A compact MQL5 toolkit measures market “efficiency” by treating recent returns as a symbol string and scoring how well that string can be described by Lempel–Ziv phrase parsing. The LZ76 count is parameter-free and fast enough per bar; normalization maps values near 1 to noise-like behavior and lower values to repeatable structure.
Prices are not fed directly. The pipeline converts a trailing window of log-returns into symbols using SAX: z-normalize to remove scale, optionally aggregate, then quantize via Gaussian breakpoints so random data is uniformly distributed across the alphabet. Breakpoints are computed on the fly with a high-precision inverse normal approximation, and flat windows are handled explicitly to avoid divide-by-zero artifacts.
The library is split into symbolizer, complexity, NCD distance, and a facade class with reusable buffer...
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1August 26, 2026 15K 9
