Discussing the article: "Building a Custom Market Regime Detection System in MQL5 (Part 1): Indicator"

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Check out the new article: Building a Custom Market Regime Detection System in MQL5 (Part 1): Indicator.

This article details creating an MQL5 Market Regime Detection System using statistical methods like autocorrelation and volatility. It provides code for classes to classify trending, ranging, and volatile conditions and a custom indicator.

Before diving into the implementation details, it's crucial to understand what market regimes are and why they matter to traders. Markets don't behave uniformly over time; instead, they transition between distinct behavioral states or "regimes." These regimes significantly impact how price moves and, consequently, how trading strategies perform.

What Are Market Regimes?

Market regimes are distinct patterns of market behavior characterized by specific statistical properties of price movements. While there are various ways to classify market regimes, we'll focus on three primary types that are most relevant for trading strategy development:
  1. Trending Regimes: Markets exhibit strong directional movement with minimal mean reversion. Price tends to make consistent moves in one direction with shallow pullbacks. Statistically, trending markets show positive autocorrelation in returns, meaning that price movements in one direction are likely to be followed by movements in the same direction.
  2. Ranging Regimes: Markets oscillate between support and resistance levels with strong mean-reverting tendencies. Price tends to bounce between defined boundaries rather than breaking out in either direction. Statistically, ranging markets show negative autocorrelation in returns, meaning that upward movements are likely to be followed by downward movements and vice versa.
  3. Volatile Regimes: Markets experience large, erratic price movements with unclear direction. These regimes often occur during periods of uncertainty, news events, or market stress. Statistically, volatile regimes show high standard deviation in returns with unpredictable autocorrelation patterns.

Understanding which regime the market is currently in provides crucial context for trading decisions. A strategy optimized for trending markets will likely perform poorly in ranging conditions, while mean-reversion strategies designed for ranging markets can be disastrous during strong trends.

Author: Sahil Bagdi

 
Your code doesn't compile.... missing IsStrongSignal(value) ...
 
Robert Angers #:
Your code doesn't compile.... missing IsStrongSignal(value) ...

Which file are you referring to?

 

The market regime indicator has 24 errors and 1 warning when I try to compile.:

'MarketRegimeIndicator.mq5' 1

file 'C:\Users\rauma\AppData\Roaming\MetaQuotes\Terminal\10CE948A1DFC9A8C27E56E827008EBD4\MQL5\Include\MarketRegimeEnum.mqh' not found MarketRegimeIndicator.mq5 14 11

file 'C:\Users\rauma\AppData\Roaming\MetaQuotes\Terminal\10CE948A1DFC9A8C27E56E827008EBD4\MQL5\Include\MarketRegimeDetector.mqh' not found MarketRegimeIndicator.mq5 15 11

'CMarketRegimeDetector' - unexpected token, probably type is missing? MarketRegimeIndicator.mq5 29 1

'*' - semicolon expected MarketRegimeIndicator.mq5 29 23

'Detector' - undeclared identifier MarketRegimeIndicator.mq5 64 5

'CMarketRegimeDetector' - declaration without type MarketRegimeIndicator.mq5 64 20

'CMarketRegimeDetector' - class type expected MarketRegimeIndicator.mq5 64 20

function not defined MarketRegimeIndicator.mq5 64 20

'new' - expression of 'void' type is illegal MarketRegimeIndicator.mq5 64 16

'=' - illegal operation use MarketRegimeIndicator.mq5 64 14

'Detector' - undeclared identifier MarketRegimeIndicator.mq5 65 8

'==' - illegal operation use MarketRegimeIndicator.mq5 65 17

'Detector' - undeclared identifier MarketRegimeIndicator.mq5 72 5

'Detector' - undeclared identifier MarketRegimeIndicator.mq5 73 5

'Detector' - undeclared identifier MarketRegimeIndicator.mq5 74 5

'Detector' - undeclared identifier MarketRegimeIndicator.mq5 101 9

';' - unexpected token MarketRegimeIndicator.mq5 103 68

'(' - unbalanced left parenthesis MarketRegimeIndicator.mq5 101 7

empty controlled statement found MarketRegimeIndicator.mq5 103 68

'Detector' - undeclared identifier MarketRegimeIndicator.mq5 133 8

'!=' - illegal operation use MarketRegimeIndicator.mq5 133 17

'Detector' - undeclared identifier MarketRegimeIndicator.mq5 135 16

'Detector' - object pointer expected MarketRegimeIndicator.mq5 135 16

'Detector' - undeclared identifier MarketRegimeIndicator.mq5 136 9

'=' - illegal operation use MarketRegimeIndicator.mq5 136 18

24 errors, 1 warnings 25 2


 
Rau Heru #:

The market regime indicator has 24 errors and 1 warning when I try to compile.:

'MarketRegimeIndicator.mq5' 1

file 'C:\Users\rauma\AppData\Roaming\MetaQuotes\Terminal\10CE948A1DFC9A8C27E56E827008EBD4\MQL5\Include\MarketRegimeEnum.mqh' not found MarketRegimeIndicator.mq5 14 11

file 'C:\Users\rauma\AppData\Roaming\MetaQuotes\Terminal\10CE948A1DFC9A8C27E56E827008EBD4\MQL5\Include\MarketRegimeDetector.mqh' not found MarketRegimeIndicator.mq5 15 11

The indicator searches for these files in the folder C:\Users\rauma\AppData\Roaming\MetaQuotes\Terminal\10CE948A1DFC9A8C27E56E827008EBD4\MQL5\Include\

#property copyright "Sahil Bagdi"
#property link      "https://www.mql5.com/en/users/sahilbagdi"
#property version   "1.00"
#property indicator_chart_window
#property indicator_buffers 3
#property indicator_plots   3

// Include the Market Regime Detector
#include <MarketRegimeEnum.mqh>
#include <MarketRegimeDetector.mqh>
 
Sahil Bagdi #:

Which file are you referring to?

MarketRegimeDetector.mqh

at line 472

I assume you are referring to

'IsStrongSignal' - undeclared identifier MarketRegimeDetector.mqh 472 16

'strategySignal' - some operator expected MarketRegimeDetector.mqh 472 31

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