Statistics.mqh Functions - bibliothèque pour MetaTrader 5

This library contains a set of basic statistical functions necessary for user data processing.

This library was first published in CodeBase at MQL4 - Statistica.mqh functions library. Some typos have been detected and corrected while transferring the functions to MQL5. The code has become more intuitively clear. Most functions have been written using the algorithms from S. Bulashov's book "Statistics for traders".

The library functions are as follows:

The file can be included in the projects requiring random sample parameters processing, its parameters evaluation, histograms etc.

Let's examine the call of some functions:

//+------------------------------------------------------------------+
//|                                                         test.mq5 |
//|                        Copyright 2012, MetaQuotes Software Corp. |
//|                                              http://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "Copyright 2012, MetaQuotes Software Corp."
#property link      "http://www.mql5.com"
#property version   "1.00"

#include <Statistics.mqh>
//+------------------------------------------------------------------+
//| Script program start function                                    |
//+------------------------------------------------------------------+
void OnStart()
  {
//--- specifying two values samples.
   double arrX[10]={3,4,5,2,3,4,5,6,4,7};
   double arrY[10]={7,4,1,2,1,6,9,2,1,5};
//--- calculating the mean
   double mx=Average(arrX);
   double my=Average(arrY);
//--- using the mean to calculate the variance
   double dx = Variance(arrX,mx);
   double dy = Variance(arrY,my);
//--- asymmetry value and excess
   double as=Asymmetry(arrX,mx,dx);
   double exc=Excess(arrX,mx,dx);
//--- covariation and correlation values
   double cov=Cov(arrX,arrY,mx,my);
   double corr=Corr(cov,dx,dy);
//--- showing results in the log file
   PrintFormat("mx=%.6e",mx);
   PrintFormat("my=%.6e",my);
   PrintFormat("dx=%.6e",dx);
   PrintFormat("dy=%.6e",dy);
   PrintFormat("As=%.6e",as);
   PrintFormat("exc=%.6e",exc);
   PrintFormat("cov=%.6e",cov);
   PrintFormat("corr=%.6e",corr);
  }

As you can see, most functions require the values (as input parameters) that can be calculated using other functions.

For example:

double dx = Variance(arrX,mx);

To calculate the variance, we have to calculate the mean at first. That gives a certain advantage regarding the calculations optimization. In case it is necessary to calculate the variance for several times, it will be better to find the mean once instead of doing it several times inside the function. That will save time.

This feature applies to most functions of the library.