sHistoryExport - handy script to export the historical ...

After 9 months of obsession, here is my open source Node.js framework for backtesting forex trading strategies

TL;DR There's lots more to the story. But the code is all open source now. Have at it. I'm too exhausted to continue with this. If you'd like more details, feel free to message me. If you happen to carry on with this project or use any ideas from it, I would greatly appreciate it if you could keep in touch on your findings. If anyone has any insights, please feel free to comment or message me.
I've spent the last nine months working furiously on this. I started a project for backtesting strategies against data I exported from MetaTrader. I had a very powerful computer crunching numbers constantly, trying to find the most optimal configuration of strategy indicator inputs that would results in the highest win rate and profit possible.
Eventually, after talking with a data scientist, I realized my backtesting optimizer was suffering from something called overfitting. He then recommend using the k-fold cross-validation technique. So, I modified things (in the "k-fold" forex-backtesting branch), and in fact it provided very optimistic results when backtested against MetaTrader data (60 - 70% win rate for 3 years). However, I had collected 3 months of data from a trading site (by intercepting their Web Socket data), and when I performed validation tests against that data using the k-fold results created from the MetaTrader data, I only got a ~57% win rate or so. In order to break even with Binary Options trading, you need at least a 58% win rate. So in short, the k-fold optimization results produce a good result when validation tested against data exported from MetaTrader, but they do not produce a good result when validation tested against the trading site's data.
I have two theories on why this ended up not working with the trading site's data:
For the strategy I use the following indicators: SMA (Simple Moving Average), EMA (Exponential Moving Average), RSI (Relative Strength Index), Stochastic Oscillator, and Polynomial Regression Channel. forex-backtesting has an optimizer which tries hundreds of thousands of combinations of values for each of these indicators, combined, and saves the results to a MongoDB database. It can take days to run depending on how many configurations there are.
Basically the strategy tries to detect price reversals and trade with those. So if it "thinks" the price is going to go down within the next five minutes, it places a 5 minutes PUT trade. The Polynomial Regression Channel indicator is the most important indicator; if the price deviates outside the upper or lower value for this indicator (and other indicators meet their criteria for the strategy), then a trade is initiated. The optimizer tries to find the best values for the upper and lower values (standard deviations from the middle regression line).
Additionally, I think it might be best to enter trades at the 59th or 00th second of each minute. So I have used minute tick data for backtesting.
Also, I apologize that some of the code is messy. I tried to keep it clean but ended up hacking some of it in desperation toward the end :)
gulpfile.js is a good place to start as far as figuring out how to use the tools available. Look through the available tasks, and see how various "classes" are used ("classes" in quotes because ES5 doesn't have real class support).
The best branches to look at are "k-fold" and "master", and "validation".
One word of advice: never, ever create an account with Tradorax. They will call you every other day, provide very bad customer support, hang up the phone on you, and they will make it almost impossible to withdraw your money.
submitted by chaddjohnson to algotrading [link] [comments]

Metatrader 5 tick data export - YouTube trading forex: new metatrader 4 data export - excel data analysis playlist my forex journey: metatrader 4 data, excel analysis, part 6 of 9 - vid 16 - james possible Export MetaTrader data to Excel workbook - soon QB DataExporter for MT5 How To Export Data From MetaTrader To MetaStock - YouTube my forex journey: metatrader 4 data, excel analysis, part 1 of 9 - vid 6 - james possible

Export of all necessary instruments and time frames in one click with load and checking history - Free download of the 'sHistoryExport - handy script to export the historical data in the МetaТrader 4 format' script by 'komposter' for MetaTrader 5 in the MQL5 Code Base, 2012.12.19 Export Indicator Values script for MetaTrader 5. MT5 Forex Script Characteristics. Platform: Metatrader 5. Type: Script. Time frames: any. How to install Screenshot Script in MetaTrader 5 / MT5: Copy and paste the exportindicatorwsvalues_v2.mql5 files into the MQL5 Scripts folder of the Metatrader 4 trading platform. The script used to download data from MT4 instance on your computer can be adjusted to enable larger data set to be downloaded, by editing line 30 in the script. But the problem which I have encountered (and probably others also) is that my Forex broker will not allow me to scroll back more than a limited amount of bars. For M1 it will be around 2 months of data bars. MT5 Forex Script Characteristics. Platform: Metatrader 5. Type: Script. Time frames: any. How to install Screenshot Script in MetaTrader 5 / MT5: Copy and paste the Export Summary Grouped by Trading Days script for MetaTrader 5.zip files into the MQL5 Scripts folder of the Metatrader 4 trading platform. You can select which live MT4 data to export from a list in up to 10 columns. In addition, you can customize parameters of indicators which data you want to export. The time frame and instruments data are taken from a current chart. Export live MT4 data to Excel example. The above is a small extract of how the exported MT4 data would look like ... For example, if you want to import 1 MINUTE EUR/USD DATA: (3) Double Click on "MAJORS"/ "FOREX MAJORS" --> Double Click on "EUR/USD" --> Double Click on "1 MINUTE" Timeframe. Then click on "IMPORT" at the bottom of the Window to import data in Metatrader. Click on "BROWSE" --> then find in your PC the referring file "EURUSD 1M" and Double Click on it (or OPEN). (4) Now wait a few seconds while ... Thanks for sharing your code. I would like to export historical data from MT4 to .csv, but I don't want to have to open up the platform manually each time to do this. If possible, I would like a VB script that could open the MT4 application, perhaps triggered by a scheduler event, then run the MQ4 script after that to export the data.

[index] [9320] [14046] [17243] [11546] [11404] [8052] [11446] [9359] [19371] [10392]

Metatrader 5 tick data export - YouTube

the perfect playlist for forex traders who are wanting to learn more about price data and it can be used to create a profitable trading stragey. learn how to export data from metatrader 4 learn ... Export MT4/5 data to Excel workbook with charts using Excel automation. The video shows you creation of a new template from scratch that you can edit e.g. according your native language. QB-DataExporter is tool that help traders to export data and indicators. This tool can export Forex quotes and data about most commonly used indicators. The export is in .csv format. This tool is ... learn how-to export data from metatrader 4, mt4. learn how to use excel formulas for basic data analysis. learn how-to import mt4 data into excel for data analysis. Using 2 simple tools you can Export MT4/MT5 data to MetaStock learn how-to export data from metatrader 4, mt4. learn how-to import mt4 data into excel for data analysis. this 9 part series will cover the basics and give you a jump-start in creating a trading ... Exporting tick data from Metatrader 5 is as easy as opening the symbols dialog, selecting the desired symbol, requesting the tick data in the Ticks tab and c...

https://binaryoptiontrade.llorkeanathef.gq