Codes
PACF_ACF for MetaTrader 5
The script calculates the autocorrelation and partial autocorrelation functions and displays them on a graph
Articles
Hilbert-Schmidt Independence Criterion (HSIC) for MetaTrader 5
The article discusses the non-parametric HSIC (Hilbert-Schmidt Independence Criterion) statistical test designed to identify linear and non-linear dependencies in data. Implementations of two algorithms for calculating HSIC in the MQL5 language are proposed: the exact permutation test and the gamma
One-Dimensional Singular Spectrum Analysis for MetaTrader 5
The article examines the theoretical and practical aspects of the singular spectrum analysis (SSA) method, which is an efficient method of time series analysis that allows one to represent the complex structure of a series as a decomposition into simple components, such as trend, seasonal (periodic)
Training a multilayer perceptron using the Levenberg-Marquardt algorithm for MetaTrader 5
The article presents an implementation of the Levenberg-Marquardt algorithm for training feedforward neural networks. A comparative analysis of performance with algorithms from the scikit-learn Python library has been conducted. Simpler learning methods, such as gradient descent, gradient descent
Forecasting exchange rates using classic machine learning methods: Logit and Probit models for MetaTrader 5
In the article, an attempt is made to build a trading EA for predicting exchange rate quotes. The algorithm is based on classical classification models - logistic and probit regression. The likelihood ratio criterion is used as a filter for trading signals
Econometric tools for forecasting volatility: GARCH model for MetaTrader 5
The article describes the properties of the non-linear model of conditional heteroscedasticity (GARCH). The iGARCH indicator has been built on its basis for predicting volatility one step ahead. The ALGLIB numerical analysis library is used to estimate the model parameters
Elements of correlation analysis in MQL5: Pearson chi-square test of independence and correlation ratio for MetaTrader 5
The article observes classical tools of correlation analysis. An emphasis is made on brief theoretical background, as well as on the practical implementation of the Pearson chi-square test of independence and the correlation ratio
Two-sample Kolmogorov-Smirnov test as an indicator of time series non-stationarity for MetaTrader 5
The article considers one of the most famous non-parametric homogeneity tests – the two-sample Kolmogorov-Smirnov test. Both model data and real quotes are analyzed. The article also provides an example of constructing a non-stationarity indicator (iSmirnovDistance)
Non-stationary processes and spurious regression for MetaTrader 5
The article demonstrates spurious regression occurring when attempting to apply regression analysis to non-stationary processes using Monte Carlo simulation
Основы байесовского вывода в дискретном и непрерывном случаях: от теории к практической реализации моделей for MetaTrader 5
В статье рассматриваются основы байесовской статистики в дискретном и непрерывном случаях. Мы пройдём путь от классической теоремы Байеса и простых примеров с подбрасыванием монеты до сопряжённых распределений и динамического байесовского обновления, позволяющего проводить анализ котировок в режиме
Гипотеза случайности: поиск скрытых паттернов в ценовых рядах for MetaTrader 5
В статье описан тест гипотезы случайности для котировок на основе статистики хи-квадрат, построенной по частотам перекрывающихся s-цепочек. Показано, как формировать дискретные состояния и сравнивать наблюдаемые и ожидаемые частоты, чтобы обнаруживать марковскую память в приращениях цены. Подход