Lyapunov exponent
- Indicatori
- Vincent Albert Feugier
- Versione: 1.0
- Attivazioni: 20
Lyapunov Exponent Indicator for MT5
Measures the rate at which nearby market trajectories diverge over time — a concept from chaos theory applied to price series.
What it measures The speed at which two initially close market states diverge. Fast divergence indicates a chaotic/trending regime. Convergence indicates a stable/consolidating regime.
Reading the indicator
- Value near 1 → market in chaotic / trending regime
- Value near 0 → market in stable / ranging regime
- White line : Lyapunov exponent
- Red dotted line : signal (moving average of the curve)
Algorithm Rosenstein (1993) method applied to log returns, with phase space reconstruction via Takens embedding. Rolling min/max normalization ensures continuous oscillation between 0 and 1.
