83 lignes
Pas d'EOL
2,6 Kio
Markdown
83 lignes
Pas d'EOL
2,6 Kio
Markdown
# L1Trend
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# Examples from the article [Applying L1 Trend Filtering in MetaTrader 5](https://www.mql5.com/en/articles/21142)
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# File Structure
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## Scripts
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- `MQL5\Scripts\TestL1Trend.mq5`
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Test script for calculating the L1 trend on model data (random walk).
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- `MQL5\Scripts\TestL1TrendFloatDouble.mq5`
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Test script for calculating the L1 trend on model data (random walk) for **double** and **float** vectors.
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- `MQL5\Scripts\TestL1TrendFilterSP500.mq5`
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Test script for calculating the L1 trend on S&P 500 index price data.
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- `MQL5\Scripts\TestScalingBrownianMotion.mq5`
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Script for calculating the power-law dependence of λmax for Brownian motion.
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- `MQL5\Scripts\TestScalingSymbol.mq5`
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Script for calculating the power-law dependence of λmax for the price series of a selected symbol.
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- `MQL5\Scripts\PlotData.py`
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Python script for analyzing the effectiveness of applying the L1 filter to trading signals.
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---
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## Data Files
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- `MQL5\Files\snp500.txt`
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Data file used by test scripts (log of the S&P 500 index price series).
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---
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## Indicators
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- `MQL5\Indicators\L1TrendFilter.mq5`
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Indicator for calculating the L1 trend.
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- `MQL5\Indicators\L1TrendFilter_Slope.mq5`
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Indicator for calculating the rate of change (slope) of the L1 trend.
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- `MQL5\Indicators\L1TrendFilter_SlopeSign.mq5`
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Indicator for calculating the sign of L1 trend changes.
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- `MQL5\Indicators\L1Volatility.mq5`
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Indicator for calculating residual volatility (difference between closing prices and the L1 trend).
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- `MQL5\Indicators\L1VolatilitySmoothed.mq5`
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Indicator for calculating smoothed residual volatility.
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- `MQL5\Indicators\L1VolatilityAbsolute.mq5`
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Indicator for calculating absolute volatility.
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- `MQL5\Indicators\L1VolatilityNormalized.mq5`
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Indicator for calculating normalized volatility using ATR (Average True Range) and the L1 trend.
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- `MQL5\Indicators\L1VolatilityNormalizedSmoothed.mq5`
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Indicator for calculating smoothed normalized volatility.
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- `MQL5\Indicators\L1VolatilityRegime.mq5`
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Market regime detection indicator.
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- `MQL5\Indicators\L1VolatilityRegimeColor.mq5`
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Color version of the market regime detection indicator.
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---
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## Expert Advisors
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- `MQL5\Experts\MovingAverageFilteredL1.mq5`
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Expert Advisor based on a Moving Average strategy with L1 filtering.
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- `MQL5\Experts\MACDFilteredL1.mq5`
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Expert Advisor based on a MACD strategy with L1 filtering.
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- `MQL5\Experts\ADXFilteredL1.mq5`
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Expert Advisor based on an ADX strategy with L1 filtering.
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- `MQL5\Experts\EMAFilteredL1.mq5`
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Expert Advisor based on crossover of two EMAs with L1 filtering. |