Codes
Hurst Exponent Regime Switch Indicator for MetaTrader 5
Estimates the rolling Hurst exponent of price via rescaled-range (R/S) analysis and plots it as a color-coded oscillator that flags whether the market is currently trending, mean-reverting, or moving like a random walk
Dynamic Session Range Sweep Detector with Liquidity Zone Marking for MetaTrader 5
Tracks the Asian, London, and New York session ranges, locks each one at session close, and flags true liquidity sweeps — a wick that pierces a locked high or low and closes back inside it — with an arrow signal and a shaded reaction zone. Non-repainting, works on any symbol and timeframe
Liquidity Void Decay Oscillator. for MetaTrader 5
A subwindow oscillator that flags thin-participation displacement bars as "liquidity voids" and scores 0–100 how quickly price re-fills each one, distinguishing fast-absorbed noise from levels still acting as real support or resistance
Custom Simple Moving Average for MetaTrader 5
A two-stage adaptive moving average (base average + secondary smoothing) that colors itself by slope and marks price/average crossovers with arrows
Adaptive Kalman Trend Filter with Regime Bands submission for MetaTrader 5
A single-state Kalman filter that rescales its own process noise by Kaufman's Efficiency Ratio on every bar, tightening into price during trends and smoothing harder through chop, plotted with regime bands that expand and contract on the same read
Articles
Certified Robustness Radius: Knowing How Much Noise Your ONNX Trading Model Can Survive for MetaTrader 5
We introduce a certified-radius gate for ONNX signals implemented natively in MQL5. The system estimates per-prediction robustness via randomized smoothing and a one-sided Clopper–Pearson bound, then applies the radius to trade admission, lot scaling, and monitoring. This provides an actionable
Rough Volatility: Building a Roughness Index Feature from the RFSV Model for ML Trade Filtering for MetaTrader 5
This article builds a usable roughness index from rough volatility theory by fitting local H via a structure-function regression on blocked returns, all in native MQL5. We combine it with vol-of-vol features, train a gradient-boosted classifier in Python, export to ONNX, and call it from an EA. You
Zero-Copy Tick Streaming (Part 1): Bridging MetaTrader 5 to Shared Memory with the Arrow C Data Interface for MetaTrader 5
This article implements a lock-free shared-memory bridge in MetaTrader 5 that writes ticks in Apache Arrow’s columnar layout via the C Data Interface. It details the column layout, double buffering with a seqlock, and a batching strategy. You get full source for a writer class, a streaming Expert
Distribution-Free Price Channels in MQL5: Quantile Regression by Iteratively Reweighted Least Squares for MetaTrader 5
We build a rolling price channel by fitting the 0.1, 0.5 and 0.9 conditional quantile lines via IRLS with pinball loss, packaged as a reusable class and two MetaTrader 5 indicators. We verify in-sample coverage, examine quantile crossing, and compare the channel width with ATR, Bollinger and