L1Trend

Examples from the article Applying L1 Trend Filtering in MetaTrader 5

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.

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

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.

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.