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Chaos Theory Lyapunov Exponent EA - expert for MetaTrader 5

Jose Alejandro Albornoz Serrano
Jose Alejandro Albornoz Serrano

Jose Alejandro Albornoz Serrano

2 codes
Views:
299
Rating:
(1)
Published:
lyapunov.mq5 (10.3 KB) view
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This Expert Advisor combines Chaos Theory and quantitative momentum logic for MetaTrader 5. It calculates the Largest Lyapunov Exponent (LLE) in real-time to analyze phase space trajectory divergence, identifying whether current market dynamics are chaotic or deterministic.

By measuring divergence between nearest neighbors in reconstructed phase space, the EA filters out unpredictable market noise and executes trades only when market conditions exhibit structured behavior.

Key Features:

  • Lyapunov Chaos Filter: Uses phase space reconstruction (lookback, embedding dimension, and projection steps) to calculate the LLE and halt trading during high-entropy conditions.

  • Momentum Trigger: Executes trades using fast and slow Exponential Moving Average (EMA) crossovers strictly when the chaos filter validates market predictability.

  • Dynamic Risk Management: Automated lot sizing based on account balance risk percentage, ATR-based Stop Loss, and Take Profit targets.

  • Bar-By-Bar Execution: Evaluates signals at the open of each new bar to optimize performance and prevent over-trading.

Note: Developed as a quantitative regime-filtering module for algorithmic portfolios.

Drawdown Meter Drawdown Meter

Most reports give you one drawdown number - the worst one. This read-only script measures all three that matter on your own closed history: depth, duration and frequency. It prints the maximum drawdown with its peak, trough and recovery dates, the longest underwater period in days, whether you are at a new peak or how far below it and for how long, and a table of the deepest episodes with the days each took to recover. An episode is not a losing streak: it closes only when a NEW high is made, so a dip that never reclaims the old peak stays the same episode - which is what makes the duration column meaningful. Entry commissions are included and a partial close counts as one round turn, so the curve carries full cost. Optional percentage figures and CSV export. Deposits and withdrawals are excluded: this is the drawdown of your trading, not of your balance line.

Timer Candle Timer Candle

simple coundown timer

Interactive On-Chart Risk Management and Execution Panel Interactive On-Chart Risk Management and Execution Panel

An interactive GUI panel for MetaTrader 5 designed for manual traders and quant developers. It automates dynamic position sizing based on exact account equity risk percentage, features one-click order execution (Buy/Sell), instant BreakEven, Close All functionality, and continuous real-time Trailing Stop management.

Fair Value Gap Detector Indicator Fair Value Gap Detector Indicator

Detects 3-candle Fair Value Gaps (price imbalances) and draws them as boxes that extend live until price trades back through the gap. Detection runs only on fully closed bars, so gaps never flicker in and out as the current candle forms.