MQL4 Random Entry Systems

[Jim]

Hi Matka,

I understand your point. What I am trying to say is with approach like that you follow "pseudo random" path, you adapt your system to kind of non random pattern which under particular circumstances can be reproduced or repeated.

It was recently brought to my attention that Van Tharp presented the results of some random entry experiments in his book "Trade Your Way to Financial Freedom". That led me to an interesting discussion on that topic, which branched out to discuss software random number generators in more detail. The conclusion seemed to be that the Mersenne Twister algorithm is a good choice for trading experiments.

That said, for my random entry experiments described in this thread I'm not too concerned with the theoretical quality of those entries. I'm more concerned with demonstrating what it's possible to achieve using apparently very "dumb" entries, as well as determining some sort of baseline from which to measure the "edge" provided by supposedly more "intelligent" entries.

At the moment I am using MT4 with patches, not open source but fairly tested plus lots of other advantages due to it's popularity.

Ah, I see what you mean. The trouble with MT4 in this context is that the platform itself is NOT open source. Barring the odd patch, getting bugs fixed and improving functionality is not easy to do. MetaTrader may well be popular, but that doesn't mean it's the best tool for the job. Just in case it might be of interest I've started a forum for discussion about fully open source trading platforms, starting with TradeLink.

I agree with you that ultimate test for backtester is comparison with live result tests, however sometimes it is not that easy due to non centralized nature of FX market and differences in quotations

I guess we'll all have to start trading currency futures instead!

Cheers,

Jim

[matka]

Ah, I see what you mean.

I am sorry Jim but English is not my first language and I am still struggling to properly express what I mean. Please bear it in mind when you get confused reading my posts. Thank you very much for your explanation and very interesting links. I will be back, hopefully with some interesting results.

Cheers

matka

[pippa]

Hi,
I was analyzing the GuruEx01.mq4 file, when I noticed, that for the "Lotsize" there are different names in the code:

at input parameters.....Lots
at Places an Order.....Quantity
at Check for Entry.....Size

but I could not find any assignment like: if Lots < Minlots....then
or any other exchange of values between Lots-Quantity-Size.


Could you explain, please ?

[Jim]

Hi Pippa,

As it says in the header, GuruEx01 is "about as simple a "robot" as it is possible to produce". It doesn't do any error checking on the input settings for example.

"Lots" is one of those input parameters, and hopefully its purpose is obvious! That variable's scope is global, so you could potentially access it anywhere in the program. However that's not really good practice.

CheckEntry() is a simple demonstration of how to pass a parameter to a function, and uses a different local name for what is the same thing (in this "robot" at least) to avoid any possible confusion with the global version. In a more complex EA "Size" could be derived in some way from "Lots" and/or other input parameters.

The same principle applies to the more elaborate Order() function. Maybe that would be a good place to validate that the "Quantity" is going to be acceptable to the broker? The beginnings of that sort of thing is already done for the "Price".

Does that make sense?

Jim

[pippa]

Yes,
thanks for your explanation, now its become clearer to me!

[Jim]

N.B. pippa has now provided a "Not-So-Random Entry" system, which doesn't really fit in here any more. It's been moved to a thread of its own over here.