Discussing the article: "Cross Recurrence Quantification Analysis (CRQA) in MQL5: Building a Complete Analysis Library"
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Check out the new article: Cross Recurrence Quantification Analysis (CRQA) in MQL5: Building a Complete Analysis Library.
This article extends the MQL5 RQA library to Cross-Recurrence Quantification Analysis (CRQA) for comparing two time series. We implement dual‑series embedding, cross‑recurrence matrix construction, adapted metrics (CRR, CDET, CLAM, CENTR, and others), and rolling‑window analysis, with optional GPU acceleration via OpenCL. A ready-to-use indicator compares two symbols in real time, supporting timestamp alignment and normalization for practical inter-market analysis.
The image below shows the CRQA indicator comparing two symbols on a live chart. In the separate window beneath the price chart, four metrics are plotted: Cross-Recurrence Rate (CRR), Cross-Determinism (CDET), Cross-Laminarity (CLAM), and Cross-Entropy (CENTR). Each one is computed over a rolling window.
Fig. 1. The CRQA indicator in a separate window, plotting CRR, CDET, CLAM, and CENTR between two symbols in real time
When CRR is high, the two series are visiting similar states frequently. When CDET is high, they are not only visiting similar states but doing so in similar sequences, meaning their trajectories evolve in parallel. When CLAM spikes, one or both series are stuck near a shared state. These metrics change over time, and it is the evolution of those changes that reveals when coupling strengthens, weakens, or breaks down entirely.
That is what the library produces. The rest of this article explains how it works and how it is built.
Author: Hammad Dilber