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Z-Score Calculation - library for MetaTrader 4
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- 10593
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- Published:
- 2008.02.27 08:49
- Updated:
- 2015.10.08 09:31
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The include file named Z_include.mqh contains a function that calculates the following parameters on the data array:
You can find the description of the term of Z-score in the article Mathematics in Trading: How to Estimate Trade Results
- Max - the maximum value;
- Min - the minimum value;
- universal mean - the mean value;
- standard deviation - mean-squared deviation (unbiased estimate);
- skew;
- kurtosis;
- Z-score on the data array.
You can find the description of the term of Z-score in the article Mathematics in Trading: How to Estimate Trade Results
The file should be placed in the folder of \MQL4\include\...
An exemplary script that calculates Z-score on a trading account:
//+------------------------------------------------------------------+ //| Get_Z.mq4 | //| Copyright © 2007, MetaQuotes Software Corp. | //| http://www.metaquotes.net | //+------------------------------------------------------------------+ #property copyright "Copyright © 2007, MetaQuotes Software Corp." #property link "http://www.metaquotes.net" #include <Z_include.mqh> //+------------------------------------------------------------------+ //| script program start function | //+------------------------------------------------------------------+ int start() { //---- Print("Z-score of trades made on account ",AccountNumber()," is equal to ",DoubleToStr(getZ(),2)); //---- return(0); } //+------------------------------------------------------------------+
The header file, NormalProbability.mq4, contains an example of normal probability using the array.
Translated from Russian by MetaQuotes Ltd.
Original code: https://www.mql5.com/ru/code/7452
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