# EVT

Extreme Value Theory tail-risk tooling for MetaTrader 5. Fits a Generalised
Pareto Distribution to the tail of the return distribution instead of assuming
a normal one.

Companion code for the MQL5 article: https://www.mql5.com/en/articles/23278

## What it does

Normal-assumption risk numbers underestimate the tail, and they underestimate
it worst exactly when it matters. Peaks-Over-Threshold takes a different route:
ignore the body of the distribution entirely, keep only the exceedances beyond
a high threshold, and fit a GPD to those.

`CGPDModel` does the fit and exposes Value at Risk and Expected Shortfall from
it. Two consumers sit on top:

- `EVTCrashGauge.mq5` reads the fitted tail as a live gauge.
- `EVTRiskOverlay.mq5` sizes positions from it.

The article includes the limitations, which are real: threshold choice matters,
and a tail fitted on data that contains no crash cannot tell you much about
crashes.

## Layout

```
Include/EVT/GPDModel.mqh          GPD fit, VaR, Expected Shortfall
Indicators/EVT/EVTCrashGauge.mq5  live tail gauge
Experts/EVT/EVTRiskOverlay.mq5    position sizing from the fitted tail
```

Copy the folders into your terminal's `MQL5` directory and compile.

## Disclaimer

Educational code. Past behaviour of any model or dataset says nothing about
future results. Test on your own data and broker conditions before drawing
conclusions.