MultiAgentTest v7: zero magic constants, neural orchestrator, multi-position, agent interaction fixes

2026-06-13 13:58:38 +02:00
commit 5c00f17121
19 changed files with 5522 additions and 0 deletions
@@ -0,0 +1,122 @@
+#ifndef REGIME_ADX_MQH
+#define REGIME_ADX_MQH
+#include "AgentBase.mqh"
+#include "../Core/PeriodCalculator.mqh"
+
+class RegimeADX : public IAgent {
+private:
+   int    adxPeriod;
+   int    userPeriod;
+   int    adxHandle;
+   int    lastADXPeriod;
+   int    adxMinP, adxMaxP;
+   double prevZ;
+   
+   void Recreate(int p) {
+      if(adxHandle != INVALID_HANDLE) IndicatorRelease(adxHandle);
+      adxHandle = iADX(symbol, timeframe, p);
+      lastADXPeriod = p;
+   }
+   
+   double GetADX() {
+      if(adxHandle == INVALID_HANDLE) Recreate(adxPeriod);
+      double buf[];
+      ArraySetAsSeries(buf, true);
+      if(CopyBuffer(adxHandle, 0, 0, 1, buf) < 1) return 0;
+      return buf[0];
+   }
+   
+   double GetDI(int plusMinus=1, int shift=0) {
+      if(adxHandle == INVALID_HANDLE) Recreate(adxPeriod);
+      double buf[];
+      ArraySetAsSeries(buf, true);
+      if(CopyBuffer(adxHandle, plusMinus, shift, 1, buf) < 1) return 0;
+      return buf[0];
+   }
+   
+public:
+   RegimeADX(string n="ADX", double w=1.0, int period=0)
+      : IAgent(n, w), userPeriod(period), adxPeriod(0), adxHandle(INVALID_HANDLE),
+        lastADXPeriod(0), adxMinP(7), adxMaxP(30), prevZ(0) { signalStats.SetR(50.0); }
+   
+   void Init(string sym, ENUM_TIMEFRAMES tf) override {
+      IAgent::Init(sym, tf);
+      adxHandle = INVALID_HANDLE;
+      lastADXPeriod = 0;
+   }
+   
+   void Release() override {
+      if(adxHandle != INVALID_HANDLE) IndicatorRelease(adxHandle);
+      adxHandle = INVALID_HANDLE;
+   }
+   
+   double Analyze(const MarketData &data) override {
+      // Periodo: fisso se utente lo specifica, altrimenti data-driven + EWMA
+      if(userPeriod > 0) {
+         adxPeriod = userPeriod;
+      } else {
+          int newP = PeriodCalculator::AutoPeriod(data, adxMinP, adxMaxP);
+          if(adxPeriod <= 0) adxPeriod = newP;
+          else {
+           double pAlpha = 1.0 / (1.0 + signalStats.Count() * 0.05);
+               pAlpha = MathMax(0.05, pAlpha);  // solo floor
+              adxPeriod = (int)MathRound(pAlpha * newP + (1.0 - pAlpha) * adxPeriod);
+          }
+         if(adxPeriod < adxMinP) adxPeriod = adxMinP;
+         if(adxPeriod > adxMaxP) adxPeriod = adxMaxP;
+      }
+      if(adxPeriod <= 0) { lastZScore = 0; return 0; }
+      
+      if(adxHandle == INVALID_HANDLE || adxPeriod != lastADXPeriod)
+         Recreate(adxPeriod);
+      
+      double adx = GetADX();
+      double epsAdx = DATA_EPS(adx);
+      if(MathAbs(adx) < epsAdx) { lastZScore = 0; return 0; }
+      
+      // Normalizza ADX via EWMA
+      signalStats.Update(adx);
+      double zRaw = signalStats.ZScore(adx);
+      
+      // EWMA alpha: scala con conteggio campioni, solo floor data-driven
+      double alpha = 1.0 / (1.0 + signalStats.Count() * 0.1);
+      double minAlpha = 1.0 / MathMax(2.0, (double)MathMax(1, adxPeriod));
+      alpha = MathMax(minAlpha, alpha);  // solo floor, niente max clamp
+       prevZ = (1.0 - alpha) * prevZ + alpha * zRaw;
+       double calibrated = CalibrateZ(prevZ);
+       lastZScore = MathTanh(calibrated);
+       lastRawSignal = adx;
+      
+      // Pubblica nel contesto condiviso
+      SHARED_adxZ = lastZScore;
+      SHARED_adxRaw = adx;
+      
+      return lastZScore;
+   }
+   
+   void Interact(IAgent *&allAgents[], int count) override {}
+   
+   void Learn(double predictedZ, double actualReturnZ) override {}
+   
+   void Save(int fh) const override {
+      IAgent::Save(fh);
+      FileWriteDouble(fh, prevZ);
+   }
+   void Load(int fh) override {
+      IAgent::Load(fh);
+      prevZ = FileReadDouble(fh);
+   }
+   
+   void Reset() override {
+      IAgent::Reset();
+      prevZ = 0;
+   }
+   
+    string SignalInfo() const override {
+       return name + " z=" + StringFormat("%+.3f", lastZScore)
+            + " ADX=" + StringFormat("%.1f", SHARED_adxRaw)
+            + " p=" + (string)adxPeriod
+            + " " + signalStats.ToString();
+     }
+};
+#endif