43 lines
1.6 KiB
Markdown
43 lines
1.6 KiB
Markdown
# OPTN
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Ordinal Pattern Transition Networks in MQL5. Reads the shape of price movement
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rather than its level.
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Companion code for the MQL5 article: https://www.mql5.com/en/articles/23451
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## What it does
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An ordinal pattern is the rank order of a short run of prices. Three bars rising
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is one pattern, up then down is another. The values do not matter, only their
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order, which makes the representation immune to scaling and to slow drift.
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Treat each pattern as a node and each observed pattern-to-pattern move as an
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edge, and the series becomes a transition network. Three signals come out of
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that network:
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- efficiency, which is how directly the network moves between states
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- irreversibility, which is how asymmetric forward and backward transitions
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are, and therefore how far the series is from a reversible random process
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- the transition structure itself
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The article includes the reality check, which is tuning the signal on FX and
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reporting what it does and does not deliver there.
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## Layout
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```
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Include/OPTN/OrdinalNetwork.mqh pattern extraction and the network
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Indicators/OPTN/OPTN_Efficiency.mq5 efficiency signal
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Indicators/OPTN/OPTN_Irreversibility.mq5 irreversibility signal
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Scripts/OPTN/OrdinalNetworkTest.mq5 correctness checks
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Scripts/OPTN/OrdinalNetworkSweep.mq5 parameter sweep
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```
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Run `OrdinalNetworkTest.mq5` first, then the sweep to pick parameters on your
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own symbol.
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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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