This Expert Advisor combines Chaos Theory and quantitative momentum logic for MetaTrader 5. It calculates the Largest Lyapunov Exponent (LLE) in real-time to analyze phase space trajectory divergence, identifying whether current market dynamics are chaotic or deterministic.
By measuring divergence between nearest neighbors in reconstructed phase space, the EA filters out unpredictable market noise and executes trades only when market conditions exhibit structured behavior.
Key Features:
Lyapunov Chaos Filter: Uses phase space reconstruction (lookback, embedding dimension, and projection steps) to calculate the LLE and halt trading during high-entropy conditions.
Momentum Trigger: Executes trades using fast and slow Exponential Moving Average (EMA) crossovers strictly when the chaos filter validates market predictability.
Dynamic Risk Management: Automated lot sizing based on account balance risk percentage, ATR-based Stop Loss, and Take Profit targets.
Bar-By-Bar Execution: Evaluates signals at the open of each new bar to optimize performance and prevent over-trading.
Note: Developed as a quantitative regime-filtering module for algorithmic portfolios.