It must be there somewhere. Look where the shortcut to start he GUI in your start menu points to. You will then find Rterm.exe in the same folder.

Synthetic hedges, cointegration, mean reversion and similar stuff

There is no past! You made the premise that we do not want to look at the past, so all we have is the now and the price and the constant behaviors or properties of the instrument in general or at certain prices. Not more. 50000 minutes on EURUSD: ...

It's kind of curious...the war between price and indicators

LOL.

Synthetic hedges, cointegration, mean reversion and similar stuff

Its documented in the code. // convert the coefficients to usable hege ratios by multiplying // usd/xxx pairs with their quote. The results can then be // conveniently interpreted as multiples of needed Lots or Units. for (i=0; i<pairs; i++){ // ...

Synthetic hedges, cointegration, mean reversion and similar stuff

round numbers might work (round numbers do not depend on old prices, they are absolute). Maybe fundamantals too (really fundamental fundamentals, those that deserve their name because they are really fundamental): Someting like "buy gold", even if ...

It's kind of curious...the war between price and indicators

I'm still not finished solving some minor implementation details and cleaning up the messy code. I will post it if it is finished (this week, I promise) and then I will also make a few movies of forward runs. It will also have the "now"-line (like ...

Synthetic hedges, cointegration, mean reversion and similar stuff

I don't know how difficult it would be for you ;-) You can basically do the same things in R completely without Metatrader if you have the data in csv format or you could have a look at the quantmod package which has functions to retrieve data for ...

Synthetic hedges, cointegration, mean reversion and similar stuff

if the spacing is 30 pips then every order happens in this fixed 30 pip intervals. You buy every 30 pips or you sell every 30 pips, nothing happens outside this fixed grid. No. If the grid spacing is 30 pips then each 30 pips is a buy order and each ...

Snowballs and the anti-grid

I always want the same magic for the same EA on the same symbol and timeframe. This is what magic numbers are usually used for. It must be able to immediately pick up the old trades and continue seamlessly even if I install it on a completely new ...

MT4 global variables: my new best friend

in trendomat.mq4 this is already implemented. You can draw two vertical lines into the chart and give them the names back and now. back will override the value of back_bars and it will only use bars between back and now for the regression. It will ...

Synthetic hedges, cointegration, mean reversion and similar stuff

I didn't start partying yet and you are of course right, there is the danger of overfitting. It has the ability to fit everything into a perfect range. The new version that I will upload soon will behave a little different. And after playing with ...

Synthetic hedges, cointegration, mean reversion and similar stuff

I have an idea: what about doing the regression with diff(prices) over a very short interval and plotting the coefficients into the chart and not trying to trade the basket at all but instead try to use the coefficients as some kind of indicator for ...

Synthetic hedges, cointegration, mean reversion and similar stuff

string getFullName(string name){ return(WindowExpertName() + Symbol() + Period() + name); } void setVariable(string name, double value){ GlobalVariableSet(getFullName(name), value); } double getVariable(string name){ ...

MT4 global variables: my new best friend

For magic numbers I use a hash over name+symbol+timeframe, this is more robust and needs no persistence layer. For global variable names a string will work, no need to convert this to a number (but of course one could use the (auto-generated) ...

MT4 global variables: my new best friend

url Trend-O-Mat, H1, fitting absolute price url Trend-O-Mat, H1, fitting diff(price) url Trend-O-Mat, H4 fitting absolute price url Trend-O-Mat, H4 fitting diff(price)

Synthetic hedges, cointegration, mean reversion and similar stuff

Yes, but you should increase base_lots to get bigger (and more precise) numbers. You can try them on an oanda demo account next week, there you can trade in units and not in lots and have much more flexibility in the lot sizing (1 lot == 100000 ...

MQL4 -> R-Project - Interface Library

It needs ticks to trigger the start() function. There are scripts that can simulate this on weekends. For example this to send a continuous stream of ticks to the chart: /** * MT4/experts/scripts/ticks.mq4 * send a fake tick every 200 ms to the ...

MQL4 -> R-Project - Interface Library

A quick look into the code tells more than 1000 words, I tried to make it as simple and straightforward as possible. (back is the numbers of bars to look back and now is either 0 or some number of bars to exclude from the regression to allow easier ...

Synthetic hedges, cointegration, mean reversion and similar stuff

Yes, I developed it mainly to work with my br0ker and did not care about all possible eventualities. It's still only a prototype for experimenting and the user must know what is going on and how to adapt it if needed. Its not considered anywhere ...

Synthetic hedges, cointegration, mean reversion and similar stuff

Any (un)successful trades or interesting insights, anybody today?

Synthetic hedges, cointegration, mean reversion and similar stuff