Measuring What Matters (Part 2): Building the Covariance Matrix: Eigenvalue Decomposition and Risk Factor Analysis in MQL5

The brief

In Part 2, we introduce a reusable CCovarianceMatrix class that computes and stores a covariance matrix from raw return series using MQL5's native Cov() method. We verify symmetry, print a labeled matrix grid, and call Eig() to obtain eigenvalues and eigenvectors. Readers see how symbols co-move and...