Lazy Trading Part 2: Setting up and deploying Trading System

Main topics of this Section

• Get prepared for the day/week

• Read about the Programming Language

• Learn about Trading Strategies

• Read Threads and get involved

• Open Codes from other programmers

Observations: 

Remember that this section is an introduction to Tools and habits that you should use and implement in your everyday routines. In the next section, we will use some of them as I am going to explain some mechanisms of the expert advisors that we use. And help you think like an Algo trader!

Enjoy the classes!

Sometimes there is just not enough time to study all these techniques and real goal is to learn computer and data science...

Advantages:

• Deploy in hours using Environmental Variables

• Adapt and expand

• All in ‘one place’

• Description

Introduction to coding in MQL4... if one is serious about it - almost any idea can be implemented in code!

Lecture to explain components of the algorithmic trading system

MQL[C++] code may be hard as it is creating a level of 'abstraction'. This means that Programmer must keep in mind all the instructions while writing a code. This makes it difficult to supervise your work and even may lead to bugs. We don't want to waste our time by finding those bugs. This is an invitation for students to create a very basic test script to be able to test pieces of codes!

Simply test anything here! From definition of simple variables to testing for loops and functions...

Data Types:

• bool

• int

• string

• double

• ...

This is just needed to create our variables or sections in the memory. Our program will be able to operate them...

Getting the value from MQL4 function is probably the most common activity within any Trading Robot

Ability to define Conditions are the key to define trading robot logic

Rule of thumb:

Create function if you copy/paste code more than 3 times...

1. Save your functions inside …MQL4/Include/MyFunctions.mqh file

2. Refer to your functions using #include < MyFunctions.mqh> inside every trading robot

Three popular functions to debug code:

• Pop-up message on screen: Alert();

• Comment on the chart: Comment();

• Logs in the tab Experts Print();

For loop in MQL4

these are probably some useful facts about arrays

• used to store information, e.g. array [ ]

• needs to be declared (reserve memory), fast code execution

• can be dynamic or static

• can be of several levels

• hard to interpret

Be able to distinguish between types and possibly take informed decision which one is the best one...

Author's consideration about types of Algorithmic Systems:

• Rule-based: where trading decisions are defined by the sets of rules which are programmed. Optimal parameters are found by optimization

• Model-based: where trading decisions are defined by the model object. Model object is trained using open-source algorithms...

• Hybrid: Trading decisions and filters are defined by combination of both rule and model based trading systems

Advantages:

• Easy to interpret

• Possible to backtest

Disadvantages:

• Often requires a lot of time to manually maintain

• Past performance could never guarantee future results...

goals of this sections are:

• code structure of trading robot template

• examples

How the robot is constructed:

• 5 modules
• 5 sub-modules of main module (start)

Lecture explains how to get (fork) the code for the course

This lecture is aimed to get the reference to original course and code creator

Showing custom functions that allows to log trading results to file

Lecture explains how included functions were added enabling logging results of the trades

Show where to put your hands to modify strategy...

Video lecture

Developing and deploying bot for ranging market

Blindly deploying our robot to generate many trades

Lecture explains how to store your settings under Metatrader profiles

Explained motivation behind keeping content of profiles under Version Control

Down to practice - how to evaluate trading strategy?

1. Describe method of trading strategy simulation

2. Perform optimization and trades simulation

3. Summarize and analyse results

Simple trading robot implementation

* example of trading robot implemented on the FALCON template

Tasks for students that wish to practice to learn by experimenting:

1. Clone this repository and synchronize it to the Trading Terminal

2. Open this code in MetaEditor

3. Find common strategy parameters

4. Study how parameter MinPipLimit is used in the code to derive Buy decision

5. How price at StartHour are compared to Price_X ? How do we translate pips into price value?

6. Check in the code how user can block execution of Sell positions?

7. Check in the code how orders are closed using Timer. Which function is used for that?

8. Compile and use Strategy Tester to verify the following:

   • Time hold order is working see parameter TimeMaxHold

   • Setup 'Hard Stop' to be 500 pips, run strategy tester on pair EURUSD and verify that value

   • Repeat for JPY pairs target

   • Both Buy/Sell orders are opened use parameter Buy_True and Sell_True

   • Only Buy | Only Sell

   • Both Buy/Sell orders are blocked

   • Multi positions are possible

9. Perform 'Optimization' using Strategy Parameters and by selecting max 4-5 parameters. Which one do you choose?

10. What do you think should be the 'TimeMaxHold' parameter for this robot?

Example of Optimization Matrix.

Warning: very heavy and time consuming work!

Learning objectives:

1. Prepare systematic strategy test matrix

2. Document steps of robot optimization

Set basic parameters in Strategy Tester and parameters to optimize

Possible to try additional ideas:

1. increase time to hold position;

2. increase number of positions

3. increase volatility stop loss

Method of data collection - video demonstration

Based on the developers guideline, the idea is to automate robot's backtest or optimization

Demonstration

Options to be able to configure automatic optimization or even startup experts with specific settings

Deep dive review of the main script

Video demonstration of how the script for automatic optimization works

video demonstration of how the script for automatic backtest works

As there is no straightforward solution, and because there is no such feature in MT4, we will attempt to build such workflow in the next section of this course!

Review what we aim to achieve in this section

Review the workflow of this section...

p.s. sorry end of the video was cut short by the video recording software (have a great coding experience!)

Video demonstration how we log parameters of the MT4 robot during each trade performed during backtest

Lets repeat automatic optimization of the Trading Strategy. This time we should be able to also log parameters used at each trade of the optimization process...

Windows Environmental Variables are used to make code working without updating user paths

Using dedicated R script to analyze trading results along with the robot parameters as obtained during optimization

Illustrating slight discrepancy of the code at the latest github release from those shown in the videos of the section. Also check the resource link showing how R function was build

We proceed with the R code that will help us to join trading results with the corresponding robot parameters

Use 'dplyr verbs' to find the best parameter(s).

Overwrite file with the settings of the robot

Backtest using new parameters

• Use R script opt_PerformBacktesting.R

• Inspect backtest results

• Calculate profit factor from last month backtest

We update part of the script to activate or disactivate Trading Robot (using csv files)

Discussion about how to change robot parameters:

• folder profiles,

• info in file chartxx.chr shall be changed

• terminal shall be restarted

Demonstrating how automatic optimization, update parameter & backtest would work!

In this video, our goal will be to execute all code in R scripts including to execute batch scripts, perform analysis in R, write respective decisions.

This video aims to achieve the task automation - to execute all scripts at predefined schedule.

(this is an ultimate goal and phylosophy of this course :)

p.s. unfortunately we could not sort yet sort the problem of running MT4 platforms in the interactive mode during execution of the tasks. nevertheless we are able to complete the goal by restarting PC

A quick summary of this section