Data Driven Value - Blog

Algorithm Trading with MT5 and Python - Part 2

trading

Backtesting is the process of evaluating trading strategies using a market simulator and historical data. As any simulation, it has a degree of error but could be used as a…

Algorithm Trading with MT5 and Python - Part 1

trading

Previous posts on Analysing Derivatives Data with MetaTrader and Python (part 1, part 2 and part 3) dealt with the correlation between order flow and price trends using cumulative delta metric. The manual step for downloading candle and tick data from MetraTrader 5 is a…

Analysing Derivatives Data with MetaTrader and Python - Part 3

trading

In a previous post the concept of cumulative delta was used as a tool to understand the correlation between order execution (as captured in tick data) and price trends. In this…

Analysing Derivatives Data with MetaTrader and Python - Part 2

trading

In a previous post a preliminary analysis of price data from Micro E-mini futures was made using volume traded…

Analysing Derivatives Data with MetaTrader and Python - Part 1

trading

In this post I will detail how to download Micro E-mini futures data from MetaTrader 5 and analyze it using Python libraries and volume indicators.