I’ve been interested in the idea of building an EA for Forex for a good year or so, and have recently come upon the time to actually do something about it. I’ve been perusing the internet trying to find a good book or two that could help me, and wondered if any of you have any suggestions as to what I might look for.
Key points:
I know some programming already
I need something that will work with modern day platforms (MT4)
More focus on learning to create and less emphasis on individual strategies
Here are a few that I’ve found on amazon, please offer any thoughts or opinions:
(Also, I can’t include the amazon links to these since I just joined, my apologies)
Expert Advisor Programming: Creating Automated Trading Systems in MQL for MetaTrader 4
This book seems to be the most direct of a fit. I’m strongly leaning toward it.
Building Automated Trading Systems: With an Introduction to Visual C++.NET 2005
From the reviews, this sounds a bit more technical. I’m also a bit concerned about its age.
Algorithmic Trading and DMA: An introduction to direct access trading strategies
Highly rated on Amazon. Seems to be a pretty comprehensive guide, and it’s the most recent.
Once again, I apologize for not being able to provide the links, but if you copy pasta these you’ll find them no problem. If you’re already familiar with them and can offer some insight, then it’ll be much appreciated! Also, if you know something that I don’t (a book that needs to be on my list) please let me know!
The first one is a terrible book. It does not do much for anybody, experienced or beginning. I wouldn’t spend money on this one.
The second one is a pretty good intro provided you have experience with C++ and .NET.
[I]Instead of this, I’d recommend reading the [B]Head First C[/B], since MQL4 is C based and it’s a very in depth text for preparing you for basically anything you’ll encounter in MQL4 and your strategies.[/I]
The last one is a GREAT read. I would definitely recommend this for someone with your experience.
Most trading books are garbage, written by incompetent authors. But some are good. I found those helpful:
Urban Jaekle, Emilio Tomasini: Trading Systems. How to develop a trading strategy; the book walks you through every step from idea up to various optimization and money management methods. Highly recommended.
David Aronson, Evidence-based Technical Analysis. Excellent, but a little elaborate book about the theory of testing trade strategies. A classic.
Ernest P. Chan, Quantitative Trading. Insight in strategy testing and portfolio optimization with many practical advices.
Ralph Vince, Handbook of Portfolio Mathematics. How to allocate your capital in an optimal way among different assets and strategies.
William R. Gallacher, Winner Take All. This book (from 1994) is a funny read and an intelligent insight into the trading scene and its gurus. The author also describes a apparently profitable trade system and then shows why it won’t work - unique for a trading book.
And of course, Robert Harris, The Fear Index. A must-read for any automated trader…
Thanks so much for your input guys. Funny you should mention the head first series Clark, I’ve actually used one for SQL before, wonderful series; I love how well they’re written.
I sort of intend on dividing my attention between programming and trading. I’ve done a lot with Python before, and I’ve done a few things in C# but by no means am I an expert.
I learned to program MQL4 from the website docs.mql4.com. They have articles and a book. You will also find complete scripts and snippets and they have an active forum. Didn’t cost me anything, and considering you already have experience, it should be a piece of cake.
I didn’t had any programming experience… Well, that is a lie, I programmed a “Hello World!” script in Basic…
I’d say, don’t buy books, use the site and spent time with the people on there.
Yeah, Head First series are probably one of my favorite books on programming topics. It really depends on what you would like to do. If you just want to write a simple EA then skim through the MQL4/5 manual is all you really need. But if you intend on taking it more seriously maybe focus more on the “quant” side of things, then you may have a lot of reading ahead of you.
The books jcl have pointed out are all really good reads, I’ve read them all except “The Fear Index” (thanks jcl, about to order it now actually). The only one I wasn’t fond of was the third one by Chan. Never understand why people like it, it definitely wasn’t for me, but others seem to find it pretty good.
First one is good, takes you through the process of systematic development step-by-step. So definitely recommend that and the rest are pretty self-explanatory.
I had a look at the java script book. Head First JavaScript - Michael Morrison - Google Boeken. There are a lot of pictures in there…:S Looked like the Dummies serie. Contents look a bit simplistic to me, not sure wether it is a good book if you want to program an EA yourself. To understand the language a bit more and to write you first "Hello World!"script, perhaps.
Oh here are some topics on that beginners site, just to show that you can find extra information on the site given (free):
I just pm’d you the link to a drop box that has it. If the link doesn’t work let me know.
(I really need to get my posts done so I can link stuff :P)
I agree that the head first books are kind of cartoonish, but thats the point; tricking your brain into learning dull material. I’ve actually never learned development from a Dummies book before, but I suspect they’re hit or miss. I’ve had people bash them on certain subjects and praise them for others.
Am downloading it as I type… Thanks! I glanced at the directory and I think it will not help you a lot with MQL-code. Yes MQL looks like C, but they both have ther own grammar and style. No classes or sub-classes in MQL, well you can build them, but it is not needed. If you can read C-code, you will quickly understand MQL-code. Its the way I learned it, grab source codes and decypher. It will surprise you how quickly you will understand it. It is simple and effective. Don’t buy and read the books but get and read the code and look up functions on the site given.
I have to admit, I have Dummie-books to read when I am doing a number 1… They are handy to quickly glance if a topic is interesting and worth to invest more time on, but I always quickly skip chapters.
Good luck with scripting. If you have any questions, well you know where to find me…
I’m not sure why you’re so defensive all the time, but okay, I’ll bite. Head First series tries to keep the reader interested and focused. So what if there are pictures or graphs? Is that too “child-ish” for you? It’s better than reading a dry picture-less text. Why do you think textbooks have pictures and little tid-bits on the sides.
Head First C is a decently in-depth guide on C, which was what MQL4 is based on. This is a statement, take it or leave it.
Again, I’m really not so sure why you are trying so hard to prove a point. I’m here to help the guy with his readings. Believe it or not, there is more to Forex than just MT4. Learning strictly MQL4/5 narrows your horizon to the other tools and resources available.
At the same time, I don’t mean programming itself, but all the different aspects that covers algorithmic trading systems.
Ex) Market microstructure, order execution methods, all the various investment styles (black-box, HFT, systematic trading, arbitrage, etc.)
I have been on the MQL4 website before and do not deny that it is a good resource, but there are still concepts better explained in other places; free or for a price. Obviously, if something is free it would be great, but I don’t see why you can’t pay an affordable price for a resource as well.
PS. I saw your original post, without the edit, via email. Keep on doing your thing… Internet warrior. \m/
Sorry, different outfit, but same guy. Found my old account.
Yeah, I know that I at times miss my point by being a bit too aggro in my text… Been brought up in a couple off Ággro’forums I guess and I have to find my form here… It is ment well. I just try to point people in the right direction, and that often doesn’t work when you say: Would you please be so kind to look over there?? Pretty please?!..
You are right, it is C-based. But when you look at it as a C script, you will overcomplicate things. MQL is more simple and I think it is wasted time to start learning C, to write an EA. I think you can do without. But I can’t argue that the book is an C-guide…
I am trying to keep them from reading and to go work on scripts and learn it on the fly… Your advise is good, but on the forums there seems to be the tendency to overcomplicate things. I know the link I gave is an ‘all you need’ site and people need to know it when they want to work on MT4 and MT5, which I thought was refered to in the posts before. Again, the intention was missed by my tone of the post.
Yeah, I know that happens… Well, I came back to soften the tone of it… Lots of things going on my mind at the moment… No excuse, just an explanation. Luckily I am more relaxed in real life…
I am now in the same boat as when you first posted this thread, many years ago. How did the learning go? What advice and resources would you recommend for someone that wants to learn how to build his own EA’s?
Thanks! I glanced at the directory and I think it will not help you a lot with MQL-code. Yes MQL looks like C, but they both have ther own grammar and style. No classes or sub-classes in MQL, well you can build them, but it is not needed. If you can read C-code, you will quickly understand MQL-code. Its the way I learned it, grab source codes and decypher. It will surprise you how quickly you will understand it. It is simple and effective. Don’t buy and read the books but get and read the code and look up functions on the site given.
Yeah, I know that happens… Well, I came back to soften the tone of it… Lots of things going on my mind at the moment… No excuse, just an explanation. Luckily I am more relaxed in real life…