Welcome to the fifth part of our series. By now, you should have a fair understanding of Quant Trading and its application in MT5. In this post, we’ll delve deeper into the process of developing Quant Trading strategies in MQL5, the programming language of MT5.
What is MQL5?
MQL5 is a high-level object-oriented programming language based on C++, offering functionalities for developing trading robots, technical market indicators, scripts, and function libraries for MetaTrader 5. Its rich functionality, along with its easy-to-understand syntax, makes it an ideal tool for Quant Trading.
Building a Quant Trading Strategy in MQL5
Creating a Quant Trading strategy in MQL5 involves the following steps:
- Identify the Strategy: Your first task is to identify a trading strategy. This strategy could be based on various technical or fundamental factors, or a mix of both. For instance, you might want to build a strategy that executes trades based on the crossover of two moving averages.
- Write the Code: Once the strategy is identified, you need to write the MQL5 code to implement it. This involves defining your trading rules and how your Expert Advisor (EA) should execute the trades. Here’s a simple example of how you might code a moving average crossover strategy:
mql5
//+——————————————————————+
//| Expert initialization function |
//+——————————————————————+
int OnInit()
{
//—
//—
return(INIT_SUCCEEDED);
}
//+——————————————————————+
//| Expert deinitialization function |
//+——————————————————————+
void OnDeinit(const int reason)
{
//—
}
//+——————————————————————+
//| Expert tick function |
//+——————————————————————+
void OnTick()
{
//— get handles
int ma_handle1=iMA(Symbol(),0,5,0,MODE_EMA,PRICE_CLOSE);
int ma_handle2=iMA(Symbol(),0,10,0,MODE_EMA,PRICE_CLOSE);
//— get values
double ma1=iCustom(Symbol(),0,ma_handle1,1);
double ma2=iCustom(Symbol(),0,ma_handle2,1);
//— trading conditions
if(ma1>ma2)
OrderSend(Symbol(),OP_BUY,0.01,Ask,3,0,0);
else if(ma1<ma2)
OrderSend(Symbol(),OP_SELL,0.01,Bid,3,0,0);
}
//+——————————————————————+
- Backtesting the Strategy: After coding the strategy, you should backtest it using historical market data. MT5 comes with a powerful Strategy Tester that allows you to backtest your EA under different market conditions.
- Optimization: MT5 also allows you to optimize your strategy to find the most profitable settings. This process involves running multiple backtests with different parameter values and selecting the combination that yields the best results.
- Forward Testing: Once you are satisfied with the backtest and optimization results, you should forward test your strategy on a demo account to see how it performs in real-time market conditions.
- Go Live: After successful forward testing, your Quant Trading strategy is ready to go live.
MQL5 is a versatile and powerful tool for Quant Trading. The ability to code your own strategies, test, optimize, and implement them gives you a significant edge in the market. In the next blog post, we’ll delve deeper into more advanced Quant Trading techniques. Stay tuned!
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