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This article presents a custom MetaTrader 5 indicator, RollingSharpe.mq5, that plots three lines in a sub-window beneath the price chart: the rolling annualized Sharpe ratio, and an upper and lower confidence band at ±1.96⋅SEann​. Sections 1 through 3 derive the mathematics behind those three lines; Section 4 assembles them into the indicator; Section 5 provides the exact inp_Window and inp_PeriodsPerYear values your instrument and timeframe require so the bands are calibrated correctly from the first bar. Once built, reading the chart reduces to one rule: if the bands straddle zero, the visible Sharpe is statistical noise; if they do not, the Sharpe reading is significant at the chosen confidence level.

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Here we will examine not only the ways to use the indicator, but also the mathematical theory that anticipates market movements. Let's talk about how probability theory and mathematical statistics help us understand and calculate recurring market patterns.

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