PaPP v2 export: vel/acc/vol calcolate dalle 7 medie (mediana delle scale), rimosso ATR di MT5

Co-Authored-By: Devin AI <158243242+devin-ai-integration[bot]@users.noreply.github.com>

PaPP v2/PaPP_CrossExport.mq5

@@ -16,17 +16,22 @@ input bool     InpAllHistory = true;            // true = tutto lo storico D1
 input datetime InpStart      = D'2010.01.01';   // inizio intervallo (se AllHistory=false)
 input datetime InpEnd        = D'2100.01.01';   // fine intervallo (se AllHistory=false)
 input string   InpFileName   = "";              // nome file ("" = automatico)
+input bool     InpBaseline   = true;            // crea anche il file baseline (tutte le barre D1)
 
 //--- costanti (stesse 7 MA dell'indicatore)
 #define ANCHOR_TF PERIOD_D1
 #define NSER 9          // PRICE, MED, MA365..MA3
-#define KSLOPE 5        // barre per pendenza / variazione cluster
-#define MAXH  20        // orizzonte massimo per gli esiti
+#define KSLOPE 5        // barre D1 per velocita'/accelerazione
+#define NVOL   14       // barre D1 per la volatilita'
+#define MAXH   20       // orizzonte massimo per gli esiti
 
 int    gDays[7] = {365,182,121,30,14,7,3};
 string SER[NSER]= {"PRICE","MED","MA365","MA182","MA121","MA30","MA14","MA7","MA3"};
 int    gHor[5]  = {1,3,5,10,20};
 
+//--- contenitore per un buffer MA dinamico (MQL5 non permette double ma[7][])
+struct MABuf { double v[]; };
+
 //+------------------------------------------------------------------+
 int TimeToBarsD1(string sym,int d)
   {
@@ -36,16 +41,75 @@ int TimeToBarsD1(string sym,int d)
   }
 
 //+------------------------------------------------------------------+
-double Median7(double &v[])   // mediana dei valori >0 in v[0..6]
+// valore valido = positivo e finito (MT5 usa EMPTY_VALUE=DBL_MAX nei warmup)
+bool IsVal(double v) { return (v>0.0 && v<1.0e12); }
+
+//+------------------------------------------------------------------+
+double Median7(double &v[])   // mediana dei valori validi in v[0..6]
   {
    double a[]; int c=0; ArrayResize(a,7);
-   for(int m=0;m<7;m++) if(v[m]>0) { a[c]=v[m]; c++; }
+   for(int m=0;m<7;m++) if(IsVal(v[m])) { a[c]=v[m]; c++; }
    if(c==0) return 0;
    ArrayResize(a,c); ArraySort(a);
    if((c&1)==1) return a[c/2];
    return 0.5*(a[c/2-1]+a[c/2]);
   }
 
+//+------------------------------------------------------------------+
+// mediana dei primi c valori di src
+double MedArr(double &src[],int c)
+  {
+   if(c<=0) return 0;
+   double a[]; ArrayResize(a,c);
+   for(int j=0;j<c;j++) a[j]=src[j];
+   ArraySort(a);
+   if((c&1)==1) return a[c/2];
+   return 0.5*(a[c/2-1]+a[c/2]);
+  }
+
+//+------------------------------------------------------------------+
+// Velocita' = mediana delle 7 pendenze (variazione % di ogni MA su K barre D1)
+double VelMed(const double &S[][NSER],int i,int K)
+  {
+   double v[7]; int c=0;
+   for(int m=0;m<7;m++)
+     { double a=S[i][2+m], b=S[i-K][2+m]; if(IsVal(a)&&IsVal(b)) v[c++]=(a-b)/b*100.0; }
+   return MedArr(v,c);
+  }
+
+//+------------------------------------------------------------------+
+// Accelerazione = mediana delle 7 seconde differenze (cambio di pendenza)
+double AccMed(const double &S[][NSER],int i,int K)
+  {
+   double v[7]; int c=0;
+   for(int m=0;m<7;m++)
+     {
+      double a=S[i][2+m], b=S[i-K][2+m], d=S[i-2*K][2+m];
+      if(IsVal(a)&&IsVal(b)&&IsVal(d)) v[c++]=(a-2.0*b+d)/d*100.0;
+     }
+   return MedArr(v,c);
+  }
+
+//+------------------------------------------------------------------+
+// Volatilita' = mediana delle 7 dev.std dei rendimenti giornalieri di ogni MA su N barre
+double VolMed(const double &S[][NSER],int i,int N)
+  {
+   double v[7]; int c=0;
+   for(int m=0;m<7;m++)
+     {
+      double r[]; int rc=0; ArrayResize(r,N);
+      for(int t=i-N+1;t<=i;t++)
+        { double a=S[t][2+m], b=S[t-1][2+m]; if(IsVal(a)&&IsVal(b)) r[rc++]=(a-b)/b*100.0; }
+      if(rc>=2)
+        {
+         double mean=0; for(int j=0;j<rc;j++) mean+=r[j]; mean/=rc;
+         double s=0;    for(int j=0;j<rc;j++){ double dd=r[j]-mean; s+=dd*dd; }
+         v[c++]=MathSqrt(s/(rc-1));
+        }
+     }
+   return MedArr(v,c);
+  }
+
 //+------------------------------------------------------------------+
 void OnStart()
   {
@@ -53,7 +117,7 @@ void OnStart()
    if(!SymbolSelect(sym,true)) { Print("Simbolo non valido: ",sym); return; }
    int digits = (int)SymbolInfoInteger(sym,SYMBOL_DIGITS);
 
-   //--- handle delle 7 MA su D1 + ATR
+   //--- handle delle 7 MA su D1 (volatilita'/accelerazione calcolate dalle MA, no ATR di MT5)
    int hMA[7];
    for(int m=0;m<7;m++)
      {
@@ -61,37 +125,34 @@ void OnStart()
       hMA[m]  = iMA(sym,ANCHOR_TF,per,0,MODE_SMA,PRICE_CLOSE);
       if(hMA[m]==INVALID_HANDLE) { Print("iMA fallita m=",m); return; }
      }
-   int hATR = iATR(sym,ANCHOR_TF,14);
-   if(hATR==INVALID_HANDLE) { Print("iATR fallita"); return; }
+   int LB = MathMax(2*KSLOPE,NVOL);   // lookback necessario per vel/acc/vol
 
    //--- attendo che lo storico D1 sia pronto
    int total=0;
    for(int t=0; t<100; t++)
      {
       total = Bars(sym,ANCHOR_TF);
-      bool ok = (total>MAXH+KSLOPE+50);
+      bool ok = (total>MAXH+LB+50);
       for(int m=0;m<7 && ok;m++) if(BarsCalculated(hMA[m])<total) ok=false;
-      if(ok && BarsCalculated(hATR)>=total) break;
+      if(ok) break;
       Sleep(100);
      }
    total = Bars(sym,ANCHOR_TF);
-   if(total<=MAXH+KSLOPE+50) { Print("Storico D1 insufficiente: ",total," barre"); return; }
+   if(total<=MAXH+LB+50) { Print("Storico D1 insufficiente: ",total," barre"); return; }
 
    //--- carico tutta la storia D1 (indice 0 = piu' vecchio)
-   datetime tm[]; double cl[],hi[],lo[],atr[];
-   double ma[7][];
+   datetime tm[]; double cl[],hi[],lo[];
+   MABuf ma[7];
    ArraySetAsSeries(tm,false); ArraySetAsSeries(cl,false);
    ArraySetAsSeries(hi,false); ArraySetAsSeries(lo,false);
-   ArraySetAsSeries(atr,false);
    if(CopyTime(sym,ANCHOR_TF,0,total,tm)<=0)  { Print("CopyTime KO");  return; }
    if(CopyClose(sym,ANCHOR_TF,0,total,cl)<=0) { Print("CopyClose KO"); return; }
    if(CopyHigh(sym,ANCHOR_TF,0,total,hi)<=0)  { Print("CopyHigh KO");  return; }
    if(CopyLow(sym,ANCHOR_TF,0,total,lo)<=0)   { Print("CopyLow KO");   return; }
-   if(CopyBuffer(hATR,0,0,total,atr)<=0)      { Print("CopyATR KO");   return; }
    for(int m=0;m<7;m++)
      {
-      ArraySetAsSeries(ma[m],false);
-      if(CopyBuffer(hMA[m],0,0,total,ma[m])<=0) { Print("CopyBuffer MA KO m=",m); return; }
+      ArraySetAsSeries(ma[m].v,false);
+      if(CopyBuffer(hMA[m],0,0,total,ma[m].v)<=0) { Print("CopyBuffer MA KO m=",m); return; }
      }
    int n = ArraySize(cl);
 
@@ -101,7 +162,7 @@ void OnStart()
    for(int i=0;i<n;i++)
      {
       double mv[7];
-      for(int m=0;m<7;m++) mv[m] = ma[m][i];
+      for(int m=0;m<7;m++) mv[m] = ma[m].v[i];
       S[i][0] = cl[i];          // PRICE
       S[i][1] = Median7(mv);    // MED
       for(int m=0;m<7;m++) S[i][2+m] = mv[m];   // MA365..MA3
@@ -110,8 +171,8 @@ void OnStart()
    //--- intervallo di scansione (eventi)
    datetime from = InpAllHistory ? 0          : InpStart;
    datetime to   = InpAllHistory ? TimeCurrent(): InpEnd;
-   int iStart = KSLOPE+1, iEnd = n-1;
-   for(int i=KSLOPE+1;i<n;i++) if(tm[i]>=from) { iStart=i; break; }
+   int iStart = LB+1, iEnd = n-1;
+   for(int i=LB+1;i<n;i++) if(tm[i]>=from) { iStart=i; break; }
    for(int i=n-1;i>=0;i--)     if(tm[i]<=to)    { iEnd=i;   break; }
 
    //--- apro il file CSV
@@ -121,63 +182,113 @@ void OnStart()
 
    //--- header
    string head = "time,symbol,pair,a,b,dir,price,med,ma365,ma182,ma121,ma30,ma14,ma7,ma3,"
-                 "dist_med_pct,cluster_pct,cluster_exp,slope_a,slope_b,trend,atr_pct,dow,month";
+                 "dist_med_pct,cluster_pct,cluster_exp,slope_a,slope_b,trend,vel_med,acc_med,vol_med,dow,month";
    for(int hh=0;hh<5;hh++)
      {
       string s=IntegerToString(gHor[hh]);
       head += ",ret_"+s+",mfe_"+s+",mae_"+s+",dir_"+s+",rev_"+s;
      }
+   for(int b=1;b<=MAXH;b++) head += ",cret_"+IntegerToString(b);  // traiettoria forward bar-by-bar
    head += ",bars_to_revert,disc_max_pct";
    FileWriteString(fh,head+"\r\n");
 
+   //--- file baseline (una riga per OGNI barra D1 valida): serve per il confronto
+   //    "extra-rendimento" = incrocio vs giorno qualunque nello stesso regime
+   int fhB = INVALID_HANDLE;
+   if(InpBaseline)
+     {
+      string bname = "PaPP_bars_"+sym+"_D1.csv";
+      fhB = FileOpen(bname,FILE_WRITE|FILE_TXT|FILE_ANSI);
+      if(fhB==INVALID_HANDLE) Print("FileOpen baseline KO: ",bname," err=",GetLastError());
+      else
+        {
+         string bh = "time,symbol,price,med,dist_med_pct,cluster_pct,cluster_exp,trend,vel_med,acc_med,vol_med,dow,month,bars_to_revert,disc_max_pct";
+         for(int b=1;b<=MAXH;b++) bh += ",cret_"+IntegerToString(b);
+         FileWriteString(fhB,bh+"\r\n");
+        }
+     }
+
    //--- scansione incroci
-   long rows=0;
+   long rows=0, brows=0;
    for(int i=iStart;i<=iEnd;i++)
      {
-      if(i<KSLOPE+1) continue;
+      if(i<LB+1) continue;
+
+      //--- esporto solo barre con TUTTE le 9 serie valide su tutto il lookback
+      bool allok=true;
+      for(int k=0;k<NSER && allok;k++)
+         if(!IsVal(S[i][k]) || !IsVal(S[i-1][k]) || !IsVal(S[i-LB][k])) allok=false;
+      if(!allok) continue;
+
       double price=S[i][0], med=S[i][1], ma365=S[i][2];
-      if(price<=0 || med<=0) continue;
 
       //--- feature comuni a tutti gli incroci di questa barra
-      double dist_med = (med>0)?(price-med)/med*100.0:0;
+      double dist_med = (price-med)/med*100.0;
       double cmax=-1, cmin=1e18;
-      for(int k=2;k<NSER;k++){ double v=S[i][k]; if(v>0){ if(v>cmax)cmax=v; if(v<cmin)cmin=v; } }
-      double cluster = (cmax>0 && price>0)?(cmax-cmin)/price*100.0:0;
+      for(int k=2;k<NSER;k++){ double v=S[i][k]; if(v>cmax)cmax=v; if(v<cmin)cmin=v; }
+      double cluster = (cmax-cmin)/price*100.0;
       double cmaxP=-1,cminP=1e18;
-      for(int k=2;k<NSER;k++){ double v=S[i-KSLOPE][k]; if(v>0){ if(v>cmaxP)cmaxP=v; if(v<cminP)cminP=v; } }
-      double clusterP = (cmaxP>0)?(cmaxP-cminP)/S[i-KSLOPE][0]*100.0:0;
+      for(int k=2;k<NSER;k++){ double v=S[i-KSLOPE][k]; if(v>cmaxP)cmaxP=v; if(v<cminP)cminP=v; }
+      double clusterP = (cmaxP-cminP)/S[i-KSLOPE][0]*100.0;
       double cluster_exp = cluster-clusterP;
-      int    trend = (price>ma365 && ma365>0)?1:-1;
-      double atr_pct = (price>0)?atr[i]/price*100.0:0;
+      int    trend = (price>ma365)?1:-1;
+      //--- velocita'/accelerazione/volatilita': mediana delle 7 scale (no ATR di MT5)
+      double vel_med = VelMed(S,i,KSLOPE);
+      double acc_med = AccMed(S,i,KSLOPE);
+      double vol_med = VolMed(S,i,NVOL);
       MqlDateTime dt; TimeToStruct(tm[i],dt);
 
+      //--- traiettoria forward (rendimento cumulato a +1..+MAXH), calcolata una volta per barra
+      string bpath="";
+      for(int b=1;b<=MAXH;b++)
+        {
+         int iB=i+b;
+         if(iB>n-1) bpath += ",";
+         else       bpath += ","+DoubleToString((cl[iB]-cl[i])/cl[i]*100.0,5);
+        }
+
       //--- esito globale: ritorno alla Mediana entro MAXH
       int side = (price>med)?1:-1;
       int b2rev=-1; double discMax=0;
       int jmax = MathMin(i+MAXH,n-1);
       for(int j=i+1;j<=jmax;j++)
         {
-         if(S[j][0]<=0 || S[j][1]<=0) continue;
+         if(!IsVal(S[j][0]) || !IsVal(S[j][1])) continue;
          int sj=(S[j][0]>S[j][1])?1:-1;
          if(b2rev<0 && sj!=side) b2rev=j-i;
          double d=(S[j][0]-S[j][1])/S[j][1]*100.0;
          if(MathAbs(d)>MathAbs(discMax)) discMax=d;
         }
 
+      //--- riga baseline (barra qualunque, indipendente dagli incroci)
+      if(fhB!=INVALID_HANDLE)
+        {
+         string br = TimeToString(tm[i],TIME_DATE)+","+sym+","
+                     +DoubleToString(price,digits)+","+DoubleToString(med,digits)+","
+                     +DoubleToString(dist_med,5)+","+DoubleToString(cluster,5)+","
+                     +DoubleToString(cluster_exp,5)+","+IntegerToString(trend)+","
+                     +DoubleToString(vel_med,5)+","+DoubleToString(acc_med,5)+","
+                     +DoubleToString(vol_med,5)+","+IntegerToString(dt.day_of_week)+","
+                     +IntegerToString(dt.mon)+","
+                     +(b2rev>0?IntegerToString(b2rev):"")+","+DoubleToString(discMax,5)
+                     +bpath;
+         FileWriteString(fhB,br+"\r\n");
+         brows++;
+        }
+
       //--- controllo ogni coppia (a,b)
       for(int a=0;a<NSER;a++)
        for(int b=a+1;b<NSER;b++)
          {
-          if(S[i][a]<=0||S[i][b]<=0||S[i-1][a]<=0||S[i-1][b]<=0) continue;
           double d0=S[i-1][a]-S[i-1][b];
           double d1=S[i][a]-S[i][b];
           int dir=0;
           if(d0<=0 && d1>0) dir=1; else if(d0>=0 && d1<0) dir=-1;
           if(dir==0) continue;
 
-          double slope_a = (S[i-KSLOPE][a]>0)?(S[i][a]-S[i-KSLOPE][a])/S[i-KSLOPE][a]*100.0:0;
-          double slope_b = (S[i-KSLOPE][b]>0)?(S[i][b]-S[i-KSLOPE][b])/S[i-KSLOPE][b]*100.0:0;
-          double thr = 0.25*atr_pct;
+          double slope_a = (S[i][a]-S[i-KSLOPE][a])/S[i-KSLOPE][a]*100.0;
+          double slope_b = (S[i][b]-S[i-KSLOPE][b])/S[i-KSLOPE][b]*100.0;
+          double thr = 0.25*vol_med;
 
           string row = StringFormat("%s,%s,%sx%s,%s,%s,%d,",
                           TimeToString(tm[i],TIME_DATE),sym,SER[a],SER[b],SER[a],SER[b],dir);
@@ -186,7 +297,8 @@ void OnStart()
           row += DoubleToString(dist_med,5)+","+DoubleToString(cluster,5)+","
                  +DoubleToString(cluster_exp,5)+","+DoubleToString(slope_a,5)+","
                  +DoubleToString(slope_b,5)+","+IntegerToString(trend)+","
-                 +DoubleToString(atr_pct,5)+","+IntegerToString(dt.day_of_week)+","
+                 +DoubleToString(vel_med,5)+","+DoubleToString(acc_med,5)+","
+                 +DoubleToString(vol_med,5)+","+IntegerToString(dt.day_of_week)+","
                  +IntegerToString(dt.mon);
 
           //--- esiti per orizzonte
@@ -204,6 +316,7 @@ void OnStart()
              row += ","+DoubleToString(ret,5)+","+DoubleToString(mfe,5)+","
                     +DoubleToString(mae,5)+","+IntegerToString(dlab)+","+IntegerToString(rev);
             }
+          row += bpath;   // traiettoria forward (uguale per ogni coppia di questa barra)
           row += ","+(b2rev>0?IntegerToString(b2rev):"")+","+DoubleToString(discMax,5);
           FileWriteString(fh,row+"\r\n");
           rows++;
@@ -212,10 +325,11 @@ void OnStart()
      }
 
    FileClose(fh);
+   if(fhB!=INVALID_HANDLE) FileClose(fhB);
    for(int m=0;m<7;m++) IndicatorRelease(hMA[m]);
-   IndicatorRelease(hATR);
    Comment("");
    PrintFormat("PaPP export COMPLETATO: %d incroci -> %s (cartella MQL5\\Files)",(int)rows,fname);
+   if(InpBaseline) PrintFormat("Baseline: %d barre -> PaPP_bars_%s_D1.csv",(int)brows,sym);
    Print("Periodo: ",TimeToString(tm[iStart])," -> ",TimeToString(tm[iEnd]));
   }
 //+------------------------------------------------------------------+