MetaTrader 5 Python User Group - the summary - page 38
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Feature Engineering for ML (Part 9): Structural Break Tests in Python
The preceding articles in this Feature Engineering for ML series built features from the structure of time itself: Part 1 established fractional differentiation as a way to preserve long memory in a stationary series; Part 3 embedded the trading calendar into Fourier coordinates; and Part 5 compressed tick-level order flow into bar-indexed microstructural statistics. This article builds features from a qualitatively different question: not what the current bar looks like, but whether the data-generating process that produced it has recently changed.