since the MQL5 Cloud Network has been launched. This leading edge event ushered in a new era of algorithmic trading - now with a couple of clicks, traders can have hundreds and thousands of computing cores at their disposal for the optimization of their trading strategies.

One-Minute Data Modelling Quality Rating

This article, the 16th in our series, continues with a look at Functors and how they can be implemented using artificial neural networks. We depart from our approach so far in the series, that has involved forecasting volatility and try to implement a custom signal class for setting position entry and exit signals.

Whatever trading strategy you use, there will always be a question of what parameters to choose to ensure future profits. This article gives an example of an Expert Advisor with a possibility to optimize multiple symbol parameters at the same time. This method is intended to reduce the effect of overfitting parameters and handle situations where data from a single symbol are not enough for the study.