Discussing the article: "Joint Recurrence Quantification Analysis (JRQA) in MQL5: Detecting Simultaneous Recurrence in Two Series"
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Check out the new article: Joint Recurrence Quantification Analysis (JRQA) in MQL5: Detecting Simultaneous Recurrence in Two Series.
We extend the RQA library for MetaTrader 5 with JRQA, which detects when two series simultaneously revisit their own past states. The article covers the joint recurrence matrix, twelve JRQA metrics (including TREND and COMPLEXITY), dual-epsilon configuration, and a rolling-window engine with OpenCL acceleration and automatic CPU fallback. A practical indicator plots JRR, JDET, JLAM, JENTR, and JTREND for any symbol pair with timestamp alignment and normalization.
The image below shows the JRQA indicator comparing two symbols on a live chart. Five metrics are plotted in a separate window: Joint Recurrence Rate (JRR), Joint Determinism (JDET), Joint Laminarity (JLAM), Joint Entropy (JENTR), and Joint Trend (JTREND). Each one is computed over a rolling window of the two aligned and normalized series.
A high JRR means both systems revisit their own past states at the same indices. A high JDET means these joint recurrences form diagonal lines, indicating parallel evolution. When JLAM spikes, both systems are jointly trapped in their respective states. A rising JTREND means joint recurrence is becoming more frequent for nearby time indices compared to distant ones, signaling a regime shift in the coupling between the two systems.
Author: Hammad Dilber