forked from ayantrader/IntrinsicTime
50 lines
2.2 KiB
Markdown
50 lines
2.2 KiB
Markdown
 | # IntrinsicTime
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The directional-change operator, the intrinsic-time scaling laws, and the Alpha
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Engine coastline trader, implemented in MQL5.
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Companion code for the MQL5 article: https://www.mql5.com/en/articles/23814
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## What it does
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Physical time is an arbitrary clock for a market. Intrinsic time replaces it:
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the clock only ticks when price reverses by a fixed threshold, so quiet periods
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compress and active ones stretch.
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That reframing comes with published scaling laws, which are empirical
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regularities relating threshold size to event counts and move lengths. The
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article verifies them on live ticks rather than taking them on trust, which is
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what `DcOS_ScalingLaws.mq5` is for. If your broker's feed does not reproduce
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them, nothing built on top will behave as advertised.
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The Alpha Engine is the trading side: coastline trading works the reversals,
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scaling into positions as the coastline extends, with liquidity and inventory
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management around it. `AlphaEngine.mq5` is the Expert Advisor.
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## Layout
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```
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Include/IntrinsicTime/DcTypes.mqh directional-change types
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Include/IntrinsicTime/DcOperator.mqh the DC operator
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Include/IntrinsicTime/ScalingLaws.mqh scaling-law measurement
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Include/IntrinsicTime/AeTypes.mqh Alpha Engine types
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Include/IntrinsicTime/AeAlphaEngine.mqh the engine
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Include/IntrinsicTime/AeCoastlineTrader.mqh coastline position logic
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Include/IntrinsicTime/AeLimitOrder.mqh order handling
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Include/IntrinsicTime/AeLiquidity.mqh liquidity model
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Include/IntrinsicTime/AeLiveTrader.mqh live execution layer
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Include/IntrinsicTime/AeRunner.mqh run harness
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Experts/IntrinsicTime/AlphaEngine.mq5 the Expert Advisor
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Scripts/IntrinsicTime/DcOS_SelfTest.mq5 DC operator checks
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Scripts/IntrinsicTime/DcOS_ScalingLaws.mq5 scaling laws on live ticks
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Scripts/IntrinsicTime/Ae_SelfTest.mq5 engine checks
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Scripts/IntrinsicTime/Ae_RandomWalk.mq5 behaviour on a random walk
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```
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Run the two self-tests first, then the scaling-law script on your own feed.
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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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