Volatility Following

MQL5 volatility, fat-tail, frequency, kurtosis, and event-structure research toolkit for regime-aware trading systems.

This repository contains a collection of MQL5 indicators, modules, and EA components for studying volatility behavior and market-event structure. It includes standalone indicator files as well as reusable modules for volatility, fat-tail behavior, frequency, regime logic, micro filtering, order management, portfolio logic, and chart visualization.

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Research Purpose

The purpose of this project is to study how volatility, fat tails, frequency structure, and event behavior can be measured and used inside systematic trading research.

The project is not a single finished trading strategy. It is a research toolkit for exploring:

• Volatility expansion and contraction
• Fat-tail behavior
• Kurtosis and extreme-return behavior
• Event-structure oscillation
• Frequency-based market behavior
• Regime-aware filtering
• Micro filters for execution logic
• Risk-aware order and portfolio handling

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Main Files

File	Purpose
VolatilityOscillator.mq5	Volatility oscillator / visualization indicator.
FatTail_ZScore_Return.mq5	Fat-tail / z-score based return indicator.
Kurtosis.mq5	Kurtosis / distribution-shape measurement.
FrequencyOscillator.mq5	Frequency-based oscillator research tool.
EventStructureOscillatorCC.mq5	Event-structure oscillator indicator.
fat tail.mq5	Fat-tail research implementation.
event structure.mqh	Event-structure helper module.
frequency.mqh	Frequency calculation module.
volatility.mqh	Volatility helper module.
regim.mqh	Regime-related filtering logic.
micro filter.mqh	Micro-level filtering utilities.
clear trend.mqh	Trend clarity / directional filter module.
run.mq5	Expert Advisor / execution research entry point.
strategy setting.mqh	Strategy configuration and research logic.
order.mqh	Order handling utilities.
portfolio.mqh	Position sizing and portfolio/risk utilities.
time.mqh	Timing and session control.
draw.mqh	Chart drawing and visual debugging tools.

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Architecture

Indicators
 ├── VolatilityOscillator.mq5
 ├── FatTail_ZScore_Return.mq5
 ├── Kurtosis.mq5
 ├── FrequencyOscillator.mq5
 └── EventStructureOscillatorCC.mq5

Research / EA Modules
 ├── run.mq5
 ├── strategy setting.mqh
 ├── volatility.mqh
 ├── frequency.mqh
 ├── event structure.mqh
 ├── fat tail.mq5
 ├── regim.mqh
 ├── micro filter.mqh
 ├── clear trend.mqh
 ├── order.mqh
 ├── portfolio.mqh
 ├── time.mqh
 └── draw.mqh

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Research Questions

This repository supports experiments around:

• When does volatility expansion support continuation?
• When does fat-tail behavior imply regime instability?
• Can kurtosis or frequency behavior help classify market regimes?
• Can event-structure oscillation improve signal filtering?
• Can volatility-following logic produce asymmetric payoff behavior?

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How to Use

1. Copy indicator .mq5 files into the MetaTrader 5 Indicators folder.
2. Copy EA-related .mq5 and .mqh files into an MQL5 Expert/project folder.
3. Compile the indicators and run.mq5 in MetaEditor.
4. Use indicators for chart inspection and visual research.
5. Use the EA modules inside Strategy Tester for execution-style testing.

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Status

Experimental research toolkit.

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Disclaimer

This repository is for research and educational purposes only. It is not financial advice and does not provide trading recommendations.