Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
9,797 documents
This beginner-oriented guide explains how MetaTrader 5 and MQL5 represent trading on Moscow Exchange. It contrasts market orders, which seek immediate execution but cannot assure price, with limit orders, which set a price but may remain unfilled. It also…
This installment in a market replay and simulation series examines reliability problems when an Expert Advisor (EA) manages position indicators on a MetaTrader chart. It explains how removing the EA or changing the tracked contract can leave misleading…
The article describes a trading model that combines a ResNeXt-based market encoder with multiple task-specific outputs. One output acts as an agent to generate trade parameters, while another estimates the probability of future price direction. Sharing the…
This article explains how an MQL5 expert advisor can subscribe to Depth of Market updates, retrieve the current book, and process its price, volume, and side fields. The event handler receives the symbol whose book changed; initialization subscribes to book…
The document presents an Elder-Ray system combining an exponential moving average (EMA) with Bulls Power and Bears Power. In the single-timeframe version, an upward EMA trend and a negative but rising Bears Power reading set up a buy; a pending buy stop is…
The article explains how to construct a synthetic continuous futures series in MetaTrader 5 using historical data for expired contracts. It describes a custom indicator that draws candles from several futures symbols, with inputs for the number of contracts…
The article presents an Expert Advisor implementation of the original Turtle trend-following rules. System 1 enters on 20-day breakouts and skips a same-direction signal after a winning prior breakout; System 2 takes every 55-day breakout. Each system exits…
The article presents DiNapoli’s use of horizontal Fibonacci retracement levels as support and resistance within market swings. It focuses on the 38.2%, 50%, and 61.8% retracements for identifying correction nodes, with extensions such as 100%, 161.8%, and…
In this interview, trader and psychiatrist Alexander Elder recounts how early profitable trades gave him a misleading sense that trading was easy. He describes learning to work with uncertainty, limit the markets and stocks he follows, and use explicit rules…
The article explains how to build a MetaTrader indicator and reusable data interface for analyzing Commitments of Traders reports from Commission-provided CSV files. It distinguishes Legacy, Supplemental Commodity Index, and Disaggregated reports, describing…
This article describes the CSymbol class in the CStrategy MQL5 trading engine, which gathers access to instrument data in a dedicated object called WS, for Working Symbol. It explains how the class provides OHLCV series, quotes, market depth, and symbol…
The article presents an Expert Advisor that detects potential bearish and bullish market-structure flips using swing highs and lows filtered by Average True Range (ATR). It converts ATR into a variable pivot depth, then checks whether a candidate high or low…
The article develops a spread between Si currency futures and RTS index futures, which it describes as usually moving in opposite directions. It fits a linear regression between the instruments, treats the difference from the resulting synthetic series as…
This article presents an MQL5 framework for rating pullbacks within an EMA-defined trend. It measures retracement depth against the recent swing high and low, assigns quality categories from shallow to structurally broken, and adds two context measures:…
This MQL5 implementation article extends a hybrid Time Price Opportunity market profile indicator with volume-based analysis. It describes accumulating volume at price levels and adding a volume point of control, volume-informed value areas, and session…
This article explains how discrete price changes, gaps, and thin liquidity can make stop and market orders execute far from their intended prices. It illustrates how a brief spike can trigger an entry and then a stop loss at unfavorable levels, producing…
The article presents an MQL5 chart overlay that turns recent volume into bubbles sized according to activity relative to a lookback baseline. It explains tick volume and exchange-reported real volume, then outlines calculating mean volume, variance, and…
The article explains the Deep Momentum Network (DMN) approach to multi-asset trend following. Rather than predict returns and determine portfolio weights separately, the model outputs each asset’s next-period position, bounded between long and short…
This tutorial outlines an automated calendar spread strategy for ETC futures on OKEx. It compares weekly and quarterly contracts, calculates their spread, and uses Bollinger Bands to identify possible entries and exits. When the spread falls below the lower…
The document discusses tick delivery for domestic commodity futures, describing a nominal feed granularity of one update per 500 milliseconds while noting that multiple transactions can occur within that interval. It argues that callback-based trading…
This reference explains a data structure for representing a self-contained order book snapshot with variable numbers of bid and ask levels. Each side stores orders and a corresponding count for every level, alongside the instrument identifier, event flags,…
This example strategy trades relative price relationships among soybean oil, rapeseed oil, and palm oil futures. It calculates a normalized spread index from the three daily closing prices, then compares five-period and fifteen-period moving averages. A…
This brief forum exchange concerns adding a percentage stop based on actual profit and loss to a CTA strategy. The questioner notes that margin differs by instrument, so a fixed price-distance calculation may not represent the actual loss, and asks whether…
This document explains a data model for reference indexes such as equity benchmarks and volatility indexes. An index instrument stores identifiers, its native symbol, quote currency, price and size precision, valid increments, timestamps, and optional…