Indicator -> EA: Backtesting for non-programmer & manual trader

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ATTENTION: THIS THREAD IS OUTDATED
Please go to http://datfra-expert-advisor.com/ in order to find the final result of all the research!




















Hello

In this thread I will explain how you can transform any indicator into an Expert Advisor, in order to backtest it and find the very best parameters.

This can be done by any trader, you do not need any coding skills for this. The transformation will be done by my tool DATFRA, with only 2 clicks.
Then we have to add 2 or 3 lines of code, which is very very simple, and will be explained in here.
=> thats it!

"tl;dr. Video?" -> I might make one in the next days and update this post

NOTE:

This thread is the first of 3, in the next one I will explain how to find the best signal-filters for an indicator (for example, RSI thresholds, Moving Average Trends etc...). Again, done by an algorithm and without human interaction.

The last article will then be about how to use massive simulations to find the parameters that work best for an indicator.

So yes, you did read right, I will show you a 3-step way how to let your computer determine the best way to trade an indicator

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STEP 1: Download DATFRA (its free)

Please go to my original Thread ( http://www.forexfactory.com/showthread.php?p=7595120 ) and download the tool.

Note: Unlike the other 2 steps, for this one you do not have to install it. So, you can just download the .rar, extract it somewhere and then go to the "bin" directory and start DATFRA_FREE.exe
After the first start, it downloads all mql files that the generated EA needs to compile without errors!
You find them in DATFRA\ROOT_DIRECTORY\MQL4\Include (I am not at home right now, so cant check the path, but it should be somewhere in here, seek for "datfra-utils.mqh", its all in the same directory)
Just copy the contents of that folder to your Metatrader Installation!

Note2: You will need to install gnuplot first, otherwise DATFRA will not start up (only use this version!): http://sourceforge.net/projects/gnup...p.exe/download
If the problem does not go away after installing gnuplot, see this post: http://www.forexfactory.com/showthre...05#post7634505



STEP 2: Transform Indicator => Expert Advisor

Now that you have started my tool, it will first download all needed mql files. So click "Yes" when it asks to update files.. And then, just 3 more clicks!

NOTE: This works for ALL Indicators, not just the standardt ones!

http://s7.directupload.net/images/140715/jfd74u22.png

1. Click on "System -> Create EA from Indicator"
2. Click on "..." and open the Indicator you want to transform
3. Click on "Create Expert Advisor" and choose where to save it

THATS IT!















STEP 3: Open the just created Expert Advisor's Code

Ok, now we will add a bit of code, but it will be easy as hell, promised! However, if you have problems, add me on Skype (Darwin-FX), and if you are lucky I have some minutes to help.

First, open the just saved EA file with your Metaeditor (Open Metatrader and press F4). You will see something like this:

http://s7.directupload.net/images/140715/ko7tl9rg.png





STEP 4: Tell the EA how to use the Indicator

So, what do we have to do? The variable "indic" holds the value of the Indicator, and we have to set the variable "signal" to BUY/NEUTRAL/SELL accordingly.

Note about how the indicator is used:

The indicator code "get_MACD" is followed by 0, 1 and then by the Indicator's parameters.

The first number (0) is used to determine which output of the indicator we want to read.

You know, some indicators paint more then 1 line (for example, MACD draws a historgram and a signal line). DATFRA generates a small writeup for this, which you can see in line 39 and 40 of the code-image I posted above. So, we access the historgram-value with a mode of 0, and the signal-line-value with a mode of 1.

The second number (1) is used to determine how many candles in the past we want to look.

As these EAs are meant to trade on bar opening only, the current bar is always empty (because it has just opened), so we want to look 1 in the past

This step depends on how an indicator is used, in this example we want to go long whenever the MACD historgram is above zero, and short when its below.

And well, that is as simple as this

Yep, that was all the coding you need. Simple, hm?. So, just put that into the EA, and the finished file should look like this: http://pastebin.com/vgWN6zP2
Now just press F7 to make an EA out of the code.





STEP 5: Backtest it!

In Metatrader4, press Ctrl + R to open the backtester. Then select the EA and all the other settings just like I did:
http://s1.directupload.net/images/140715/i4zjuunm.png

Then just hit start and watch:

http://s14.directupload.net/images/140715/n4nukz2w.png

Note: If you want to change the Indicator's parameters, you can click on "Expert Properties" and go to the "Input" tab!




Afterword:

To make the "coding" part a bit more clear, I will try and post a new example every one or two days, however, I can not promise anything, as I am quite busy


-Darwin

Sorry for the delay, lets make a quick further example.

This time, with MACD again, but taking into account the signal line and the histogram.
We want to go long when "histogram > signal" and short if "histogram < signal".

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This is the code:

Note: The only difference in the get_MACD() call is the first parameter, which determines wether we want to read the histogram or the signal line!
Why? Well, remember from the first post: "The first number is used to determine which output of the indicator we want to read."

And this is the "instruction" that DATFRA creates automatically when it makes an Indicator->EA transformation:

=> So, a mode of 0 gives us the histogram, a mode of 1 the signal line, which explains the above code, hopefully




http://s14.directupload.net/images/140725/dep97mrh.png


-Darwin

Awesome Thread Man, I am sure subscribed from start to finish, I have been looking for a way to learn EA coding and how to turn systems into EA, you are doing a Great job to us Newbies and experienced. More Grease to ya Elbow

Thanks francisakz!

I might also make some tutorials especially targeted towards learning how to code real EAs, as this one (and the few that will follow in that path) are more targeted towards manual traders, as they are not taking into account the detailed stuff like trade/money management, machiene learning, genetic programming, EA optimisation, EA analysis and so on.

So, see this as a gentle introduction, but when I find enough free time, I might also go into more details on the advanced stuff

-Darwin

I'm on step 2 of your instructions and the indicator I'm wanting to use, I only have the .ex4 file and not the .mq4 file... Do I have to have the .mq4?

Hello Nico,

yes you need the mq4 files, as DATFRA needs to parse informations about how the indicator works out of the source code.
The information should be in the ex4 files too, however, I neither do know how to parse them nor do I plan to implement that, sorry.

-Darwin

Hey

I feel like a goof, I downloaded the file and opened the DAFTRA_Free>BIN.>DATFRA_FREE(activated) but all I get is the "gnuplot4.6" on my desktop I dont get the program that you show as DAFTRA, then I open that program says "last modifed april 2013"

am I doing something wrong ?

Oops, I forgot that DATFRA was not meant to be used without prior full installation, therefore it might not start up when it does not find gnuplot.
Just install this: http://sourceforge.net/projects/gnup...p.exe/download

Then it should work. If not, just post again

-Darwin

So once I download the gnuplot redownload the DAFTRA ?

its just sending me in circles, promoting me to re-downland the gnuplot

You should also install gnuplot

-Darwin

haha ya I got gnuplot installed, so then when I click on the DAFTRA file it prompts me to re-download the gnuplot every single time nothing else happens ?

maybe Im doin something wrong ?

Most likely

Go to DATFRA\bin, create a textfile named "gnuplot_path.txt", and write the path to gnuplot in there, for example:

http://s1.directupload.net/images/140728/373hq5nb.png

If others also have that problem, please tell me!!

-Darwin

thanks haha I noticed that time a another prompt comes up and tells me to do that exact thing you suggested for me to do, thank you. sorry for that

No problem.
My current experiments take some time, which leads to spare time during my workday. Thats why I have time to release that, and also enough to give some support

-Darwin

This time a more sopthisticated example. However, still easy And it should not get any more complicated!

We want to enter trades when the zero line is crossed, which means when MACD was below zero 2 candles ago and is above zero 1 candle ago -> LONG
And for short accordingly.

Why 2 candles? Because the EA trades only on new candles, so the current candle (which is candle 0) is always empty!


The comments should explain the code well. If not, I am here to answer all questions


Btw, here is the code on pastebin, so you can copy&paste it if you want: http://pastebin.com/cx765ZtZ

ATTENTION: It needs the MQL files shipped with DATFRA (see post 1) to run! Read my first post to see how to set it all up, the code on its own will not run. So please follow the steps in my initial post first!

http://s1.directupload.net/images/140728/hbbj73xt.png

[Click the image for a larger view!]

http://s14.directupload.net/images/140728/73e2kq2s.png

ATTENTION: IF the generated EA does not compile, as it misses some include files, you can find these files within DATFRA's directories!
After the first start-up of DATFRA (when it downloads them), you find them in DATFRA\ROOT_DIRECTORY\MQL4\Include (I am not at home right now, so cant check the path, but it should be somewhere in here!)
Just copy the contents of that folder to your Metatrader Installation!

Hey Darwin,
Got a little busy here. Nice to see your main thread up and running!

Don't mind, but can you put up the version numbers when you introduce a new feature? I redownloaded the tool and saw that it was indeed different by a few kb, but havent noticed any change in the name of the download file (Datfra_FREE.rar).

Also, is it possible to create an EA with multiple indicators? It would be awesome if we could. (Just letting the idea float in your mind )
Cheers
x26s

Hey

If there are major updates, I usually note them in the changelog. Otherwise, its just little bugfixes and/or features I am working on that are not yet officially released!

It is possible, I will make a post about that next week.

-Darwin

Awesome, you've got a new student

for your next writings, i'll glance to how speed up indis (using buffers/arrays) as mt4 can't use opencl as i know (mq4 doc only have mq5 opencl libs)

I guess this would go far beyond the scope of that tutorial Keeping it simple, its for non-coders after all

-Darwin