40 lines
1.4 KiB
Markdown
40 lines
1.4 KiB
Markdown
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# EVT
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Extreme Value Theory tail-risk tooling for MetaTrader 5. Fits a Generalised
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Pareto Distribution to the tail of the return distribution instead of assuming
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a normal one.
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Companion code for the MQL5 article: https://www.mql5.com/en/articles/23278
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## What it does
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Normal-assumption risk numbers underestimate the tail, and they underestimate
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it worst exactly when it matters. Peaks-Over-Threshold takes a different route:
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ignore the body of the distribution entirely, keep only the exceedances beyond
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a high threshold, and fit a GPD to those.
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`CGPDModel` does the fit and exposes Value at Risk and Expected Shortfall from
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it. Two consumers sit on top:
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- `EVTCrashGauge.mq5` reads the fitted tail as a live gauge.
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- `EVTRiskOverlay.mq5` sizes positions from it.
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The article includes the limitations, which are real: threshold choice matters,
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and a tail fitted on data that contains no crash cannot tell you much about
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crashes.
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## Layout
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```
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Include/EVT/GPDModel.mqh GPD fit, VaR, Expected Shortfall
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Indicators/EVT/EVTCrashGauge.mq5 live tail gauge
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Experts/EVT/EVTRiskOverlay.mq5 position sizing from the fitted tail
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```
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Copy the folders into your terminal's `MQL5` directory and compile.
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## Disclaimer
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Educational code. Past behaviour of any model or dataset says nothing about
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future results. Test on your own data and broker conditions before drawing
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conclusions.
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