Using a Lyapunov Exponent as a Market Regime Filter

Summary

This document describes a MetaTrader 5 Expert Advisor that uses the Largest Lyapunov Exponent (LLE) to classify market behavior. It reconstructs phase space from market observations, compares the divergence of nearby trajectories, and treats that divergence as a way to distinguish more structured dynamics from chaotic or noisy conditions. The EA then uses the regime assessment as a filter, taking momentum-based trades only when conditions appear sufficiently structured.

The stated execution design checks for signals at the start of each new bar. Risk controls include position sizing based on a share of account balance at risk, with stop-loss and take-profit levels tied to average true range. The description offers no parameter choices, validation results, or evidence that the filter improves trading performance. It also does not explain how the LLE threshold is set or how the phase-space reconstruction is configured, so the strategy cannot be reproduced from this account alone.

Key ideas

• The EA uses a Largest Lyapunov Exponent to assess divergence between nearby phase-space trajectories.
• It applies the resulting market-regime assessment as a filter for momentum trades.
• Signals are evaluated at the opening of each new bar.
• Position sizing is based on account risk, while stop-loss and take-profit distances use average true range.
• The description omits settings and performance evidence needed to reproduce or assess the strategy.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.