40 lines
1.4 KiB
Markdown
40 lines
1.4 KiB
Markdown
|
# SAX
|
||
|
|
|
||
|
|
Symbolic Aggregate Approximation in MQL5, used for historical analog search and
|
||
|
|
forecasting.
|
||
|
|
|
||
|
|
Companion code for the MQL5 article: https://www.mql5.com/en/articles/23484
|
||
|
|
|
||
|
|
## What it does
|
||
|
|
|
||
|
|
SAX turns a price window into a short string. The window is normalised, split
|
||
|
|
into equal segments, each segment averaged, and each average mapped to a letter
|
||
|
|
by breakpoints chosen so letters are equally likely under a normal.
|
||
|
|
|
||
|
|
Once windows are words, finding historical analogs is string matching instead of
|
||
|
|
a full pairwise distance sweep, which is what makes the search cheap enough to
|
||
|
|
run on a chart.
|
||
|
|
|
||
|
|
The analog search finds past windows resembling the present one and uses what
|
||
|
|
happened next as a distribution of outcomes. `SAXValidate.mq5` is the validation
|
||
|
|
harness, and the article uses it to show whether the precedents carry
|
||
|
|
information or just look convincing.
|
||
|
|
|
||
|
|
`SAXAnalog.mq5` draws the fan cone of outcomes and a verdict panel.
|
||
|
|
|
||
|
|
## Layout
|
||
|
|
|
||
|
|
```
|
||
|
|
Include/SAX/SAXTransform.mqh the SAX transform
|
||
|
|
Include/SAX/SAXAnalogs.mqh analog search over symbolised history
|
||
|
|
Indicators/SAX/SAXAnalog.mq5 fan cone and verdict panel
|
||
|
|
Scripts/SAX/SAXValidate.mq5 validation harness
|
||
|
|
```
|
||
|
|
|
||
|
|
Run `SAXValidate.mq5` on your symbol before trusting the indicator on it.
|
||
|
|
|
||
|
|
## 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.
|