Developing a Replay System — Market simulation (Part 18): Ticks and more ticks (II)
Obviously the current metrics are very far from the ideal time for creating a 1-minute bar. That's the first thing we are going to fix. Fixing the synchronization problem is not difficult. This may seem hard, but it's actually quite simple. We did not make the required correction in the previous article since its purpose was to explain how to transfer the tick data that was used to create the 1-minute bars on the chart into the Market Watch window.
Introduction to MQL5 (Part 1): A Beginner's Guide into Algorithmic Trading
Dive into the fascinating realm of algorithmic trading with our beginner-friendly guide to MQL5 programming. Discover the essentials of MQL5, the language powering MetaTrader 5, as we demystify the world of automated trading. From understanding the basics to taking your first steps in coding, this article is your key to unlocking the potential of algorithmic trading even without a programming background. Join us on a journey where simplicity meets sophistication in the exciting universe of MQL5.
Developing a Replay System — Market simulation (Part 17): Ticks and more ticks (I)
Here we will see how to implement something really interesting, but at the same time very difficult due to certain points that can be very confusing. The worst thing that can happen is that some traders who consider themselves professionals do not know anything about the importance of these concepts in the capital market. Well, although we focus here on programming, understanding some of the issues involved in market trading is paramount to what we are going to implement.
Developing a Replay System — Market simulation (Part 16): New class system
We need to organize our work better. The code is growing, and if this is not done now, then it will become impossible. Let's divide and conquer. MQL5 allows the use of classes which will assist in implementing this task, but for this we need to have some knowledge about classes. Probably the thing that confuses beginners the most is inheritance. In this article, we will look at how to use these mechanisms in a practical and simple way.
Developing a Replay System — Market simulation (Part 15): Birth of the SIMULATOR (V) - RANDOM WALK
In this article we will complete the development of a simulator for our system. The main goal here will be to configure the algorithm discussed in the previous article. This algorithm aims to create a RANDOM WALK movement. Therefore, to understand today's material, it is necessary to understand the content of previous articles. If you have not followed the development of the simulator, I advise you to read this sequence from the very beginning. Otherwise, you may get confused about what will be explained here.
Developing a Replay System — Market simulation (Part 14): Birth of the SIMULATOR (IV)
In this article we will continue the simulator development stage. this time we will see how to effectively create a RANDOM WALK type movement. This type of movement is very intriguing because it forms the basis of everything that happens in the capital market. In addition, we will begin to understand some concepts that are fundamental to those conducting market analysis.
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.
Developing a Replay System — Market simulation (Part 12): Birth of the SIMULATOR (II)
Developing a simulator can be much more interesting than it seems. Today we'll take a few more steps in this direction because things are getting more interesting.
Developing a Replay System — Market simulation (Part 11): Birth of the SIMULATOR (I)
In order to use the data that forms the bars, we must abandon replay and start developing a simulator. We will use 1 minute bars because they offer the least amount of difficulty.
Developing a Replay System — Market simulation (Part 10): Using only real data for Replay
Here we will look at how we can use more reliable data (traded ticks) in the replay system without worrying about whether it is adjusted or not.
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.
Permuting price bars in MQL5
In this article we present an algorithm for permuting price bars and detail how permutation tests can be used to recognize instances where strategy performance has been fabricated to deceive potential buyers of Expert Advisors.
Developing a Replay System — Market simulation (Part 08): Locking the indicator
In this article, we will look at how to lock the indicator while simply using the MQL5 language, and we will do it in a very interesting and amazing way.
Developing a Replay System — Market simulation (Part 07): First improvements (II)
In the previous article, we made some fixes and added tests to our replication system to ensure the best possible stability. We also started creating and using a configuration file for this system.
Estimate future performance with confidence intervals
In this article we delve into the application of boostrapping techniques as a means to estimate the future performance of an automated strategy.
Developing a Replay System — Market simulation (Part 06): First improvements (I)
In this article, we will begin to stabilize the entire system, without which we might not be able to proceed to the next steps.
Category Theory in MQL5 (Part 18): Naturality Square
This article continues our series into category theory by introducing natural transformations, a key pillar within the subject. We look at the seemingly complex definition, then delve into examples and applications with this series’ ‘bread and butter’; volatility forecasting.
Monte Carlo Permutation Tests in MetaTrader 5
In this article we take a look at how we can conduct permutation tests based on shuffled tick data on any expert advisor using only Metatrader 5.
Developing a Replay System — Market simulation (Part 05): Adding Previews
We have managed to develop a way to implement the market replay system in a realistic and accessible way. Now let's continue our project and add data to improve the replay behavior.
Testing different Moving Average types to see how insightful they are
We all know the importance of the Moving Average indicator for a lot of traders. There are other Moving average types that can be useful in trading, we will identify these types in this article and make a simple comparison between each one of them and the most popular simple Moving average type to see which one can show the best results.
Category Theory in MQL5 (Part 16): Functors with Multi-Layer Perceptrons
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.
Developing a Replay System — Market simulation (Part 04): adjusting the settings (II)
Let's continue creating the system and controls. Without the ability to control the service, it is difficult to move forward and improve the system.
Trading strategy based on the improved Doji candlestick pattern recognition indicator
The metabar-based indicator detected more candles than the conventional one. Let's check if this provides real benefit in the automated trading.
Category Theory in MQL5 (Part 15) : Functors with Graphs
This article on Category Theory implementation in MQL5, continues the series by looking at Functors but this time as a bridge between Graphs and a set. We revisit calendar data, and despite its limitations in Strategy Tester use, make the case using functors in forecasting volatility with the help of correlation.
Category Theory in MQL5 (Part 14): Functors with Linear-Orders
This article which is part of a broader series on Category Theory implementation in MQL5, delves into Functors. We examine how a Linear Order can be mapped to a set, thanks to Functors; by considering two sets of data that one would typically dismiss as having any connection.
Developing a Replay System — Market simulation (Part 03): Adjusting the settings (I)
Let's start by clarifying the current situation, because we didn't start in the best way. If we don't do it now, we'll be in trouble soon.
Category Theory in MQL5 (Part 13): Calendar Events with Database Schemas
This article, that follows Category Theory implementation of Orders in MQL5, considers how database schemas can be incorporated for classification in MQL5. We take an introductory look at how database schema concepts could be married with category theory when identifying trade relevant text(string) information. Calendar events are the focus.
Developing a Replay System — Market simulation (Part 02): First experiments (II)
This time, let's try a different approach to achieve the 1 minute goal. However, this task is not as simple as one might think.
Developing a Replay System — Market simulation (Part 01): First experiments (I)
How about creating a system that would allow us to study the market when it is closed or even to simulate market situations? Here we are going to start a new series of articles in which we will deal with this topic.
Rebuy algorithm: Multicurrency trading simulation
In this article, we will create a mathematical model for simulating multicurrency pricing and complete the study of the diversification principle as part of the search for mechanisms to increase the trading efficiency, which I started in the previous article with theoretical calculations.
Multilayer perceptron and backpropagation algorithm (Part 3): Integration with the Strategy Tester - Overview (I).
The multilayer perceptron is an evolution of the simple perceptron which can solve non-linear separable problems. Together with the backpropagation algorithm, this neural network can be effectively trained. In Part 3 of the Multilayer Perceptron and Backpropagation series, we'll see how to integrate this technique into the Strategy Tester. This integration will allow the use of complex data analysis aimed at making better decisions to optimize your trading strategies. In this article, we will discuss the advantages and problems of this technique.
Category Theory (Part 9): Monoid-Actions
This article continues the series on category theory implementation in MQL5. Here we continue monoid-actions as a means of transforming monoids, covered in the previous article, leading to increased applications.
Category Theory in MQL5 (Part 8): Monoids
This article continues the series on category theory implementation in MQL5. Here we introduce monoids as domain (set) that sets category theory apart from other data classification methods by including rules and an identity element.
Understand and Use MQL5 Strategy Tester Effectively
There is an essential need for MQL5 programmers or developers to master important and valuable tools. One of these tools is the Strategy Tester, this article is a practical guide to understanding and using the strategy tester of MQL5.
Multibot in MetaTrader: Launching multiple robots from a single chart
In this article, I will consider a simple template for creating a universal MetaTrader robot that can be used on multiple charts while being attached to only one chart, without the need to configure each instance of the robot on each individual chart.
MQL5 Wizard techniques you should know (Part 06): Fourier Transform
The Fourier transform introduced by Joseph Fourier is a means of deconstructing complex data wave points into simple constituent waves. This feature could be resourceful to traders and this article takes a look at that.
Population optimization algorithms: ElectroMagnetism-like algorithm (ЕМ)
The article describes the principles, methods and possibilities of using the Electromagnetic Algorithm in various optimization problems. The EM algorithm is an efficient optimization tool capable of working with large amounts of data and multidimensional functions.
Category Theory in MQL5 (Part 7): Multi, Relative and Indexed Domains
Category Theory is a diverse and expanding branch of Mathematics which is only recently getting some coverage in the MQL5 community. These series of articles look to explore and examine some of its concepts & axioms with the overall goal of establishing an open library that provides insight while also hopefully furthering the use of this remarkable field in Traders' strategy development.
Population optimization algorithms: Saplings Sowing and Growing up (SSG)
Saplings Sowing and Growing up (SSG) algorithm is inspired by one of the most resilient organisms on the planet demonstrating outstanding capability for survival in a wide variety of conditions.
Population optimization algorithms: Monkey algorithm (MA)
In this article, I will consider the Monkey Algorithm (MA) optimization algorithm. The ability of these animals to overcome difficult obstacles and get to the most inaccessible tree tops formed the basis of the idea of the MA algorithm.