Comprehensive Stationarity Testing Suite for MetaTrader
Info
The Comprehensive Stationarity Testing Suite for MetaTrader is a Script for MetaTrader 5 that stationarity testing suite this suite includes five tests for distinguishing random walks from mean-reverting series, augmenting the standard augmented dickey-fuller test. The included tests are: - KPSS (Null Hypothesis: Stationarity) - Phillips-Perron - DF-GLS (Elliott, Rothenberg, and Stock): Offers higher power near a unit root compared to ADF.
Usage
This tool is typically used for enhancing chart analysis and decision making.
Platform
This Script works exclusively on MetaTrader 5 (both build 600+ and newer versions).
Setup
Place the downloaded file in MQL5/Scripts folder via File ? Open Data Folder in MetaTrader 5.
How to Install and Use Comprehensive Stationarity Testing Suite for MetaTrader
1. Installation: Move your script file into the MQL/Scripts directory and restart the platform.
2. Execution: Drag the script onto a chart; it will perform a one-time action, such as closing all open orders or clearing chart objects.
3. Editing: Use MetaEditor (F4) to modify code, click "Compile," and verify no errors appear in the terminal before running.
4. Removing: Scripts stop automatically, but you can remove them manually by right-clicking the chart and choosing "Remove Script."
Frequently Asked Questions
Q: How are scripts different from EAs? A: Scripts execute a single action and then stop; EAs monitor the market and trade continuously.
Q: Can I assign a hotkey to a script? A: Yes, right-click the script in the Navigator, select "Set Hotkey," and define your preferred keyboard shortcut.
Q: Why did my script stop? A: Scripts are designed to stop immediately after finishing their programmed command; this is normal behavior.
What this tool does
Stationarity Testing Suite This suite includes five tests for distinguishing random walks from mean-reverting series, augmenting the standard Augmented Dickey-Fuller test.
Typical Use Case
This Script excels in automated trading and technical analysis on MetaTrader 5.
Compatible Platform & Setup
This Script works on MetaTrader 5. Place the file in the MQL5/Scripts folder and restart the terminal.
Description & Settings
Related: portfolio scorer: comprehensive multi-ea correlation and coverage analysis - another powerful script for MetaTrader 5 traders.
Stationarity Testing Suite This suite includes five tests for distinguishing random walks from mean-reverting series, augmenting the standard Augmented Dickey-Fuller test. The included tests are: - KPSS (Null Hypothesis: Stationarity) - Phillips-Perron - DF-GLS (Elliott, Rothenberg, and Stock): Offers higher power near a unit root compared to ADF. - Zivot-Andrews: Tests for a unit root against a stationary series with one structural break, identifying the break date. - Lo-MacKinlay Variance Ratio Each test provides its statistic, p-value, critical values (1%, 5%, 10%), and the selected lags or bandwidth. No external DLLs are required. Usage Example: #includeAlso recommended: Copula Analysis: Gaussian, Student t, Clayton, Gumbel, and Frank Copulas with Tail Dependence - similar script with strong performance on MetaTrader 5.
Detailed Test Descriptions
KPSS: Tests for stationarity with constant or trend. Bandwidth selection can be automatic (Hobijn, Franses, and Ooms method), a calculated value of 12*(n/100)^(1/4), or user-defined. P-values are derived through interpolation of simulated quantiles. Phillips-Perron: Available for no constant, constant, or trend specifications. Uses Z-tau or Z-rho statistics, Newey-West long-run variance estimation, and MacKinnon's p-values and critical values. DFGLS: Tests for unit root with constant or trend. The series is detrended using GLS with c = -7 or -13.5. Lags are selected via AIC, BIC, or t-statistic on the OLS-detrended series. ZivotAndrews: Detects a structural break in level, trend, or both. Allows testing at any date between trimmed ends (default 15%). Efficiently reuses cross-products of non-varying columns for regression, achieving approximately 0.1 seconds for 2,800 bars. VarianceRatio: Compares the q-period variance to the 1-period variance. Supports overlapping or non-overlapping periods and debiased calculations. Uses the heteroskedasticity-robust variance from Lo and MacKinlay. A ratio below 1 indicates mean reversion; a ratio above 1 suggests momentum. The ratio is stored in r.extra. Auxiliary Functions: SelectLags: Aids in selecting the lag length for Dickey-Fuller regressions. DickeyFullerP / DickeyFullerCrit: Public functions for t-statistics and normalized bias (z) statistics. The p-value and critical value tables are located in StationarityTables.mqh. Example Report: The script StationarityReport.mq5 performs these tests on the log price and returns of a selected symbol. It outputs each result with a 5% significance verdict, the most likely break date, and variance ratios for periods 2 to 60. For EURUSD Daily, the price acts as a random walk, and returns are stationary, as expected. A likely break date identified was November 2026. Verification: Cross-checked against R's `arch.unitroot` (version 8.0) on six diverse series: a random walk, an AR(1) stationary series, a trend-stationary series, a series with a level break, gold log prices (H4), and BTCUSD log prices (D1). This involved 204 tests across all trend options, lag rules, and parameters. Results showed: - Identical lags, bandwidths, observation counts, break dates, and critical values. - Statistics accurate to within 3e-11. - P-values accurate to within 2e-11. File Placement: - Stationarity.mqh and StationarityTables.mqh: Place in MQL5\Include\Stationarity - StationarityReport.mq5: Place in MQL5\Scripts\Stationarity
You may also like: symbol summary viewer - excellent alternative for script users on MetaTrader 5.
Source Code
#property copyright "RobotFX"
#property version "1.00"
#property script_show_inputs
#include <Stationarity\Stationarity.mqh>
input string InpSymbol = "";
input ENUM_TIMEFRAMES InpPeriod = PERIOD_D1;
input int InpBars = 1500;
input string InpCsv = "";
void Line(const string name, const SStationarityResult &r, const bool nullStationary)
{.......
⚠ Limitations & Risk Warning
- This tool is provided for educational and testing purposes only.
- Past performance does not guarantee future results.
- Trading involves substantial risk of loss. Use on a demo account first.
- Results may vary depending on market conditions, broker, and settings.
- We recommend thorough backtesting and forward testing before using with real funds.