Articles on machine learning in trading
Creating AI-based trading robots: native integration with Python, matrices and vectors, math and statistics libraries and much more.
Find out how to use machine learning in trading. Neurons, perceptrons, convolutional and recurrent networks, predictive models — start with the basics and work your way up to developing your own AI. You will learn how to train and apply neural networks for algorithmic trading in financial markets.
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MQL5 Wizard Techniques you should know (Part 23): CNNs
Convolutional Neural Networks are another machine learning algorithm that tend to specialize in decomposing multi-dimensioned data sets into key constituent parts. We look at how this is typically achieved and explore a possible application for traders in another MQL5 wizard signal class.
Neural networks made easy (Part 76): Exploring diverse interaction patterns with Multi-future Transformer
This article continues the topic of predicting the upcoming price movement. I invite you to get acquainted with the Multi-future Transformer architecture. Its main idea is to decompose the multimodal distribution of the future into several unimodal distributions, which allows you to effectively simulate various models of interaction between agents on the scene.
Neural networks made easy (Part 75): Improving the performance of trajectory prediction models
The models we create are becoming larger and more complex. This increases the costs of not only their training as well as operation. However, the time required to make a decision is often critical. In this regard, let us consider methods for optimizing model performance without loss of quality.
Neural networks made easy (Part 74): Trajectory prediction with adaptation
This article introduces a fairly effective method of multi-agent trajectory forecasting, which is able to adapt to various environmental conditions.
Gain An Edge Over Any Market (Part II): Forecasting Technical Indicators
Did you know that we can gain more accuracy forecasting certain technical indicators than predicting the underlying price of a traded symbol? Join us to explore how to leverage this insight for better trading strategies.
MQL5 Wizard Techniques you should know (Part 22): Conditional GANs
Generative Adversarial Networks are a pairing of Neural Networks that train off of each other for more accurate results. We adopt the conditional type of these networks as we look to possible application in forecasting Financial time series within an Expert Signal Class.
Neural networks made easy (Part 73): AutoBots for predicting price movements
We continue to discuss algorithms for training trajectory prediction models. In this article, we will get acquainted with a method called "AutoBots".
Neural networks made easy (Part 72): Trajectory prediction in noisy environments
The quality of future state predictions plays an important role in the Goal-Conditioned Predictive Coding method, which we discussed in the previous article. In this article I want to introduce you to an algorithm that can significantly improve the prediction quality in stochastic environments, such as financial markets.
Reimagining Classic Strategies: Crude Oil
In this article, we revisit a classic crude oil trading strategy with the aim of enhancing it by leveraging supervised machine learning algorithms. We will construct a least-squares model to predict future Brent crude oil prices based on the spread between Brent and WTI crude oil prices. Our goal is to identify a leading indicator of future changes in Brent prices.
MQL5 Wizard Techniques you should know (Part 21): Testing with Economic Calendar Data
Economic Calendar Data is not available for testing with Expert Advisors within Strategy Tester, by default. We look at how Databases could help in providing a work around this limitation. So, for this article we explore how SQLite databases can be used to archive Economic Calendar news such that wizard assembled Expert Advisors can use this to generate trade signals.
Data Science and Machine Learning (Part 23): Why LightGBM and XGBoost outperform a lot of AI models?
These advanced gradient-boosted decision tree techniques offer superior performance and flexibility, making them ideal for financial modeling and algorithmic trading. Learn how to leverage these tools to optimize your trading strategies, improve predictive accuracy, and gain a competitive edge in the financial markets.
Population optimization algorithms: Artificial Multi-Social Search Objects (MSO)
This is a continuation of the previous article considering the idea of social groups. The article explores the evolution of social groups using movement and memory algorithms. The results will help to understand the evolution of social systems and apply them in optimization and search for solutions.
Population optimization algorithms: Evolution of Social Groups (ESG)
We will consider the principle of constructing multi-population algorithms. As an example of this type of algorithm, we will have a look at the new custom algorithm - Evolution of Social Groups (ESG). We will analyze the basic concepts, population interaction mechanisms and advantages of this algorithm, as well as examine its performance in optimization problems.
Neural networks made easy (Part 71): Goal-Conditioned Predictive Coding (GCPC)
In previous articles, we discussed the Decision Transformer method and several algorithms derived from it. We experimented with different goal setting methods. During the experiments, we worked with various ways of setting goals. However, the model's study of the earlier passed trajectory always remained outside our attention. In this article. I want to introduce you to a method that fills this gap.
Integrate Your Own LLM into EA (Part 3): Training Your Own LLM with CPU
With the rapid development of artificial intelligence today, language models (LLMs) are an important part of artificial intelligence, so we should think about how to integrate powerful LLMs into our algorithmic trading. For most people, it is difficult to fine-tune these powerful models according to their needs, deploy them locally, and then apply them to algorithmic trading. This series of articles will take a step-by-step approach to achieve this goal.
Neural networks made easy (Part 70): Closed-Form Policy Improvement Operators (CFPI)
In this article, we will get acquainted with an algorithm that uses closed-form policy improvement operators to optimize Agent actions in offline mode.
Causal inference in time series classification problems
In this article, we will look at the theory of causal inference using machine learning, as well as the custom approach implementation in Python. Causal inference and causal thinking have their roots in philosophy and psychology and play an important role in our understanding of reality.
Spurious Regressions in Python
Spurious regressions occur when two time series exhibit a high degree of correlation purely by chance, leading to misleading results in regression analysis. In such cases, even though variables may appear to be related, the correlation is coincidental and the model may be unreliable.
MQL5 Wizard Techniques you should know (Part 20): Symbolic Regression
Symbolic Regression is a form of regression that starts with minimal to no assumptions on what the underlying model that maps the sets of data under study would look like. Even though it can be implemented by Bayesian Methods or Neural Networks, we look at how an implementation with Genetic Algorithms can help customize an expert signal class usable in the MQL5 wizard.
Population optimization algorithms: Binary Genetic Algorithm (BGA). Part II
In this article, we will look at the binary genetic algorithm (BGA), which models the natural processes that occur in the genetic material of living things in nature.
Triangular arbitrage with predictions
This article simplifies triangular arbitrage, showing you how to use predictions and specialized software to trade currencies smarter, even if you're new to the market. Ready to trade with expertise?
Neural networks made easy (Part 69): Density-based support constraint for the behavioral policy (SPOT)
In offline learning, we use a fixed dataset, which limits the coverage of environmental diversity. During the learning process, our Agent can generate actions beyond this dataset. If there is no feedback from the environment, how can we be sure that the assessments of such actions are correct? Maintaining the Agent's policy within the training dataset becomes an important aspect to ensure the reliability of training. This is what we will talk about in this article.
Developing an MQL5 RL agent with RestAPI integration (Part 3): Creating automatic moves and test scripts in MQL5
This article discusses the implementation of automatic moves in the tic-tac-toe game in Python, integrated with MQL5 functions and unit tests. The goal is to improve the interactivity of the game and ensure the reliability of the system through testing in MQL5. The presentation covers game logic development, integration, and hands-on testing, and concludes with the creation of a dynamic game environment and a robust integrated system.
Population optimization algorithms: Binary Genetic Algorithm (BGA). Part I
In this article, we will explore various methods used in binary genetic and other population algorithms. We will look at the main components of the algorithm, such as selection, crossover and mutation, and their impact on the optimization. In addition, we will study data presentation methods and their impact on optimization results.
Statistical Arbitrage with predictions
We will walk around statistical arbitrage, we will search with python for correlation and cointegration symbols, we will make an indicator for Pearson's coefficient and we will make an EA for trading statistical arbitrage with predictions done with python and ONNX models.
A feature selection algorithm using energy based learning in pure MQL5
In this article we present the implementation of a feature selection algorithm described in an academic paper titled,"FREL: A stable feature selection algorithm", called Feature weighting as regularized energy based learning.
Introduction to MQL5 (Part 7): Beginner's Guide to Building Expert Advisors and Utilizing AI-Generated Code in MQL5
Discover the ultimate beginner's guide to building Expert Advisors (EAs) with MQL5 in our comprehensive article. Learn step-by-step how to construct EAs using pseudocode and harness the power of AI-generated code. Whether you're new to algorithmic trading or seeking to enhance your skills, this guide provides a clear path to creating effective EAs.
MQL5 Wizard Techniques you should know (Part 18): Neural Architecture Search with Eigen Vectors
Neural Architecture Search, an automated approach at determining the ideal neural network settings can be a plus when facing many options and large test data sets. We examine how when paired Eigen Vectors this process can be made even more efficient.
Data Science and Machine Learning (Part 22): Leveraging Autoencoders Neural Networks for Smarter Trades by Moving from Noise to Signal
In the fast-paced world of financial markets, separating meaningful signals from the noise is crucial for successful trading. By employing sophisticated neural network architectures, autoencoders excel at uncovering hidden patterns within market data, transforming noisy input into actionable insights. In this article, we explore how autoencoders are revolutionizing trading practices, offering traders a powerful tool to enhance decision-making and gain a competitive edge in today's dynamic markets.
The Group Method of Data Handling: Implementing the Combinatorial Algorithm in MQL5
In this article we continue our exploration of the Group Method of Data Handling family of algorithms, with the implementation of the Combinatorial Algorithm along with its refined incarnation, the Combinatorial Selective Algorithm in MQL5.
Neural networks made easy (Part 68): Offline Preference-guided Policy Optimization
Since the first articles devoted to reinforcement learning, we have in one way or another touched upon 2 problems: exploring the environment and determining the reward function. Recent articles have been devoted to the problem of exploration in offline learning. In this article, I would like to introduce you to an algorithm whose authors completely eliminated the reward function.
Population optimization algorithms: Micro Artificial immune system (Micro-AIS)
The article considers an optimization method based on the principles of the body's immune system - Micro Artificial Immune System (Micro-AIS) - a modification of AIS. Micro-AIS uses a simpler model of the immune system and simple immune information processing operations. The article also discusses the advantages and disadvantages of Micro-AIS compared to conventional AIS.
Population optimization algorithms: Bacterial Foraging Optimization - Genetic Algorithm (BFO-GA)
The article presents a new approach to solving optimization problems by combining ideas from bacterial foraging optimization (BFO) algorithms and techniques used in the genetic algorithm (GA) into a hybrid BFO-GA algorithm. It uses bacterial swarming to globally search for an optimal solution and genetic operators to refine local optima. Unlike the original BFO, bacteria can now mutate and inherit genes.
Developing an MQL5 Reinforcement Learning agent with RestAPI integration (Part 1): How to use RestAPIs in MQL5
In this article we will talk about the importance of APIs (Application Programming Interface) for interaction between different applications and software systems. We will see the role of APIs in simplifying interactions between applications, allowing them to efficiently share data and functionality.
Population optimization algorithms: Evolution Strategies, (μ,λ)-ES and (μ+λ)-ES
The article considers a group of optimization algorithms known as Evolution Strategies (ES). They are among the very first population algorithms to use evolutionary principles for finding optimal solutions. We will implement changes to the conventional ES variants and revise the test function and test stand methodology for the algorithms.
Overcoming ONNX Integration Challenges
ONNX is a great tool for integrating complex AI code between different platforms, it is a great tool that comes with some challenges that one must address to get the most out of it, In this article we discuss the common issues you might face and how to mitigate them.
MQL5 Wizard Techniques you should know (Part 16): Principal Component Analysis with Eigen Vectors
Principal Component Analysis, a dimensionality reducing technique in data analysis, is looked at in this article, with how it could be implemented with Eigen values and vectors. As always, we aim to develop a prototype expert-signal-class usable in the MQL5 wizard.
Population optimization algorithms: Changing shape, shifting probability distributions and testing on Smart Cephalopod (SC)
The article examines the impact of changing the shape of probability distributions on the performance of optimization algorithms. We will conduct experiments using the Smart Cephalopod (SC) test algorithm to evaluate the efficiency of various probability distributions in the context of optimization problems.
Population optimization algorithms: Simulated Isotropic Annealing (SIA) algorithm. Part II
The first part was devoted to the well-known and popular algorithm - simulated annealing. We have thoroughly considered its pros and cons. The second part of the article is devoted to the radical transformation of the algorithm, which turns it into a new optimization algorithm - Simulated Isotropic Annealing (SIA).
Population optimization algorithms: Simulated Annealing (SA) algorithm. Part I
The Simulated Annealing algorithm is a metaheuristic inspired by the metal annealing process. In the article, we will conduct a thorough analysis of the algorithm and debunk a number of common beliefs and myths surrounding this widely known optimization method. The second part of the article will consider the custom Simulated Isotropic Annealing (SIA) algorithm.