All (not yet) about Strategy Tester, Optimization and Cloud - page 2

[Sergey Golubev]

More article:

Genetic algorithms - it's easy!

Genetic algorithm (GA) refers to the heuristic algorithm (EA), which gives an acceptable solution to the problem in the majority of practically significant cases, but the correctness of the decisions has not been proven mathematically, and is used most often for problems, the analytical solution of which is very difficult or even impossible.

A classic example of a problem of this class (class NP) is a "traveling salesman problem" (is one of the most famous combinatorial optimization problems). The main challenge is finding the most advantageous route, which passes through the given cities at least one time, and then returns to the initial city). But nothing prevents to use them for tasks, which yield to formalization.

EA are widely used for solving problems of high computational complexity, instead of going through all of the options, which takes up a significant amount of time. They are used in the fields of artificial intelligence, such as pattern recognition, in antivirus software, engineering, computer games, and other areas.

It should be mentioned that MetaQuotes Software Corp. uses GA in their software products of MetaTrader4 / 5. We all know about the strategy tester and about how much time and effort can be saved by using a built-in strategy optimizer, in which, just like with the direct enumeration, it is possible to optimize with the use of GA. In addition, the MetaTrader 5 tester allows us to use the user optimization criteria. Perhaps the reader will be interested in reading the articles about theGAand the advantages, provided by EA, in contrast todirect enumeration.

[Sergey Golubev]

More article related:

Creating custom criteria of optimization of expert advisors 

The MetaTrader 5 Client Terminal offers a wide range of opportunities for optimization of Expert Advisor parameters. In addition to the optimization criteria included in the strategy tester, developers are given the opportunity of creating their own criteria. This leads to an almost limitless number of possibilities of testing and optimizing of Expert Advisors. The article describes practical ways of creating such criteria - both complex and simple ones.

[Sergey Golubev]

Neural network: Self-optimizing Expert Advisor  

After we have defined our strategy and implemented it in our Expert Advisor, we face two issues that may completely invalidate our efforts.

• What are the most suitable input values?
• How long do these values remain reliable? When do we need to perform a re-optimization?

Apart from predefined parameters (symbol, timeframe, etc.), there are other (editable) settings: indicator calculation period, buy/sell levels, TP/SL levels, etc. This may cause some issues when using the EA.

Is it possible to develop an Expert Advisor able to optimize position open and close conditions at defined intervals?

[Sergey Golubev]

Some discussion threads which may help to newbies:

MetaTester Agents won't start to work

Myql agent manager 

Little question of a newbie

[Sergey Golubev]

And this is something which may be important for example:

============

MetaTrader 5 Help → MQL5 Cloud Network → How to Participate - Restrictions of Participation on MQL5 Cloud Network 

There are several limitations of participation on MQL5 Cloud Network:

• An agent should have at least 768 MB of available physical memory to perform calculations.
• To connect your agents to the MQL5 Cloud Network, the computer where the agents are installed must have at least 2048MB of RAM.
• The agent's productivity index (PR) should not be less than 50.
• Agents installed on a virtual machine cannot participate in MQL5 Cloud Network.
• Agents having PR below 100 are not used in  genetic optimization in order not to slow down the calculation process. The reason is that the calculation is performed by generations (256 passes). While one generation is not calculated, calculation of the next one cannot start. Even if a single pass out of 256 ones is calculated by a low PR agent, the total calculation speed is reduced.
• An agent will not be able to receive new tasks from the MQL5 Cloud Network if the free disk space on the computer where the agent is installed falls below 500MB.
• Agents do not receive tasks from the cloud network in case the PC they are installed at is powered by a battery (it refers to laptops).

[Sergey Golubev]

good thread to disclose some limitations - 

Metatrader5 Strategy Tester Limitations on the Cloud Network: how to fix?

Forum on trading, automated trading systems and testing trading strategies

Metatrader5 Strategy Tester Limitations on the Cloud Network: how to fix?

Alain Verleyen, 2017.09.23 11:37

This article should help -

Creating and testing custom symbols in MetaTrader 5 

[Sergey Golubev]

Multi-Currency Expert Advisors in MT5  - backtesting and optimization

 

The threads/posts

• Buying or Selling all 7 pairs - the thread with the explanation.
• Multi-Currency Expert Advisors the post with the examples of backtesting/optimization
  

CodeBase  

• Multi-currency night scalper - Night Scalper Multi - expert for MetaTrader 5 
• Multi-symbol Two iMA Simple - expert for MetaTrader 5
  
• and more on CodeBase here (the link to the search result).

The articles

• LifeHack for trader: "Quiet" optimization or Plotting trade distributions 
  Interesting results can also be obtained by running a multi-currency EA in the strategy tester. As an example, the free Multicurrency Expert from the CodeBase was used. In addition, the "#include <DistributionOfProfits.mqh>" file was specified and the "CDistributionOfProfits ExtDistribution" variable was declared in the header of the EA, and the "OnTester()" function was added at the end of the code. After a single run, the following statistics had been received: "TestAnalysis.htm".
• How to Test a Trading Robot Before Buying
  optimization it over all symbols selected in Market Watch 
  
• How to visualize multicurrency trading history based on HTML and CSV reports 
• Multi-symbol balance graph in MetaTrader 5 
  
• Creating a Multi-Currency Multi-System Expert Advisor 
• Creating an Expert Advisor, which Trades on a Number of Instruments

Documentation

• MetaTrader 5 Help → Algorithmic Trading, Trading Robots → Optimization Types - All Symbols Selected in Market Watch
• MetaTrader 5 Help → Algorithmic Trading, Trading Robots → Strategy Testing - Multi-Currency Expert Advisors
• MetaTrader 5 Help - Trading Platform — User Manual

Forum on trading, automated trading systems and testing trading strategies

How to Start with Metatrader 5

Sergey Golubev, 2019.05.22 14:25

How to visualize multicurrency trading history based on HTML and CSV reports 

Since its introduction, MetaTrader 5 provides multicurrency testing options. This possibility is often used by traders. However the function is not universal. In particular, after running a test, the user can open a chart with performed trading operations. But this is only a chart of one traded symbol selected in the strategy tester settings. The entire trading history of all used symbols cannot be viewed after testing, while visual examination is not always efficient. Additional analysis may be required after some time after testing. Also, a report can be provided by another person. Therefore, a tool for visualizing trading on multiple working symbols based on the HTML testing report would be very useful.

The previous article provided a description of the HTML parser based on CSS selectors[1]. The parser extracts the list of deals from the HTML report, based on which we can trades can be formed (graphical objects). Parsing of CSV files from the Signals section is a bit easier, while the file format for the MetaTrader 4 (*.history.csv) and MetaTrader 5 (*.positions.csv) signals is supported by the built-in MQL functions.

[Sergey Golubev]

Good thread was started - 

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MT4 Strategy Tester : good practices, know-how and howtos 

This topic is NOT to ask questions, it will be used as a reference.

[Sergey Golubev]

New article -

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Custom Strategy Tester based on fast mathematical calculations 

Contents

• Introduction
• General information about the math calculations mode
• Saving the symbol history data for the tester based on mathematical calculations
• Loading MqlRates from a compressed byte array
• Prototype strategy based on a moving average
• Virtual position class
• Trading block class
• The first testing of the expert. Working in the optimizer
• Saving custom optimization results using the frame mechanism
• Getting a byte representation of the position history. Saving data in frames
• Creating a Strategy Analyzer
• Conclusion

[Sergey Golubev]

New article was published (with video about HowTo) - 

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Controlled optimization: Simulated annealing

The Strategy Tester in the MetaTrader 5 trading platform provides only two optimization options: complete search of parameters and genetic algorithm. This article proposes a new method for optimizing trading strategies — Simulated annealing. The method's algorithm, its implementation and integration into any Expert Advisor are considered here. Next, its performance is tested using the MovingAverage EA, and the results obtained by Simulated annealing method are compared with those of genetic algorithm.