Sigma Level Analyzer

The Sigma Level Analyzer is a trading indicator designed to visualize market structure, volatility breakout levels, and post-breakout price behavior during the three major trading sessions (Asia, London, New York). It is ideal for traders who want to:

• Identify session-based price ranges

• Detect breakouts and measure reaction/extents

• Improve precision in session-specific strategies

Key Features

• Session Detection: Auto-identifies and labels Asia, London, and New York sessions.

• Range Highlighting: Visual rectangles show initial session ranges.

• Breakout Detection: Recognizes when price breaks out of range highs/lows.

• Sigma Levels: Calculates 11 internal (0.1 to 1.0) and 10 external (0.5 to 5.0) levels post breakout (standard deviation).

• Statistical Dashboard: View average breakout metrics by session and day of week.

• CSV Export: Export session statistics and averages for further analysis.

How It Works

1. Session Start: At predefined times, the indicator begins tracking the price range.

2. Range End: A horizontal range is drawn between the highest and lowest prices during the range phase.

3. Breakout Detection: Once the price breaks above or below this range, breakout direction and price are captured.

4. Level Plotting: Based on breakout direction, levels are calculated:

   • Retracement Levels (toward original range)

   • Extension Levels (away from breakout)

5. Statistics Panel: Displays median retracement, extension distances, and breakout counts for each session and day.

How to Use

Step 1: Load the Indicator

• Drag & drop onto your chart from the MT5 Navigator under "Indicators."

Step 2: Configure Sessions (Optional)

• Define custom session names and time ranges via the input settings:

  • Start Time

  • End of Range Time

  • End of Session Time

Step 3: View Market Structure

• The indicator displays colored rectangles and lines for each session:

  • Solid box: Session range (wick-based)

  • Dotted box: Range body (open/close)

  • Vertical lines: Session start, range end, session end

Step 4: Analyze Breakouts

• Watch for breakout lines and post-breakout sigma levels.

• Hover over lines or use the button dashboard to toggle sessions.

Step 5: Use Dashboard

• A visual table shows per-session statistics:

  • Breakout direction (Long/Short)

  • Retracement/Extension strength & duration

  • Days of week distribution

Step 6: Export Data (Optional)

• Enable export options in settings:

  • export_excel_averages = true

  • export_excel_sessions = true

• Data is saved in the terminal directory as CSV files.

Practical Applications

• Breakout Traders: Define trade levels with breakout confidence metrics

• Session Scalpers: Focus on volatility zones and avoid false breakouts

• Statistical Traders: Use CSV exports for building session-specific strategies

• Manual Discretionary Traders: Gain structural clarity during key hours

FAQ

1. Can I change the sessions?
Yes, you can rename or deactivate any session and set custom times.

2. What is a Sigma Level?
It is a multiple of the original session range added to the breakout price (standard deviation). This helps quantify move strength.

3. Why does nothing appear on the chart?
Check if the chart has enough history and that the session times match active market hours.

4. Where are CSV exports saved?
They are saved in \MQL5\Files\ directory of your terminal data folder.

This is not financial advice!