PaPP v2 indicatore: descrizione a parole (percentile storico) per Cluster/Velocita'/Accelerazione/Volatilita'

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

PaPP v2/PaPP_CrossExport.mq5

@@ -27,6 +27,9 @@ 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)
   {
@@ -36,10 +39,14 @@ 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];
@@ -79,7 +86,7 @@ void OnStart()
 
    //--- carico tutta la storia D1 (indice 0 = piu' vecchio)
    datetime tm[]; double cl[],hi[],lo[],atr[];
-   double ma[7][];
+   MABuf ma[7];
    ArraySetAsSeries(tm,false); ArraySetAsSeries(cl,false);
    ArraySetAsSeries(hi,false); ArraySetAsSeries(lo,false);
    ArraySetAsSeries(atr,false);
@@ -90,8 +97,8 @@ void OnStart()
    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 +108,7 @@ 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
@@ -127,6 +134,7 @@ void OnStart()
       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");
 
@@ -135,20 +143,26 @@ void OnStart()
    for(int i=iStart;i<=iEnd;i++)
      {
       if(i<KSLOPE+1) continue;
+
+      //--- esporto solo barre con TUTTE le 9 serie valide (cluster completo)
+      bool allok=true;
+      for(int k=0;k<NSER && allok;k++)
+         if(!IsVal(S[i][k]) || !IsVal(S[i-1][k]) || !IsVal(S[i-KSLOPE][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;
+      double atr_pct = atr[i]/price*100.0;
       MqlDateTime dt; TimeToStruct(tm[i],dt);
 
       //--- esito globale: ritorno alla Mediana entro MAXH
@@ -157,7 +171,7 @@ void OnStart()
       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;
@@ -168,15 +182,14 @@ void OnStart()
       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 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*atr_pct;
 
           string row = StringFormat("%s,%s,%sx%s,%s,%s,%d,",
@@ -204,6 +217,13 @@ void OnStart()
              row += ","+DoubleToString(ret,5)+","+DoubleToString(mfe,5)+","
                     +DoubleToString(mae,5)+","+IntegerToString(dlab)+","+IntegerToString(rev);
             }
+          //--- traiettoria: rendimento cumulato a +1..+MAXH barre
+          for(int b=1;b<=MAXH;b++)
+            {
+             int iB=i+b;
+             if(iB>n-1) { row += ","; continue; }
+             row += ","+DoubleToString((cl[iB]-cl[i])/cl[i]*100.0,5);
+            }
           row += ","+(b2rev>0?IntegerToString(b2rev):"")+","+DoubleToString(discMax,5);
           FileWriteString(fh,row+"\r\n");
           rows++;

PaPP v2/PaPP_Median.mq5

@@ -15,6 +15,9 @@ input bool Smooth    = true;   // interpola tra i valori D1 -> linea morbida
 input bool ShowMA    = true;   // mostra anche le 7 MA (oltre alla mediana)
 
 #define ANCHOR_TF PERIOD_D1   // calcolo ancorato a D1: linea identica su ogni TF
+#define KSLOPE 5            // barre D1 per velocita'/accelerazione
+#define NVOL   14           // barre D1 per la volatilita'
+#define CLWIN  252          // finestra D1 (~1 anno) per il percentile del cluster
 
 double Buff_Median[];
 double B0[],B1[],B2[],B3[],B4[],B5[],B6[];
@@ -23,6 +26,7 @@ int   gDays[7] = {365,182,121,30,14,7,3};
 color gCol[7]  = {clrDodgerBlue,clrDeepSkyBlue,clrTurquoise,clrLimeGreen,clrOrange,clrTomato,clrRed};
 int hMA[7];
 int bars[7];
+struct PBuf { double v[]; };   // buffer dinamico per copiare una MA
 string _pfx  = "PM_";    // oggetti pannello
 string _pfx2 = "PME_";   // etichette a fine linea
 
@@ -154,6 +158,126 @@ double MedianAtD1(int d1shift)
    return Median(vals,cnt);
   }
 
+//+------------------------------------------------------------------+
+// valore valido = positivo e finito (esclude EMPTY_VALUE di warmup)
+bool IsVal(double v) { return (v>0.0 && v<1.0e12); }
+
+//+------------------------------------------------------------------+
+// 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]);
+  }
+
+//+------------------------------------------------------------------+
+// Metriche a una specifica barra D1 (j), calcolate sui buffer gia' copiati mb[7]
+double ClusterAtJ(PBuf &mb[],int j)
+  {
+   double v[7]; int c=0;
+   for(int m=0;m<7;m++){ double x=mb[m].v[j]; if(IsVal(x)) v[c++]=x; }
+   if(c<2) return 0;
+   double md=MedArr(v,c); if(md<=0) return 0;
+   double ds=0; for(int m=0;m<c;m++) ds+=MathAbs(v[m]-md)/md*100.0;
+   return ds/c;
+  }
+double VelAtJ(PBuf &mb[],int j,int K)
+  {
+   double v[7]; int c=0;
+   for(int m=0;m<7;m++){ double a=mb[m].v[j], b=mb[m].v[j+K]; if(IsVal(a)&&IsVal(b)) v[c++]=(a-b)/b*100.0; }
+   return MedArr(v,c);
+  }
+double AccAtJ(PBuf &mb[],int j,int K)
+  {
+   double v[7]; int c=0;
+   for(int m=0;m<7;m++){ double a=mb[m].v[j], b=mb[m].v[j+K], d=mb[m].v[j+2*K];
+                         if(IsVal(a)&&IsVal(b)&&IsVal(d)) v[c++]=(a-2.0*b+d)/d*100.0; }
+   return MedArr(v,c);
+  }
+double VolAtJ(PBuf &mb[],int j,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=j;t<j+N;t++){ double a=mb[m].v[t], b=mb[m].v[t+1]; if(IsVal(a)&&IsVal(b)) r[rc++]=(a-b)/b*100.0; }
+      if(rc>=2)
+        {
+         double mn=0; for(int q=0;q<rc;q++) mn+=r[q]; mn/=rc;
+         double s=0;  for(int q=0;q<rc;q++){ double dd=r[q]-mn; s+=dd*dd; }
+         v[c++]=MathSqrt(s/(rc-1));
+        }
+     }
+   return MedArr(v,c);
+  }
+
+//+------------------------------------------------------------------+
+// percentile (0..1) di cur fra i primi cc valori di arr
+double PctlOf(double &arr[],int cc,double cur)
+  {
+   if(cc<=0) return 0.5;
+   int b=0; for(int k=0;k<cc;k++) if(arr[k]<=cur) b++;
+   return (double)b/cc;
+  }
+
+//+------------------------------------------------------------------+
+// Valori correnti + percentile storico (win giorni D1) di cluster/velocita'/accel/volatilita'
+//   per i segnali con segno (vel/acc) il percentile e' calcolato sul VALORE ASSOLUTO (forza)
+void AllMetrics(int win,
+                double &cluCur,double &cluPct,
+                double &velCur,double &velPct,
+                double &accCur,double &accPct,
+                double &volCur,double &volPct)
+  {
+   cluCur=velCur=accCur=volCur=0; cluPct=volPct=0.5; velPct=accPct=0;
+   int ext  = MathMax(2*KSLOPE,NVOL+1);
+   int need = win+ext+2;
+   PBuf mb[7];
+   for(int m=0;m<7;m++)
+     {
+      ArraySetAsSeries(mb[m].v,true);
+      if(CopyBuffer(hMA[m],0,0,need,mb[m].v)!=need) return;
+     }
+   double cA[],vA[],aA[],oA[]; int cc=0,vc=0,ac=0,oc=0;
+   ArrayResize(cA,win); ArrayResize(vA,win); ArrayResize(aA,win); ArrayResize(oA,win);
+   for(int j=1;j<=win;j++)
+     {
+      double cv=ClusterAtJ(mb,j); if(cv>0) cA[cc++]=cv;
+      vA[vc++]=MathAbs(VelAtJ(mb,j,KSLOPE));
+      aA[ac++]=MathAbs(AccAtJ(mb,j,KSLOPE));
+      double ov=VolAtJ(mb,j,NVOL); if(ov>0) oA[oc++]=ov;
+     }
+   cluCur=ClusterAtJ(mb,1); velCur=VelAtJ(mb,1,KSLOPE);
+   accCur=AccAtJ(mb,1,KSLOPE); volCur=VolAtJ(mb,1,NVOL);
+   cluPct=PctlOf(cA,cc,cluCur);
+   volPct=PctlOf(oA,oc,volCur);
+   velPct=PctlOf(vA,vc,MathAbs(velCur));   // forza (su |valore|)
+   accPct=PctlOf(aA,ac,MathAbs(accCur));
+  }
+
+//+------------------------------------------------------------------+
+// descrizione a parole per una grandezza di sola ampiezza (cluster, volatilita')
+string MagWord(double pct,string w0,string w1,string w2,string w3,string w4)
+  {
+   if(pct<0.20) return w0;
+   if(pct<0.40) return w1;
+   if(pct<0.60) return w2;
+   if(pct<0.80) return w3;
+   return w4;
+  }
+//+------------------------------------------------------------------+
+// descrizione a parole per un segnale con segno (velocita', accelerazione)
+string DirWord(double val,double absPct,string up,string down,string flat)
+  {
+   if(absPct<0.15) return flat;
+   string forza = (absPct<0.40)?"lieve":((absPct<0.70)?"moderata":"forte");
+   return (val>0?up:down)+" "+forza;
+  }
+
 //+------------------------------------------------------------------+
 // interpolazione lineare con fallback se uno dei valori manca
 double Interp(double vStart,double vEnd,double frac)
@@ -298,11 +422,23 @@ void DrawInfo()
    Lbl("M","Median: "+DoubleToString(median,_Digits),x,y,FontSize,clrGold,false); y+=lh;
    Lbl("D","Dist: "+distS,x,y,FontSize,distC,true); y+=lh+2;
 
-   //--- Dispersione MA e bande (info)
-   double ds=0; int dc=0;
-   for(int m=0;m<7;m++) { double v=GetMA(m,1); if(v>0) { ds+=MathAbs(v-median)/median*100; dc++; } }
-   double vol = (dc>0)?ds/dc:0;
-   Lbl("V","Cluster +/-"+DoubleToString(vol,3)+"%",x,y,FontSize,clrGray,false); y+=lh+2;
+   //--- Cluster/Velocita'/Accelerazione/Volatilita' con percentile storico + descrizione a parole
+   double cluCur,cluPct,velCur,velPct,accCur,accPct,volCur,volPct;
+   AllMetrics(CLWIN,cluCur,cluPct,velCur,velPct,accCur,accPct,volCur,volPct);
+
+   string cluTxt = MagWord(cluPct,"molto stretto","stretto","normale","largo","molto largo");
+   color  cluC   = (cluPct<0.40)?clrLimeGreen:((cluPct>0.60)?clrTomato:clrSilver);
+   Lbl("V",StringFormat("Cluster %.3f%% - %s (P%.0f)",cluCur,cluTxt,cluPct*100),x,y,FontSize,cluC,false); y+=lh;
+
+   string velTxt = DirWord(velCur,velPct,"in salita","in discesa","quasi piatta");
+   Lbl("VEL",StringFormat("Velocita' %+.3f%% - %s",velCur,velTxt),x,y,FontSize,(velCur>0)?clrLimeGreen:clrTomato,false); y+=lh;
+
+   string accTxt = DirWord(accCur,accPct,"in accelerazione","in decelerazione","stabile");
+   Lbl("ACC",StringFormat("Accel %+.4f%% - %s",accCur,accTxt),x,y,FontSize,(accCur>0)?clrLimeGreen:clrTomato,false); y+=lh;
+
+   string volTxt = MagWord(volPct,"molto bassa","bassa","normale","alta","molto alta");
+   color  volC   = (volPct<0.40)?clrLimeGreen:((volPct>0.60)?clrTomato:clrAqua);
+   Lbl("VOL",StringFormat("Volatilita' %.4f%% - %s (P%.0f)",volCur,volTxt,volPct*100),x,y,FontSize,volC,false); y+=lh+2;
 
    //--- Valori delle 7 MA (giorni : valore) con colore = linea
    for(int m=0;m<7;m++)