48 lines
1.9 KiB
MQL5
48 lines
1.9 KiB
MQL5
//+------------------------------------------------------------------+
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//| vol2.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 = "EURCHF"; // Market symbol for analysis
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input datetime from_t = D'2024.09.20'; // Start of analysis time interval
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input datetime to_t = D'2026.09.20'; // End of analysis time interval
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input ulong pfit = 3; // Fitted p for model testing
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input ulong qfit = 3; // Fitted q for model testing
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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, PERIOD_D1, 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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if(n_rates < 2)
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return;
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//--- y calculation
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ulong n=(ulong)n_rates;
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vector y(n);
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for(ulong i=0;i<n;++i)
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y[i]=MathLog(rates[i].high/rates[i].low);
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//--- Model with fitted p and q testing
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vector e;
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CoefficientStats stats[];
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SPrognose prog;
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regression_CLS(y,pfit,qfit,vector::Zeros(pfit),vector::Zeros(qfit),e,stats,prog);
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//--- Residuals graph vs t
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t_residuals_plot(e);
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//--- Residuals QQ-plot
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qq_plot(e);
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//--- EPDF of residuals vs. normal density
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epdf_vs_normalpdf(e);
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// Adaptive lag m for LM-test
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ulong m = (ulong)MathMax(pfit+qfit+1,MathRound(MathLog(n)));
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//--- Breusch-Godfrey serial correlation LM-test
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LM_test(y,e,pfit,m);
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}
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//+------------------------------------------------------------------+
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