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MetaQuotes Software Corp.
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MetaQuotes Software Corp. 2016.10.10 08:12 

New article Statistical Distributions in MQL5 - taking the best of R has been published:

The R language is one of the best tools of statistical processing and analysis of data. Thanks to availability and support of multiple statistical distributions, it had become widespread in the analysis and processing of various data. Using the apparatus of probability theory and mathematical statistics allows for a fresh look at the financial market data and provides new opportunities to create trading strategies. With the statistical library, all these features are now available in the MQL5.

The article considers functions for working with the basic statistical distributions implemented in the R language (the Cauchy, Weibull, normal, log-normal, logistic, exponential, uniform, gamma distributions, the central and noncentral beta, chi-squared, Fisher's F-distribution, Student's t-distribution, as well as the discrete binomial and negative binomial distributions, geometric, hypergeometric and Poisson distributions). In addition, the library also contains the functions for calculating theoretical moments of distributions, which allow to evaluate the degree of conformity of the real distribution to the modeled one.

Distribution histogram of random numbers, generated according to the normal distribution with the parameters mu=5 and sigma=1

Fig. 2. Distribution histogram of random numbers, generated according to the normal distribution with the parameters mu=5 and sigma=1


Author: MetaQuotes Software Corp.

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