91 lines
3.6 KiB
MQL5
91 lines
3.6 KiB
MQL5
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//+------------------------------------------------------------------+
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//| days.mq5 |
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//| Copyright 2000-2026, MetaQuotes Ltd. |
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//| www.mql5.com |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2000-2026, MetaQuotes Ltd."
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#property link "https://www.mql5.com"
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//---
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#property script_show_inputs
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//---
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input string symbol = "GOOGL"; // Market symbol for analysis
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input datetime from_t = D'2024.04.01'; // Start of quotes analysis time interval
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input datetime to_t = D'2026.04.01'; // End of quotes analysis time interval
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input ENUM_TIMEFRAMES tf = PERIOD_D1; // Time frame
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//---
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#include "EconometricsM.mqh"
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//---
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void OnStart()
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{
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//--- quotes downloading
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MqlRates rates[];
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int n_rates = CopyRates(symbol, tf, from_t, to_t, rates);
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PrintFormat("Number of downloaded quotes for market symbol %s: %d", symbol, n_rates);
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Print("*******************************************************");
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if(n_rates < 2)
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return;
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//--- y and X calculation
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ulong n=n_rates;
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vector y(n);
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matrix X=matrix::Full(n,5,0.0);
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MqlDateTime ts;
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ulong dow;
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for(ulong i = 0; i < n; ++i)
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{
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y[i]=MathLog(rates[i].close/rates[i].open);
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X[i][0]=1.0;
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TimeToStruct(rates[i].time,ts);
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dow=ts.day_of_week;
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if(dow>0&&dow<5)
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X[i][dow]=1.0;
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}
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//--- regression
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vector b,e;
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double c;
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matrix XX;
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regression(y,X,b,e,c,XX);
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//--- R-squared
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PrintFormat("R-squared: %.3f",R2(y,e));
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PrintFormat("R-squared adjusted: %.3f",R2_adj(y,e,X.Cols()));
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Print("*******************************************************");
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//--- residuals plot
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t_residuals_plot(e);
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Print("*******************************************************");
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//--- correlogram
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correlogram(e);
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Print("*******************************************************");
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//--- Ljung-Box test for autocorrelation in residuals
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Ljung_Box_test(e);
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Print("*******************************************************");
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//--- EPDF of residuals vs. normal density
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epdf_vs_normalpdf(e);
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Print("*******************************************************");
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//--- QQ-plot of residuals vs. normal distribution
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qq_plot(e);
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Print("*******************************************************");
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//--- Jarque-Bera test for normality
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Jarque_Bera_test(e);
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Print("*******************************************************");
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//--- full F-test for all coefficients together
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F_test_all(y,X);
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Print("*******************************************************");
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//--- statistics on individual coefficients
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CoefficientStats cs[];
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parameter_stat(XX,b,c,n,cs);
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ArrayPrint(cs,5);
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Print("*******************************************************");
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//--- Cook distance
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vector D;
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double bound=4.0/n;
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Cook_dist(y,X,D);
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PrintFormat("Cook distance max: %.4f, threshold value: %.4f, their ratio: %.2f",D.Max(),bound,D.Max()/bound);
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Print("*******************************************************");
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//--- output of outliers in the data (rows with high Cook's distance)
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Print("outliers in the data (time, return, regressors):");
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double ratio_max=5.0;
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for(ulong i=0;i<n;++i)
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if(D[i]>ratio_max*bound)
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Print(rates[i].time,", ",(MathExp(y[i])-1.0)*100.0,"%, ",X.Row(i));
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Print("*******************************************************");
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}
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//+------------------------------------------------------------------+
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