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MQL4 or Excel for building strategies

  • #1
  • First Post: Dec 1, 2009 7:36am Dec 1, 2009 7:36am
Hi,

I am a newbie on the FX market and my broker offers the widely popular Meta Trader platform. Now I have come to understand that building your own strategies is the preferred way to go - as opposed to using Expert Advisers created by someone else. However learning MQL4 (Meta Trader 4 programming language) from scratch is not exactly my cup of tea. There are add-in solutions for Meta Trader 4 that allow the trader to use excel (I feel more comfy in Excel) to build strategies.

I wonder however whether an excel based solution for building strategies is as effective?
  • #2
  • Dec 1, 2009 9:05am Dec 1, 2009 9:05am
Quoting clara.lopez
I wonder however whether an excel based solution for building strategies is as effective?
What is your exact definition of "building a strategy"?

IMHO building a strategy includes a lot of data mining and systematically running many, many automated simulations. I doubt that you will be able to do this (program your simulations) without any any programming (programming without programming?) and i doubt that excel is the universal tool for *all* jobs. It is a nice tool for some jobs but not for all jobs. I don't think you can avoid learning the skill of programming and once you have learned it you can use a lot of tools, including MQL or Python or R or Matlab, etc.
  • #3
  • Dec 2, 2009 5:24am Dec 2, 2009 5:24am
Hi Clara,
I'm also not a programmer, but have some technical backgrounds..

I found that many scripts, indicators or EAs offer many useful code snippets, that can be adjusted and expanded to one's needs.
I'm not sure this information does help you at all, but maybe you can give it a try and look in the codes, the MetaEditor is a neat tool for that, and lots of the code offered in the EAs is quite logical.. even more if the coder put in //comments..

You don't need to built up every line by yourself, just use scripts/EAs that are similar to your idea and adapt it..
Also the built in help and the metaquotes webpage are quite comprehensive..


Just an idea..

Regards, Lowen
  • #4
  • Dec 14, 2009 7:48am Dec 14, 2009 7:48am
Excel is more flexible than EAs can ever be, and you can also retain control over every aspect of your strategy. It is also more cost and time effective as you can build complex strategies without the time and money spend to hire someone or find out how. For example how many lines of MQL4 code and knowledge do you need to express something like..

"
BUY
EURGBP when current candlestick has closed at or below the lower Bollinger Band and RSI is below 20.

SELL
EURGBP when current candlestick has closed at or above the upper Bollinger Band and RSI is above 80.

TAKE PROFIT
For long positions close once RSI retreats to 70. For short positions close once RSI rebounds to 30.

STOP LOSS
For long positions close if for 2 consecutive days the RSI remains above 80. For short positions close if for 2 consecutive days the RSI remains below 20."


In Excel you can do this with less than 1 line and for 5mins.
  • #5
  • Dec 14, 2009 1:11pm Dec 14, 2009 1:11pm
If you don't want to learn programming, then Excel can be an excellent modeling tool. It allows you to test ideas quickly: you can change a formula, and immediately see the result. If you need to implement procedural code (e.g. for looping), you can write Visual Basic macros.

I have a client who has literally spent years developing a trading model in XLS. It has 24 years worth of historical prices (about 6,000 rows), and more than 300 columns worth of calculations. It's about 80MB in size and takes more than 90 seconds to open on his quad core CPU. It handles all aspects of his trading strategy, unconventional MM, win/loss stats, and even calculates and deducts tax payments from his annual P/L. The XLS has become bloated and unwieldy; he has it on manual calc, and when he presses F9, it takes about 35 seconds to recalculate. He had a programmer write VB macros to perform optimizations varying maybe 12 different parameters. Some of the optimizations take longer than a week to run!

I've managed to reproduce all of his code in an MQL4 EA. The EA is more than 2,500 lines of code. It does everything that the XLS does, including all of the MM, P/L stats, and tax calculations. The MQL4 code is capable of obtaining up-to-date interest rate information from 3 different web sites, something that he couldn't do with his initial XLS. The MQL4 optimizations run approx 25x faster than their VB counterparts. And he can run the EA as a trading robot. So he thinks MQL4 is great!

In conclusion, I would say that they are two different tools that work optimally in different situations. My client couldn't have modeled his trading system without Excel. But if your end goal is a robot that will trade for you, then you would need to move to a trading platform like MT4 or TradeStation. A full fledged programming language like MQL4 is every bit as flexible as Excel's Visual Basic, and - being a compiled language - the executables run more efficiently.
  • #6
  • Dec 14, 2009 1:51pm Dec 14, 2009 1:51pm
Quoting clara.lopez
BUY
EURGBP when current candlestick has closed at or below the lower Bollinger Band and RSI is below 20.

SELL
EURGBP when current candlestick has closed at or above the upper Bollinger Band and RSI is above 80.

TAKE PROFIT
For long positions close once RSI retreats to 70. For short positions close once RSI rebounds to 30.

STOP LOSS
[size=1][b] For...
I cannot imagine how one could model the above in Excel without years of learning all kinds of hidden features, dirty tricks, VBA, etc. and the result would most likely be an extremely complicated thing with difficult to understand, difficult to debug and difficult to maintain interrelations between all parts of Excel.

With MQL or any other programming language the above could be modeled in a few lines of one single text file (not much more than you needed to write the rules down in the above posting), clearly expressing whats going on in a language that almost reads like plain english.
  • #7
  • Dec 14, 2009 2:56pm Dec 14, 2009 2:56pm
Quoting 7bit
I cannot imagine how one could model the above in Excel without years of learning all kinds of hidden features, dirty tricks, VBA, etc. and the result would most likely be an extremely complicated thing with difficult to understand, difficult to debug and difficult to maintain interrelations between all parts of Excel.

With MQL or any other programming language the above could be modeled in a few lines of one single text file (not much more than you needed to write the rules down in the above posting), clearly expressing whats going on in a language...
hmm, actually I'm pretty sure someone in high school that knew what take profit and rsi meant could write that for excel. People just usually don't think of excel as a platform that could support such things. For basic modeling and testing excel is easier to use and usually for the user to operate, if you're used to it. If this wasn't the case ibanks and financial service companies wouldnt use it as extensively as they do even when it comes to hundreds of orders for derivatives at a time for a trader to the exchange they usually resort to excel because its so much easier as long as you have someone who gets how excel works. ofc at that point majority is vba

but from my perspective it's whatever you're used to and whatever makes it easy for you, many languages = many choices to achieve the same goal
  • #8
  • Dec 15, 2009 3:56am Dec 15, 2009 3:56am
How would you model the main loop of the trade simulation that models the passing time for the strategy, how would you model an optimization with many runs of the same strategy with different parameters, how would you model the broker, the order history, the currently pending orders, the currently open orders, the swap, the spread? How would you model nested if/else and other control flow constructs of any non-trivial system in a spread sheet?

Answer: You wouldn't, you would simply express these things in VBA instead.

And as soon as you use VBA you are using an imperative programming language, just like MQL. Only in MQL you already have built in functions for all kinds of TA, easy access to all price-time-series of all tradable instruments in real time, functions for order management, a simulation framework that will model the broker and an optimizer and a GUI to use it all. It is not perfect, the simulation (the backtest) is missing some features and has some flaws but it is 1000 times easier than trying to spend months writing all this from scratch in VBA until you could run your first simple trading simulation in Excel.

Of course you can do it in VBA and Excel, but it is simply not (and never was) meant for this kind of job. Excel is a spread sheet application for spread sheets with cells and formulas (thus the name) and not a general purpose application development environment and framework. Java, C#, MS-Visual-whatever, Delphi, Lazarus are used for application development. And embedded scripting lanuages are preferably used to script the applications they belong to (just like VBA is used to script MS-Office) and as such an embedded language MQL is used to describe trading strategies for Metatrader.

There is a saying: "If your only tool is a hammer then all problems start to look like nails"
  • #9
  • Dec 15, 2009 6:28am Dec 15, 2009 6:28am
Quoting 7bit
How would you model the main loop of the trade simulation that models the passing time for the strategy, how would you model an optimization with many runs of the same strategy with different parameters, how would you model the broker, the order history, the currently pending orders, the currently open orders, the swap, the spread? How would you model nested if/else and other control flow constructs of any non-trivial system in a spread sheet?

Answer: You wouldn't, you would simply express these things in VBA instead.

And as soon as you use...
Well in order to use the tool right you have to know how to use it. The simplest way to do this is a data dump of the prices and about a 20 column (depending how many indicators and filters etc you want). If then statements based on prices and what to do when certain levels are hit. You don't to touch vba to complete the full strategy even. Excel wasnt meant to do vba with for the 'average' user, so why use it if it's not needed unless you're going to optimize things. For a quick test you can throw a strategy together on excel in 10 mins. Then if you want a robot recode it in mql if need be if the strategy even works. If you have variables in excel that you want to play with it's a simple change of a cell and the whole simulation automatically re-runs, simple as that. You just have to think of how to use the tool that you have effectively that's all. But, again, it's whatever is easiest for each person I'm not pushing this on anyone...
  • #10
  • Dec 27, 2009 10:51pm Dec 27, 2009 10:51pm
exactly my dear friend, learning mql 4 is definitely not a cup of tea but as it is said that to every problem there is a solution. for building strategies you can go for the excels that allows the easy strategy building with limited language knowledge and greater flexibility.
with regards
Richies James
  • #11
  • Dec 30, 2009 4:57am Dec 30, 2009 4:57am
if you are a newbie then you would be definitely looking for something that could help you stratezise in an easy manner. for that i would recommend you the use of meta trader 4. this is an easy charting and graphing platform where you can prepare charts without the knowledge of meta quote language. you can simply frame charts using the excels.
regards
mark William
  • #12
  • Mar 12, 2010 9:03am Mar 12, 2010 9:03am
From what I can tell so far, a user can achieve automation with basic excel commands instead of complex programming (in a way translating simple Excel commands into more complex Meta Trader commands).
  • #13
  • Mar 18, 2010 7:29am Mar 18, 2010 7:29am
Quoting goldseeker43
From what I can tell so far, a user can achieve automation with basic excel commands instead of complex programming (in a way translating simple Excel commands into more complex Meta Trader commands).
basic excel commands makes meta trader not so complicated at all..it gives newbies like me confidence in the trading business..
  • #14
  • Mar 20, 2010 7:29am Mar 20, 2010 7:29am
Truly, using excel as a trading platform is one good way to minimize the need to learn such complicated language like MQL. As contrary to Ea, Excel offers more technical support than any other software.
  • #15
  • Last Post: Mar 20, 2010 10:32am Mar 20, 2010 10:32am
Quoting marktaylor42
Truly, using excel as a trading platform is one good way to minimize the need to learn such complicated language like MQL. As contrary to Ea, Excel offers more technical support than any other software.
"If the only tool you have is a hammer, you tend to see every problem as a nail."

Excel is not a trading platform, and also it is no programming environment, its a spread sheet application, nothing more.

MQL is an exceptionally simple language, integrated into a trading platform and usable to write down strategies and also simulate them in a much simpler way (in a language that almost reads like plain english) than this would be ever possible with dozens or hundreds of excel formulas hidden behind many cross referenced cells (and duplicated many times) and spread across the whole spreadsheet, showing only one tiny part of the puzzle at a time when clicking on a certain cell but never showing the complete logic the whole picture at once.

Try to reverse engineer an existing spread sheet or try to debug a typo deeply hidden somewhere in one of those hundreds of unreadable formulas that don't even use human readable variable names and all look like an armadillo has been rolled over the keyboard, it's a nightmare! Even Programs written in Perl by Larry Wall himself would be easier to understand and debug!

Excel is clearly not suited to do any serious programming task and writing a simulation is programming. It is just too complicated to do (and maintain) anything more complex than adding just a few numbers with Excel.
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