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TF Correlation Matrix for MT5
Compare timestamp-aligned closed-bar log returns across two to six exact broker symbols, with the matched sample count shown in every cell.
MQL5 source, EX5, README and SHA-256 checksums. Research beta.
What this MT5 indicator does
- Uses Pearson correlation of log returns, not correlation of price levels.
- Aligns return observations by closing bar timestamp and excludes non-contiguous intervals.
- Requires at least 30 matched observations and displays N/A when data or variance is insufficient.
- Supports exact broker symbol names and up to 1,000 return observations.
Inputs and default settings
These are the defaults in the supplied source. Review them for your account, exact broker symbol and intended test. They are not optimised trading recommendations.
| Input | Default |
|---|---|
Symbols | EURUSD,GBPUSD,USDJPY |
Timeframe | PERIOD_H1 |
ReturnObservations | 120 |
Limitations and failure conditions
- Correlation changes across regimes and does not cap joint losses. It is not a diversification guarantee.
- Broker symbols and suffixes must be entered exactly. Market gaps reduce the matched sample.
- The matrix can be wide with six symbols; use an adequately sized chart. Symbols are added to Market Watch to request history.
Install in MetaTrader 5
- Extract the ZIP and read its README before attaching any file.
- In MT5, choose File → Open Data Folder. Copy the MQ5, EX5 and TFCommon.mqh files together into MQL5/Indicators/TradeForex.
- Refresh Navigator and attach the indicator to a chart in an isolated demo or tester. Review its inputs and data requirements.
- Use one instance per chart. Reattach after changing accounts; retain the documented state files and settings when testing restarts.
No broker password, web API key or DLL permission is required by this package.
Acceptance checks before relying on it
The following checklist is pending. It is not a report of passed runtime tests.
- Verify the diagonal is 1 for a non-constant return sample.
- Export a small synchronized sample and compare off-diagonal values with an independent correlation calculation.
- Test missing history, non-matching market sessions and a nearly constant instrument.
Download contents and integrity
The ZIP contains MQL5 source, the compiled EX5, TFCommon.mqh, README.md, MIT licence, TEST-STATUS.json and SHA256SUMS.txt.
ZIP size: 26,181 bytes. SHA-256: 373fbdcba6814792bb98a6790c6440f23897d7841befec1f43989bce14efbe0f.
Download indicator source and EX5
See how we distinguish compilation, demo testing and trading evidence.
Frequently asked questions
Does this tool work in MT4?
No. This package contains MQL5 source and an EX5 build for MetaTrader 5 desktop. MT4 requires a different codebase; mobile and web charts do not run this desktop file.
What has been tested?
MetaEditor build 6180 compiled the supplied release with zero errors and zero warnings. The runtime acceptance checklist, backtests and forward tests are still pending.
Does this indicator place orders?
No. It displays calculated chart context. Check its data inputs and compare its values independently before relying on the display.
Related tools and guides
Educational research, not personal investment advice. CFDs are leveraged products and can cause rapid losses. A calculation, indicator or stop cannot guarantee an account outcome.