Articles
Market Microstructure in MQL5: Estimating ARFIMA d with GPH (Part 3) for MetaTrader 5
A GPH‑based estimator for d, the key ARFIMA parameter, is added to MicroStructure_Foundation.mqh. GPHEstimator() computes d via log‑periodogram regression, while PopulateARFIMAAnalysis() stores d with an R² confidence score and validates the theoretical relationship H = d + 0.5. An empirical study
Market Microstructure in MQL5: Measuring long memory in MQL5 with Hurst estimators (Part 2) for MetaTrader 5
Part 2 focuses on practical long-memory detection for intraday data. Three complementary Hurst estimators are implemented and combined into a confidence‑weighted composite, with confidence tied to valid regression scales. The final H and confidence populate the shared analysis struct, enabling
Market Microstructure in MQL5: Robust Foundation (Part 1) for MetaTrader 5
This article builds the foundation layer of a twelve-part MQL5 market microstructure toolkit. It implements guarded math helpers (SafeDivide, SafeLog, SafeSqrt, SafeExp, SafeTanh), robust data validation (ValidateSymbolV2, SafeCopyClose), trimmed statistical estimators (robust mean var), a linear
GoertzelBrain: Adaptive Spectral Cycle Detection with Neural Network Ensemble in MQL5 for MetaTrader 5
GoertzelBrain combines Goertzel spectral analysis with an online‑trained neural network ensemble to convert cycle features into a directional confirmation signal. The indicator builds a compact feature vector from the dominant period, amplitude, confidence and their dynamics, plus local volatility