strategy testing and automated trading system for fx

Strategy Testing and Automated Trading System for FX

I. IntroductionTradeFX is a collec�on of matlab scripts and a Meta Quotes expert advisor script that allow tes�ng on Foreign Market (FX) trading

strategies, performing machine learning to evaluate the best performing strategy based on historical data. A$er the system is

trained, it can be used together with any MetaTrader FX pla%orm to place trades based on its learned predic�ons.

Figure 1 Matlab Component

Figure 2 MetaTrader UI

file:///C:/Users/gms/MyDocuments/ClassCoursework/Fall2009/FT_CO...

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II. How to useSee our Video Demo of Automated Trading.

Requirements

1. Matlab. The files are wri+en and run on Matlab R2007a.

2. MetaTrader Pla%orm

Most FX dealer will require you to open a demo account before ge2ng data from their system. The process usually totally

free. Either Forex.com (US) or Alpari‐UK is a good place to start.

Steps

File preparation

1. Download MetaTrader program, install & run. Make sure you can get live data by following their instruc�ons.

2. Download the our TradeFX.zip package.

3. Extract the zip file to a folder

a. Copy Trade Monitor.mq4 & Trade Monitor.ex4 to <MetaTrader>/experts/ folder

b. Copy Data.txt and Order.txt to <MetaTrader>/experts/files/ folder

In MetaTrader

1. Run MetaTrader, bring up the EURUSD chart. To quickly see system in ac�on, choose 1M (1 minute) chart.

2. On Naviga�on panel, drag and drop Trade Monitor into the chart. Confirm the ac�on in dialog box.

3. Press Expert Advisor to start running.

In Matlab

1. Open matlab

2. Se2ng path environment variables to extracted folder and all its subdirectories (File | Set Path | Add with Subfolders)

3. Run spotFX.m to generate learning data for Support Vector Machine. Data given is EURUSD data from 19 January to 12

April 2009. You should replace with your new data saved from MetaTrader later.

4. Run Communica�on.m to bring up the Automated trading system.

5. Press Start.

Data from MetaTrader should be soon display in synchroniza�on with that in MetaTrader. Trade will take place in

MetaTrader automa�cally.

IMPORTANT NOTICE:


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1. Current version only support placing Sell orders.

2. Given currency pair data is EURUSD. To test on other currency pair, obtain historical data of that pair (Save file from

MetaTrader) and run spotFX again.

3. System will place a maximum of 10 trades at a �me.

4. Trades will exit automa�cally when MACD condi�ons is sa�sfied as described in ‘MACD Sample’ Expert Advisor script given

my MetaTrader.

Comments, sugges�ons and sharing please send to

Linh Vu (vuxuanlinh at gmail.com)

AcknowledgementThe following libraries and tutorial code are used in our system.

[1] Mechanical trading systems: TA‐Lib func�ons, h+p://sourceforge.net/docman/display_doc.php?docid=47727&group_id=190150

[2] Support Vector Machine toolkit for Matlab, LibSVM

[3] Interac�on between MetaTrader 4 and Matlab via CSV Files, h+p://ar�cles.mql4.com/440

Project Report[1] Strategy tes�ng and Automated Trading for FX


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