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CorrelationsSearcherLE is a free lite version of the CorrelationsSearcher Expert Advisor.
As the name implies, the EA looks for correlations between price movements of various trade symbols available in the MT5 terminal. The only functional difference is that the full version works with all available symbols, while the lite one processes data for only 20 symbols.
- the EA is attached to any symbol chart (only timeframe matters);
- required parameter values are selected (described below);
- after the EA launch, history data is requested from the server for each symbol one-by-one. For the symbols meeting a certain set of requirements (ability to carry out any trading operations, minimum required depth history), the check for the price movement correlation is performed (correlation of each verified symbol with all the others);
- the appropriate message appears in the Experts tab of the terminal at the start of the data processing;
- after the calculations are complete, the results are saved to a .csv file at the address specified in the EA settings (the default path: MetaTrader 5\MQL5\Files\CorrelationsSearcherLE). The appropriate message appears if the file is saved successfully;
- the file data is grouped into seven columns (see the screenshot): the first two columns contain symbol names in pairs, the rest provide numerical values of the correlation ratio (Fechner) between symbol pairs for the entire study period and each period of history (the entire history period is divided into four parts to track the changes);
- data processing cycle and writing to file are repeated at each "new bar" event.
.csv file format is convenient for further processing and provides great opportunities for creativity and practical application.
- MinCorrelationCoefficient - minimum correlation threshold. Lower values are not included into the file;
- BARS - history depth (timeframe corresponds to the chart the EA is attached to) used in calculations, in bars. If the available history depth of some symbol is less than the specified value, the processing is performed at the smallest trading history;
- MMH - minimum history depth limitation in months for processed symbols. Symbols with lesser history are sorted out at the initial stage and are not considered in further calculations.
- due to the strategy tester characteristics, the EA does not work in the tester;
- only one EA copy can be launched in one terminal. Conflicts with other EAs using global variables may happen.