OPTN

Ordinal Pattern Transition Networks in MQL5. Reads the shape of price movement rather than its level.

Companion code for the MQL5 article: https://www.mql5.com/en/articles/23451

What it does

An ordinal pattern is the rank order of a short run of prices. Three bars rising is one pattern, up then down is another. The values do not matter, only their order, which makes the representation immune to scaling and to slow drift.

Treat each pattern as a node and each observed pattern-to-pattern move as an edge, and the series becomes a transition network. Three signals come out of that network:

• efficiency, which is how directly the network moves between states
• irreversibility, which is how asymmetric forward and backward transitions are, and therefore how far the series is from a reversible random process
• the transition structure itself

The article includes the reality check, which is tuning the signal on FX and reporting what it does and does not deliver there.

Layout

Include/OPTN/OrdinalNetwork.mqh        pattern extraction and the network
Indicators/OPTN/OPTN_Efficiency.mq5    efficiency signal
Indicators/OPTN/OPTN_Irreversibility.mq5  irreversibility signal
Scripts/OPTN/OrdinalNetworkTest.mq5    correctness checks
Scripts/OPTN/OrdinalNetworkSweep.mq5   parameter sweep

Run OrdinalNetworkTest.mq5 first, then the sweep to pick parameters on your own symbol.

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.