MT5-EA-Sniper-Strategy/src/Include/RiskManagement/MonteCarloSimulator.mqh

//+------------------------------------------------------------------+
//|                                          MonteCarloSimulator.mqh |
//|                        Copyright 2024, MT5 Sniper Strategy Team |
//|                                             https://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "Copyright 2024, MT5 Sniper Strategy Team"
#property link      "https://www.mql5.com"

#include "../Utils/Logger.mqh"
#include "../Utils/CacheManager.mqh"

//+------------------------------------------------------------------+
//| Monte Carlo Simulation Enums                                   |
//+------------------------------------------------------------------+
enum ENUM_SIMULATION_TYPE {
    SIMULATION_POSITION_SIZING,     // Position sizing optimization
    SIMULATION_RISK_ASSESSMENT,     // Risk assessment and validation
    SIMULATION_STRATEGY_PERFORMANCE, // Strategy performance analysis
    SIMULATION_DRAWDOWN_ANALYSIS,   // Drawdown and recovery analysis
    SIMULATION_PORTFOLIO_OPTIMIZATION // Portfolio optimization
};

enum ENUM_DISTRIBUTION_TYPE {
    DISTRIBUTION_NORMAL,            // Normal distribution
    DISTRIBUTION_LOG_NORMAL,        // Log-normal distribution
    DISTRIBUTION_UNIFORM,           // Uniform distribution
    DISTRIBUTION_EXPONENTIAL,       // Exponential distribution
    DISTRIBUTION_HISTORICAL         // Historical data distribution
};

enum ENUM_RISK_METRIC {
    RISK_VAR_95,                   // Value at Risk 95%
    RISK_VAR_99,                   // Value at Risk 99%
    RISK_CVAR_95,                  // Conditional VaR 95%
    RISK_CVAR_99,                  // Conditional VaR 99%
    RISK_MAX_DRAWDOWN,             // Maximum drawdown
    RISK_SHARPE_RATIO,             // Sharpe ratio
    RISK_SORTINO_RATIO,            // Sortino ratio
    RISK_CALMAR_RATIO              // Calmar ratio
};

//+------------------------------------------------------------------+
//| Simulation Parameters Structure                                 |
//+------------------------------------------------------------------+
struct SSimulationParams {
    ENUM_SIMULATION_TYPE    simulationType;
    int                     iterations;         // Number of Monte Carlo iterations
    int                     timeHorizon;        // Time horizon in days
    double                  initialCapital;     // Initial capital
    double                  riskFreeRate;       // Risk-free rate (annual)
    bool                    useHistoricalData;  // Use historical data for distributions
    int                     historicalPeriod;   // Historical data period (days)
    double                  confidenceLevel;    // Confidence level (0.0-1.0)
    bool                    enableCorrelation;  // Enable correlation modeling
    string                  outputPath;         // Output path for results
};

//+------------------------------------------------------------------+
//| Market Scenario Structure                                       |
//+------------------------------------------------------------------+
struct SMarketScenario {
    double          priceReturn;        // Price return
    double          volatility;         // Volatility
    double          correlation;        // Correlation with other assets
    double          volume;             // Trading volume
    double          spread;             // Bid-ask spread
    double          slippage;           // Slippage factor
    bool            isNewsEvent;        // News event flag
    double          newsImpact;         // News impact factor
    datetime        timestamp;          // Scenario timestamp
};

//+------------------------------------------------------------------+
//| Trade Simulation Structure                                      |
//+------------------------------------------------------------------+
struct STradeSimulation {
    double          entryPrice;         // Entry price
    double          exitPrice;          // Exit price
    double          positionSize;       // Position size
    double          pnl;                // Profit/Loss
    double          commission;         // Commission cost
    double          slippage;           // Slippage cost
    double          holdingPeriod;      // Holding period (hours)
    bool            isWinner;           // Is winning trade
    double          riskReward;         // Risk-reward ratio
    double          maxFavorable;       // Maximum favorable excursion
    double          maxAdverse;         // Maximum adverse excursion
};

//+------------------------------------------------------------------+
//| Simulation Results Structure                                    |
//+------------------------------------------------------------------+
struct SSimulationResults {
    // Performance metrics
    double          totalReturn;        // Total return
    double          annualizedReturn;   // Annualized return
    double          volatility;         // Portfolio volatility
    double          sharpeRatio;        // Sharpe ratio
    double          sortinoRatio;       // Sortino ratio
    double          calmarRatio;        // Calmar ratio
    
    // Risk metrics
    double          var95;              // Value at Risk 95%
    double          var99;              // Value at Risk 99%
    double          cvar95;             // Conditional VaR 95%
    double          cvar99;             // Conditional VaR 99%
    double          maxDrawdown;        // Maximum drawdown
    double          avgDrawdown;        // Average drawdown
    double          drawdownDuration;   // Average drawdown duration
    
    // Trade statistics
    int             totalTrades;        // Total number of trades
    int             winningTrades;      // Number of winning trades
    double          winRate;            // Win rate percentage
    double          avgWin;             // Average winning trade
    double          avgLoss;            // Average losing trade
    double          profitFactor;       // Profit factor
    double          expectancy;         // Mathematical expectancy
    
    // Distribution statistics
    double          meanReturn;         // Mean return
    double          medianReturn;       // Median return
    double          stdDeviation;       // Standard deviation
    double          skewness;           // Skewness
    double          kurtosis;           // Kurtosis
    
    // Confidence intervals
    double          ci95Lower;          // 95% CI lower bound
    double          ci95Upper;          // 95% CI upper bound
    double          ci99Lower;          // 99% CI lower bound
    double          ci99Upper;          // 99% CI upper bound
};

//+------------------------------------------------------------------+
//| Portfolio Simulation Structure                                  |
//+------------------------------------------------------------------+
struct SPortfolioSimulation {
    double          portfolioValue[];   // Portfolio value over time
    double          returns[];          // Portfolio returns
    double          drawdowns[];        // Drawdown series
    double          positions[];        // Position sizes over time
    double          riskMetrics[];      // Risk metrics over time
    int             tradeCount[];       // Trade count over time
    datetime        timestamps[];       // Timestamps
};

//+------------------------------------------------------------------+
//| Monte Carlo Simulator Class                                    |
//+------------------------------------------------------------------+
class CMonteCarloSimulator {
private:
    // Core properties
    CLogger*                m_logger;
    CCacheManager*          m_cacheManager;
    bool                    m_isInitialized;
    
    // Simulation configuration
    SSimulationParams       m_params;
    string                  m_symbol;
    ENUM_TIMEFRAMES         m_timeframe;
    
    // Random number generation
    int                     m_randomSeed;
    double                  m_lastNormal;
    bool                    m_hasSpareNormal;
    
    // Historical data
    double                  m_historicalReturns[];
    double                  m_historicalVolatility[];
    double                  m_correlationMatrix[][];
    
    // Simulation state
    SMarketScenario         m_scenarios[];
    STradeSimulation        m_trades[];
    SPortfolioSimulation    m_portfolio;
    SSimulationResults      m_results;
    
    // Performance tracking
    datetime                m_simulationStart;
    datetime                m_simulationEnd;
    double                  m_simulationTime;
    
    // Helper methods - Random number generation
    double                  GenerateNormal(double mean = 0.0, double stdDev = 1.0);
    double                  GenerateUniform(double min = 0.0, double max = 1.0);
    double                  GenerateExponential(double lambda = 1.0);
    double                  GenerateLogNormal(double mu = 0.0, double sigma = 1.0);
    
    // Market scenario generation
    void                    GenerateMarketScenarios();
    SMarketScenario         GenerateScenario(int step);
    void                    ApplyCorrelation(SMarketScenario &scenario);
    void                    AddNewsEvents(SMarketScenario &scenario);
    
    // Trade simulation
    void                    SimulateTrades();
    STradeSimulation        SimulateTrade(const SMarketScenario &scenario);
    double                  CalculateOptimalPositionSize(const SMarketScenario &scenario);
    double                  CalculateSlippage(double positionSize, double volume);
    
    // Statistical analysis
    void                    CalculateStatistics();
    void                    CalculateRiskMetrics();
    void                    CalculateConfidenceIntervals();
    double                  CalculateVaR(double confidenceLevel);
    double                  CalculateCVaR(double confidenceLevel);
    
    // Historical data analysis
    bool                    LoadHistoricalData();
    void                    CalculateCorrelationMatrix();
    void                    FitDistributions();
    
public:
    CMonteCarloSimulator();
    ~CMonteCarloSimulator();
    
    // Initialization
    bool                    Initialize(string symbol, ENUM_TIMEFRAMES timeframe, CLogger* logger, CCacheManager* cacheManager = NULL);
    void                    SetSimulationParameters(const SSimulationParams &params);
    void                    SetRandomSeed(int seed);
    
    // Simulation execution
    bool                    RunSimulation();
    bool                    RunPositionSizingSimulation(double riskPercent, double stopLoss);
    bool                    RunRiskAssessmentSimulation(double positionSize);
    bool                    RunStrategyPerformanceSimulation();
    bool                    RunDrawdownAnalysis();
    bool                    RunPortfolioOptimization();
    
    // Results and analysis
    SSimulationResults      GetResults();
    string                  GetResultsReport();
    bool                    ExportResults(string filename);
    
    // Risk assessment
    double                  GetOptimalPositionSize(double riskTolerance);
    double                  GetRiskMetric(ENUM_RISK_METRIC metric);
    double                  GetProbabilityOfLoss(double threshold);
    double                  GetExpectedReturn(int timeHorizon);
    
    // Scenario analysis
    bool                    RunStressTest(double stressLevel);
    bool                    RunSensitivityAnalysis(string parameter, double minValue, double maxValue, int steps);
    SSimulationResults      GetWorstCaseScenario();
    SSimulationResults      GetBestCaseScenario();
    
    // Validation and backtesting
    bool                    ValidateStrategy(double minSharpe, double maxDrawdown);
    bool                    BacktestWithMonteCarlo(datetime startDate, datetime endDate);
    double                  CalculateStrategyRobustness();
    
    // Diagnostics and reporting
    string                  GetDiagnosticsReport();
    bool                    ValidateSimulation();
    void                    PlotResults(string chartName = "");
    
    // Advanced features
    bool                    EnableMultiAssetSimulation(string symbols[]);
    void                    SetCustomDistribution(double data[]);
    bool                    OptimizeParameters();
};

//+------------------------------------------------------------------+
//| Constructor                                                      |
//+------------------------------------------------------------------+
CMonteCarloSimulator::CMonteCarloSimulator() {
    m_logger = NULL;
    m_cacheManager = NULL;
    m_isInitialized = false;
    m_randomSeed = (int)TimeCurrent();
    m_lastNormal = 0.0;
    m_hasSpareNormal = false;
    m_simulationTime = 0.0;
    
    // Default simulation parameters
    m_params.simulationType = SIMULATION_RISK_ASSESSMENT;
    m_params.iterations = 10000;
    m_params.timeHorizon = 252; // 1 year
    m_params.initialCapital = 10000.0;
    m_params.riskFreeRate = 0.02; // 2% annual
    m_params.useHistoricalData = true;
    m_params.historicalPeriod = 1000;
    m_params.confidenceLevel = 0.95;
    m_params.enableCorrelation = true;
    m_params.outputPath = "";
}

//+------------------------------------------------------------------+
//| Destructor                                                       |
//+------------------------------------------------------------------+
CMonteCarloSimulator::~CMonteCarloSimulator() {
    if(m_logger != NULL) {
        m_logger->LogInfo("Monte Carlo Simulator destroyed");
    }
}

//+------------------------------------------------------------------+
//| Initialize simulator                                             |
//+------------------------------------------------------------------+
bool CMonteCarloSimulator::Initialize(string symbol, ENUM_TIMEFRAMES timeframe, CLogger* logger, CCacheManager* cacheManager = NULL) {
    m_symbol = symbol;
    m_timeframe = timeframe;
    m_logger = logger;
    m_cacheManager = cacheManager;
    
    // Load historical data
    if(!LoadHistoricalData()) {
        if(m_logger != NULL) {
            m_logger->LogError("Failed to load historical data for Monte Carlo simulation");
        }
        return false;
    }
    
    // Calculate correlation matrix if enabled
    if(m_params.enableCorrelation) {
        CalculateCorrelationMatrix();
    }
    
    // Fit distributions to historical data
    FitDistributions();
    
    m_isInitialized = true;
    
    if(m_logger != NULL) {
        m_logger->LogInfo("Monte Carlo Simulator initialized for " + symbol);
    }
    
    return true;
}

//+------------------------------------------------------------------+
//| Run complete simulation                                          |
//+------------------------------------------------------------------+
bool CMonteCarloSimulator::RunSimulation() {
    if(!m_isInitialized) {
        if(m_logger != NULL) {
            m_logger->LogError("Monte Carlo Simulator not initialized");
        }
        return false;
    }
    
    m_simulationStart = GetMicrosecondCount();
    
    // Generate market scenarios
    GenerateMarketScenarios();
    
    // Simulate trades
    SimulateTrades();
    
    // Calculate statistics and risk metrics
    CalculateStatistics();
    CalculateRiskMetrics();
    CalculateConfidenceIntervals();
    
    m_simulationEnd = GetMicrosecondCount();
    m_simulationTime = (m_simulationEnd - m_simulationStart) / 1000.0; // Convert to milliseconds
    
    if(m_logger != NULL) {
        m_logger->LogInfo(StringFormat("Monte Carlo simulation completed in %.2f ms with %d iterations", 
                                     m_simulationTime, m_params.iterations));
    }
    
    return true;
}

//+------------------------------------------------------------------+
//| Generate normal random number (Box-Muller transform)           |
//+------------------------------------------------------------------+
double CMonteCarloSimulator::GenerateNormal(double mean = 0.0, double stdDev = 1.0) {
    if(m_hasSpareNormal) {
        m_hasSpareNormal = false;
        return m_lastNormal * stdDev + mean;
    }
    
    m_hasSpareNormal = true;
    
    double u = GenerateUniform();
    double v = GenerateUniform();
    double mag = stdDev * MathSqrt(-2.0 * MathLog(u));
    
    m_lastNormal = mag * MathCos(2.0 * M_PI * v);
    return mag * MathSin(2.0 * M_PI * v) + mean;
}

//+------------------------------------------------------------------+
//| Get simulation results                                          |
//+------------------------------------------------------------------+
SSimulationResults CMonteCarloSimulator::GetResults() {
    return m_results;
}

//+------------------------------------------------------------------+
//| Get results report                                              |
//+------------------------------------------------------------------+
string CMonteCarloSimulator::GetResultsReport() {
    string report = "=== Monte Carlo Simulation Results ===\n";
    report += StringFormat("Symbol: %s, Timeframe: %s\n", m_symbol, EnumToString(m_timeframe));
    report += StringFormat("Iterations: %d, Time Horizon: %d days\n", m_params.iterations, m_params.timeHorizon);
    report += StringFormat("Simulation Time: %.2f ms\n\n", m_simulationTime);
    
    report += "=== Performance Metrics ===\n";
    report += StringFormat("Total Return: %.2f%%\n", m_results.totalReturn * 100);
    report += StringFormat("Annualized Return: %.2f%%\n", m_results.annualizedReturn * 100);
    report += StringFormat("Volatility: %.2f%%\n", m_results.volatility * 100);
    report += StringFormat("Sharpe Ratio: %.3f\n", m_results.sharpeRatio);
    report += StringFormat("Sortino Ratio: %.3f\n", m_results.sortinoRatio);
    report += StringFormat("Calmar Ratio: %.3f\n\n", m_results.calmarRatio);
    
    report += "=== Risk Metrics ===\n";
    report += StringFormat("VaR 95%%: %.2f%%\n", m_results.var95 * 100);
    report += StringFormat("VaR 99%%: %.2f%%\n", m_results.var99 * 100);
    report += StringFormat("CVaR 95%%: %.2f%%\n", m_results.cvar95 * 100);
    report += StringFormat("CVaR 99%%: %.2f%%\n", m_results.cvar99 * 100);
    report += StringFormat("Max Drawdown: %.2f%%\n", m_results.maxDrawdown * 100);
    report += StringFormat("Avg Drawdown: %.2f%%\n\n", m_results.avgDrawdown * 100);
    
    report += "=== Trade Statistics ===\n";
    report += StringFormat("Total Trades: %d\n", m_results.totalTrades);
    report += StringFormat("Win Rate: %.2f%%\n", m_results.winRate * 100);
    report += StringFormat("Profit Factor: %.3f\n", m_results.profitFactor);
    report += StringFormat("Expectancy: %.2f\n", m_results.expectancy);
    
    return report;
}

//+------------------------------------------------------------------+
//| Get optimal position size                                       |
//+------------------------------------------------------------------+
double CMonteCarloSimulator::GetOptimalPositionSize(double riskTolerance) {
    if(!m_isInitialized) return 0.0;
    
    // Run position sizing simulation with different sizes
    double bestSize = 0.0;
    double bestSharpe = -999.0;
    
    for(double size = 0.01; size <= 0.10; size += 0.01) {
        SSimulationParams tempParams = m_params;
        tempParams.simulationType = SIMULATION_POSITION_SIZING;
        
        SetSimulationParameters(tempParams);
        
        if(RunPositionSizingSimulation(size, riskTolerance)) {
            if(m_results.sharpeRatio > bestSharpe && m_results.maxDrawdown <= riskTolerance) {
                bestSharpe = m_results.sharpeRatio;
                bestSize = size;
            }
        }
    }
    
    return bestSize;
}