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Published:: 2015.05.27 17:09
Updated:: 2016.11.22 07:32

statistics.mqh (9.53 KB) view

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Set of statistical functions which allows you to calculate some values describing timeseries like correlation between two time series, linear regression, standard deviation etc. It includes also more advanced functions like definite integral.

Header file "Statistics.mqh" includes following functions:

Syntax	Description	Return type
mean(T &arr[])	Mean	(generic)
std(double &arr[])	Standard deviation	double
correlation(&arr1[], &arr2[])	Correlation coefficient	double
detrend(arr[], resultArray[])	Timeseries decomposition	void
regression(&arr1[], &arr2[], &res[])	Regression line	void
regression(double &arr1[], double &arr2[], double &res[], double &aCoeff,double &bCoeff)	Regression line with coefficients	void
dickeyFuller(double &arr[])	Dickey-Fuller test for stationarity	bool
engleGrangerTest(double &arr1[], double &arr2[],double &cointCoeff)	Engle-Granger 2-step method for testing cointegration	bool
AR1(double &arr[])	Autoregressive model with lag 1	double
signedIntegral(double a, double b, int n) *	Definite integral	double
erf(double x)	Error function	double
normDistZ(double z)	Probability that variable is from normal distrbution	double

* You should add your own implementation of "foo" function which you want to integrate. Default function is: f(x) = x.

You should also remember that timeseries avaliable in MQL are indexed in a way that the newest data have a 0 index. It's a good idea to reverse the order of such arrays and is absolutely necessay in AR model (arrays are not reversed inside of the method to avoid confusion).

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