# L1Trend
# Examples from the article [Applying L1 Trend Filtering in MetaTrader 5](https://www.mql5.com/en/articles/21142)

![Demo](L1Trend_Demo_Animation.gif)

# File Structure

## Scripts

- `MQL5\Scripts\TestL1Trend.mq5`  
  Test script for calculating the L1 trend on model data (random walk).

- `MQL5\Scripts\TestL1TrendFloatDouble.mq5`  
  Test script for calculating the L1 trend on model data (random walk) for **double** and **float** vectors.

- `MQL5\Scripts\TestL1TrendFilterSP500.mq5`  
  Test script for calculating the L1 trend on S&P 500 index price data.

- `MQL5\Scripts\TestScalingBrownianMotion.mq5`  
  Script for calculating the power-law dependence of λmax for Brownian motion.

- `MQL5\Scripts\TestScalingSymbol.mq5`  
  Script for calculating the power-law dependence of λmax for the price series of a selected symbol.

- `MQL5\Scripts\PlotData.py`  
  Python script for analyzing the effectiveness of applying the L1 filter to trading signals.

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## Data Files

- `MQL5\Files\snp500.txt`  
  Data file used by test scripts (log of the S&P 500 index price series).

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## Indicators

- `MQL5\Indicators\L1TrendFilter.mq5`  
  Indicator for calculating the L1 trend.

- `MQL5\Indicators\L1TrendFilter_Slope.mq5`  
  Indicator for calculating the rate of change (slope) of the L1 trend.

- `MQL5\Indicators\L1TrendFilter_SlopeSign.mq5`  
  Indicator for calculating the sign of L1 trend changes.

- `MQL5\Indicators\L1Volatility.mq5`  
  Indicator for calculating residual volatility (difference between closing prices and the L1 trend).

- `MQL5\Indicators\L1VolatilitySmoothed.mq5`  
  Indicator for calculating smoothed residual volatility.

- `MQL5\Indicators\L1VolatilityAbsolute.mq5`  
  Indicator for calculating absolute volatility.

- `MQL5\Indicators\L1VolatilityNormalized.mq5`  
  Indicator for calculating normalized volatility using ATR (Average True Range) and the L1 trend.

- `MQL5\Indicators\L1VolatilityNormalizedSmoothed.mq5`  
  Indicator for calculating smoothed normalized volatility.

- `MQL5\Indicators\L1VolatilityRegime.mq5`  
  Market regime detection indicator.

- `MQL5\Indicators\L1VolatilityRegimeColor.mq5`  
  Color version of the market regime detection indicator.

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## Expert Advisors

- `MQL5\Experts\MovingAverageFilteredL1.mq5`  
  Expert Advisor based on a Moving Average strategy with L1 filtering.

- `MQL5\Experts\MACDFilteredL1.mq5`  
  Expert Advisor based on a MACD strategy with L1 filtering.

- `MQL5\Experts\ADXFilteredL1.mq5`  
  Expert Advisor based on an ADX strategy with L1 filtering.

- `MQL5\Experts\EMAFilteredL1.mq5`  
  Expert Advisor based on crossover of two EMAs with L1 filtering.