Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
12,303 documents
The article explains standard deviation as a measure of how dispersed prices are around their average, then outlines a manual calculation and the corresponding MetaTrader indicator settings. It presents three rules: compare the current standard deviation…
The document explains how to represent time in machine-learning features for forex. It argues that raw integer timestamps and hour values misrepresent cyclical adjacency, then describes encoding periodic variables with sine and cosine pairs. Adding Fourier…
This article begins a native MQL5 implementation of the Multifractal Model of Asset Returns (MMAR), focusing on partition analysis. For each moment order, the method calculates partition functions across multiple time scales, fits lines to their logarithms,…
This article explains an MQL5 indicator that plots Fibonacci-scaled volatility bands around a smoothed price line. It uses a smoothed ATR as the volatility measure, so the distance between the center and each band grows or shrinks with changing market…
The article presents a way to inspect recurring intraday patterns in forex markets by averaging bar characteristics at matching times across historical data. It describes exporting price bars, calculating each bar’s range or open-to-close movement, and…
This article outlines a multi-instrument Expert Advisor that assigns separate risk budgets to Asian, London, and New York sessions. It proposes trading selected instruments during each session and sizing positions from the remaining session risk and stop…
The document explains a scalar Kalman filter for smoothing price series and contrasts its changing weight with the fixed weights of simple and exponential moving averages. It models price as a random-walk latent state observed with noise, then updates the…
The article describes an MQL5 indicator that creates a custom symbol whose bars encode several market dimensions. Its conceptual bar combines price information, volume measures, temporal features, and volatility measures. The indicator calculates these from…
This article describes a custom trailing stop intended for noisy, fast-moving markets. Its first component applies a Hampel filter to a recent price window: the median and median absolute deviation define a range, and prices outside that range are treated as…
This article presents a toolkit for assessing whether observed trading returns are distinguishable from chance. It explains why net profit, profit factor, and win rate do not convey uncertainty, and describes one-sample and Welch t-tests, Mann–Whitney U…
The article introduces category theory equalizers as a way to identify input cases where two mappings agree, then applies the idea to forecasting changes in bar range from changes in ATR. It normalizes both series as percentage changes, groups them into…
This article builds a Multifractal Model of Asset Returns (MMAR) from previously estimated scaling parameters and compares its volatility forecasts with a GARCH(1,1) model. It creates multifractal trading time with a normalized multiplicative cascade, then…
The article presents a MetaTrader 5 system that combines Renko direction and EMA information from M5, M15, H1, and H4 into a synthetic symbol. It describes three signal-combination approaches: an equal average, a timeframe-weighted average, and a consensus…
The article presents NRTR, a dynamic channel indicator that signals when closing prices cross a trailing level set from recent highs or lows. Its lookback period grows as a trend develops and resets after a reversal, so earlier prices are excluded from the…
The article explains how to create a MetaTrader 5 indicator that builds a separate volume profile for each completed high-to-low or low-to-high swing. It confirms swing points from rolling price extremes and a subsequent bar, connects them with a ZigZag,…
The article presents a multi-symbol Expert Advisor that estimates a separate volatility signature for each instrument and uses it to adjust stop-loss distance. It collects historical hourly bars and derives features such as candle ranges, wick sizes, return…
The article applies category theory concepts, especially multi-domains and relative domains, to forecasting changes in price bar ranges. A multi-domain allows repeated observations, so it can represent lagged price data even when multiple observations share…
This programming guide presents reusable templates for incorporating common oscillators into automated trading systems. For each indicator, the intended pattern covers configurable inputs, handle initialization and cleanup, retrieval of values from a chosen…
This implementation guide explains an Anchored VWAP indicator that accumulates price and volume from a user-selected point. It distinguishes fixed anchors for event or swing analysis from session-reset calculations with daily, weekly, or monthly boundaries.…
The article implements the Asymmetric Power ARCH model in an MQL5 volatility library. APARCH estimates the power applied to shocks jointly with other model coefficients, rather than fixing the power at the squared-return or absolute-return convention. Its…
This article presents a structure-based trading system that judges pullbacks by their depth relative to both the prior impulse and current volatility. It describes detecting and validating swing points, classifying market structure, mapping liquidity zones,…
The article outlines an MQL5 Expert Advisor for the PIRANHA strategy, a volatility-based approach that treats closes beyond Bollinger Bands as potential reversal signals. It describes selling when a bar closes above the upper band and buying when it closes…
The article explains how to convert foreign-exchange option quotes from the market’s delta-based format into strikes and a volatility smile. It describes the at-the-money volatility, risk reversal, and butterfly quotes used to define smile pillars, with…
The article explains MacroHFT, a reinforcement-learning framework for high-frequency cryptocurrency trading. Its original design classifies fixed-length market blocks by trend and volatility, then trains specialized agents for the resulting market regimes. A…