The primary objective here is to make sure the framework I use in R to backtest strategies delivers similar results to that of MT4, most specifically to 99% tick accuracy MT4 backtesting. Why the 99% tick accuracy …. because it’s … Continue reading → [Read more...]

The Shared-Memory between multiple R sessions mentioned in my previous post got me thinking … quite some potential indeed. As a result, I investigated further using (calling) multiple R sessions from the same MT4 script. Specifically, I wanted to have a clearer understanding of the time required to performed lightning fast & ... [Read more...]

Considering forwarding tick data from MT4 to R requires less than 2ms, but that charting 4 different time-frame (1min, 15min, 30min and 1hour) at each tick-update may require more than 250ms (depending on the number of bars in history), I think it is f... [Read more...]

The more I get into this, the more I adjust my objectives. Currently, I’m willing to make the most of the Quantmod and Blotter R-packages, while eventually building a MT4 equivalent of the InteractiveBroker-R_API. As a first step, I was willing to Chart ticks from MT4 in R ... [Read more...]

This will be the last thing I’ll post prior starting to connect R with Metatrader. Indeed, as you may suspect already I use this blog as my lab-book. The following might be quite general, but it fits in my overall ambition to build a personal quant-trading architecture as professional ... [Read more...]

After digging through different blogs and info on the web I found an amazingly strong and developping community supporting R for specific applications in algorithmic trading. Thereafter I present some of the major information that I believe are essenti... [Read more...]

I have designed and developed Automated Trading Systems (ATS) for few years now. Since trading live, I have been fairly profitable (that is, I achieved my goals). However, I had the unsatisfactory feeling that I was missing some information to increase the level of trust in my systems … I was ... [Read more...]