Discussing the article: "Sigma Score Indicator for MetaTrader 5: A Simple Statistical Anomaly Detector"

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Check out the new article: Sigma Score Indicator for MetaTrader 5: A Simple Statistical Anomaly Detector.

Build a practical MetaTrader 5 “Sigma Score” indicator from scratch and learn what it really measures: The z-score of log returns (how many standard deviations the latest move is from the recent average). The article walks through every code block in OnInit(), OnCalculate(), and OnDeinit(), then shows how to interpret thresholds (e.g., ±2) and apply the Sigma Score as a simple “market stress meter” for mean-reversion and momentum trading.

Many traders learn early that price does not move in a smooth, predictable way. Markets have “quiet” periods and then sudden spikes, drops, and shock moves. One practical way to detect whether a move is normal (typical for the recent market) or unusual (rare compared to recent behavior) is to standardize returns and express them in “sigma units”.

That is exactly what the Sigma Score indicator does. It converts the latest return into a z-score (also called a standard score) and plots it in a separate window. In simple terms, the Sigma Score answers one question:

“How many standard deviations is the current bar’s return away from the average return of the last N bars?”

This makes it useful for beginners because you do not need complex trading theory to read it. You only need to understand that a value near 0 is “normal”, while large positive/negative values signal “unusually strong” moves.

Author: TECHAURORA - FZCO