2026-08-14 00:09:47 +00:00 | | | # NetworkMomentum
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| | | A research paper's network-momentum trend-following strategy, implemented
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| | | entirely in MQL5.
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| | | Companion code for the MQL5 article: https://www.mql5.com/en/articles/23763
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| | |
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| | | ## What it does
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| | | Momentum does not stay inside one market. If A reliably leads B, then A's trend
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| | | carries information about B's next move. The strategy trades that spillover.
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| | | Three pieces make it work. Derivative Dynamic Time Warping detects lead-lag
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| | | relationships between markets, comparing shapes rather than levels. A convex
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| | | optimisation then learns a weighted graph from those relationships, so the
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| | | network is fitted rather than hand-drawn. Momentum is propagated across that
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| | | graph and turned into a signal.
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| | | Returns are volatility-scaled before any of this, so a loud market does not
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| | | dominate the network for the wrong reason.
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| | | `NM_Native.mq5` is the Expert Advisor. The article covers the Strategy Tester
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| | | results, including where the approach struggles.
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| | | ## Layout
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| | | ```
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| | | Include/NetworkMomentum/NM_Config.mqh configuration
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2026-08-14 00:10:39 +00:00 | | | Include/NetworkMomentum/NM_Matrix.mqh matrix helpers
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2026-08-14 00:09:47 +00:00 | | | Include/NetworkMomentum/NM_Data.mqh multi-symbol data handling
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| | | Include/NetworkMomentum/NM_Symbols.mqh the basket
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| | | Include/NetworkMomentum/NM_Momentum.mqh volatility scaling and oscillators
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| | | Include/NetworkMomentum/NM_DDTW.mqh derivative dynamic time warping
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| | | Include/NetworkMomentum/NM_GraphLearner.mqh convex graph learning
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| | | Include/NetworkMomentum/NM_Engine.mqh ensemble, propagation, signal
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| | | Include/NetworkMomentum/NM_Live.mqh chart-side layer
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| | | Experts/NetworkMomentum/NM_Native.mq5 the Expert Advisor
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| | | ```
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| | | Put every basket symbol in Market Watch before running, since the EA pulls
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| | | history for all of them.
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| | |
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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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