Discussing the article: "The Maximal Information Coefficient: Detecting Any Relationship, and the Null That Decides Whether It Is Real"
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Check out the new article: The Maximal Information Coefficient: Detecting Any Relationship, and the Null That Decides Whether It Is Real.
This article implements the Maximal Information Coefficient (MINE) for MQL5, including the grid search with dynamic programming and the four MINE statistics. It explains why raw MIC has a nonzero noise floor and builds a permutation null to judge significance. The result is a verified library with a dependence scanner and a chart indicator, allowing you to test features and interpret scores consistently across relationship shapes.
Every trader who has screened candidate inputs has used correlation: Pearson's r against the forward return, sorted by absolute value, top few kept. Pearson's r measures one thing, how close the scatter is to a straight line. A perfectly deterministic but curved relationship returns a number near zero, and a volatility feature predicting large moves both ways is that shape. Rank correlation handles curves and still demands monotonicity.
In 2011, Reshef and co-authors published the Maximal Information Coefficient in Science. The claim was precise: one number from 0 to 1 scoring a relationship by strength rather than shape, so a line, a parabola, a sine and a step with equal noise all score alike. That property is equitability, and the reason to care.
This article builds it for MQL5 from scratch: the grid search, the dynamic program underneath, the four MINE statistics, a feature builder, a scanner and a chart indicator. Every piece is checked against something written independently of it, and the checking is described, not asserted. It is not checked against minepy, which could not be built here.
One finding shapes the design: MIC does not read zero on independent data. It is a maximum over thousands of candidate grids, and a maximum drifts upward on noise alone, so two columns of random numbers score roughly 0.22 at 200 points. A raw MIC is not evidence; most of this library exists to make it evidence.
Author: Hammad Dilber