Quant Macro Investing

Risk Taking Disciplined

Automated trading champ (ATC)

Have you developed something quant model to trade?  If you are good, people will beat the path to your door.  Apparently there is a competition ATC – see below:



Technical Profiles of Gold vs Silver, the US Dollar vs Gold and the US Dollar with highlights from an interview with the winner of the 2008 Automated Trading Championship

November 19, 2009 - Posted by | ABCs for Quant


  1. More about Automated Trading Championship:


    In 2008, 128 participants(Programs) had positive returns out of 705 total participants.

    The First Place was taken by Kiril Kartuniv from Bulgaria. His Expert Advisor executed only 27 trades, but for 3 months managed to increase the deposit till 170 thousand dollars. Kiril won the prize of 40,000 US dollars from the Major Sponsor – Forex Capital Markets LLC (FXCM) – and the award for the first place.

    The Second Place was taken by the Participant from Israel – Vladimir Lekhovitser. Vladimir’s Expert Advisor earned 156,650 USD letting him win 25,000 USD from our Golden Sponsor – Interbank FX LLC and the second-place award.

    The Third Place was taken by a Participant from Latvia – Nauris Zukas. Nauris’s Expert Advisor executed about 600 trades that allowed him finishing the Championship with 156 thousand dollars on his account. Nauris got the prize of 15,000 US dollars from our Silver Sponsor – FXDD and a third-place award.

    There is no such championship in 2009 because the organizer wants to concentrate on their new product: MetaTrader 5.

    Comment by Matt | November 20, 2009 | Reply

  2. In 2008, the language used to build the trading programs are MQL4. The new environment, MQL5 IDE, is being developed. It is expected that the next Championship will be conducted using the new language.

    MetaQuotes Language 4 (MQL4) is a new built-in language for programming of trading strategies. This language allows to create your own Expert Advisors that make trading management automated and are perfectly suitable for implementing of one’s own trade strategies. Besides, one can use MQL4 for creation of one’s own Custom Indicators, Scripts, and Libraries.

    A large amount of functions necessary for analysis of the current and previously income quotes, as well as basic arithmetic and logic operations are included in MQL4 structure. There are also basic indicators built in and commands of order placement and control.

    The MetaEditor 4 (text editor) that highlights different constructions of MQL4 language is used for writing the program code. It helps users to orientate themselves in the expert system text quite easily. We use MetaQuotes Language Dictionary as a Help System for MQL4 language. An abridged guide contains functions divided into categories, operations, reserved words, and other language constructions and allows finding the description of every element we use.

    Programs written in MetaQuotes Language 4 have different features and purposes:

    Expert Advisor is a mechanical trading system (MTS) linked up to a certain chart. An Advisor starts to run with every incoming tick for a given symbol. The Advisor will not be launched for a new, tick if it is processing the previous one at this moment (i.e., the Advisor has not completed its operation yet). The Advisor can both inform you about a possibility to trade and trade at an account automatically sending orders directly to the trade server. Like most trading systems, the terminal supports testing strategies on history data with displaying trading in-and-out points in the chart. Experts are stored in terminal_directory\experts.

    Custom Indicator is a technical indicator written independently in addition to those already integrated into the client terminal. Like built-in indicators, they cannot trade automatically and are intended for implementing of analytical functions only. Custom Indicators are stored in terminal_directory\experts\indicators.

    Script is a program intended for a single execution of some actions. Unlike Expert Advisors, Scripts are not run tickwise, but on request.Scripts are stored in terminal_dictionary\experts\scripts.

    Library is a set of custom functions containing programs most frequently used. Libraries cannot start execution by itself.Libraries are recommended to be stored in terminal_directory\experts\libraries.

    Included file is a source text of the most frequently used blocks of custom programs. Such files can be included into the source texts of experts, scripts, custom indicators, and libraries at the compiling stage. The use of included files is more preferable than the use of libraries because of additional burden occurring at calling library functions. Included files are recommended to be stored in terminal_directory\experts\include

    Comment by Matt | November 21, 2009 | Reply

  3. MQL4 vs MQL5

    MT5 has a new integrated development environment called MQL5 which includes MetaEditor 5, MetaTrader 5 Strategy Tester and MetaQuotes Language 5 (MQL5). Unfortunately the MQL4 and MQL5 languages are not compatible. This means that every custom indicator and EA must be rewritten to work with Metatrader 5. It is not clear yet if there will be a tool which converts the MQL4 source code to MQL5 or allows MQL4 executables to run in MT5. The official statement of MetaQuotes about this:

    You should also understand that we doing it not to make you redo the EA developments every time when we launching a new platform. From the beginning of Metatrader 5 development we thought that we will be able to save the compatibility. And we said about it many times. But the numerous traders/developers requests made us change our mind. We`ve understood that just cant make a new language compatible. At the same time we have made MQL5 more powerful and in this way we gave you, traders and developers, more abilities – that was our main goal in developing of MQL5 IDE. From one side new language with the new abilities and from the other side – MQL4 and MQL5 compatibility. Unfortunately, these two aims cant be reached at the same time.

    According to MetaQuotes, the MQL5 language is distinct for high speed of execution and approaches C++ in terms of this parameter. As compared to MQL4, the new language boasts up to 20 times faster execution speed. We know that execution speed is everything when developing ea’s and scripts that sometimes need to crunch huge amounts of data in conjunction with real-time price movements. MQL5 is now more object oriented, what makes the development of EAs quicker, easier and more flexible, especially for autotrader developers. This also allows using more complex EA’s able to process large amounts of data per time unit and therefore obtain more precise forecasts of price dynamics. The MQL5 programming environment incorporates intellisense system which, as most developers would agree, speeds up the development process. It also has a built-in debugger for testing and quickly find errors and fix them. The MetaTrader 5 Strategy Tester will not be much different from the tester in MT4 besides more advanced report system.

    Comment by Matt | November 21, 2009 | Reply

  4. About MQL5:


    Comment by Matt | November 21, 2009 | Reply

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