pietro_giacobazzi
148 lines
4.7 KiB
Plaintext
148 lines
4.7 KiB
Plaintext
#ifndef MOMENTUM_AGENT_MQH
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#define MOMENTUM_AGENT_MQH
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#include "AgentBase.mqh"
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#include "../Core/PeriodCalculator.mqh"
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class MomentumAgent : public IAgent {
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private:
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RunningStats accelStats;
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int period;
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int minPeriod, maxPeriod;
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int momHandle;
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int lastMomPeriod;
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double lastZ1; // mom z-score
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double lastZ2; // accel z-score
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RunningCorrelation momCorr;
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RunningCorrelation accelCorr;
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// Cache per Interact (ri-calcolo con regime fresco)
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int m_basePeriod;
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void Recreate(int p) {
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if(momHandle != INVALID_HANDLE) IndicatorRelease(momHandle);
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momHandle = iMomentum(symbol, timeframe, p, PRICE_CLOSE);
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lastMomPeriod = p;
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}
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double GetMom(int shift=0) {
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double buf[];
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ArraySetAsSeries(buf, true);
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if(CopyBuffer(momHandle, 0, shift, 1, buf) < 1) return 0;
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return buf[0];
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}
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public:
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MomentumAgent(string n="Momentum", double w=1.0, int minP=6, int maxP=40)
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: IAgent(n, w), accelStats(0.05, 30, 500),
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period(14), minPeriod(minP), maxPeriod(maxP),
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momHandle(INVALID_HANDLE), lastMomPeriod(0),
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lastZ1(0), lastZ2(0), momCorr(0.1, 5), accelCorr(0.1, 5) { signalStats.SetR(2.0); }
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void Init(string sym, ENUM_TIMEFRAMES tf) override {
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IAgent::Init(sym, tf);
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momHandle = INVALID_HANDLE;
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lastMomPeriod = 0;
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}
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void Release() override {
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if(momHandle != INVALID_HANDLE) IndicatorRelease(momHandle);
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momHandle = INVALID_HANDLE;
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}
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double Analyze(const MarketData &data) override {
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m_basePeriod = PeriodCalculator::AutoPeriod(data, minPeriod, maxPeriod);
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RecomputeWithRegime(SHARED_regimeConsensus, SHARED_regimeAgreement);
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return lastZScore;
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}
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void RecomputeWithRegime(double regime, double agreement) {
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double trendStr = MathAbs(regime);
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double maxDecrease = 1.0 - (double)minPeriod / MathMax(minPeriod, m_basePeriod);
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double periodMult = 1.0 - trendStr * agreement * maxDecrease;
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int newPeriod = (int)MathRound(m_basePeriod * periodMult);
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if(newPeriod < minPeriod) newPeriod = minPeriod;
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if(newPeriod > maxPeriod) newPeriod = maxPeriod;
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if(newPeriod != period) {
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period = newPeriod;
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if(momHandle != INVALID_HANDLE && period != lastMomPeriod)
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Recreate(period);
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} else if(momHandle == INVALID_HANDLE || period != lastMomPeriod) {
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Recreate(period);
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}
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double mom = GetMom(0) - 100.0;
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double momPv = GetMom(1) - 100.0;
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signalStats.Update(mom);
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double accel = mom - momPv;
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accelStats.Update(accel);
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double z1 = signalStats.ZScore(mom);
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double z2 = accelStats.ZScore(accel);
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lastZ1 = z1;
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lastZ2 = z2;
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double wLevel, wAccel;
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if(momCorr.Ready() && accelCorr.Ready()) {
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double r1 = MathMax(0.0, momCorr.Correlation());
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double r2 = MathMax(0.0, accelCorr.Correlation());
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double sumR = r1 + r2 + DATA_EPS(r1 + r2);
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wLevel = r1 / sumR;
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wAccel = 1.0 - wLevel;
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} else {
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double s1 = signalStats.Std();
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double s2 = accelStats.Std();
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double epsSum = DATA_EPS(MathMax(s1, s2));
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wLevel = (s1 + s2 > epsSum) ? s1 / (s1 + s2) : 1.0 / 2.0;
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wAccel = 1.0 - wLevel;
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}
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double norm = MathSqrt(wLevel*wLevel + wAccel*wAccel);
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lastZScore = (wLevel * z1 + wAccel * z2) / norm;
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lastZScore = CalibrateZ(lastZScore);
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lastRawSignal = mom;
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}
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void Interact(IAgent *&allAgents[], int count) override {
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// Rilegge regime fresco (dopo Interact di Consensus) e ri-calcola
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RecomputeWithRegime(SHARED_regimeConsensus, SHARED_regimeAgreement);
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}
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void Learn(double predictedZ, double actualReturnZ) override {
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IAgent::Learn(predictedZ, actualReturnZ);
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momCorr.Update(lastZ1, actualReturnZ);
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accelCorr.Update(lastZ2, actualReturnZ);
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}
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void Save(int fh) const override {
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IAgent::Save(fh);
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accelStats.Save(fh);
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momCorr.Save(fh);
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accelCorr.Save(fh);
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}
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void Load(int fh) override {
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IAgent::Load(fh);
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accelStats.Load(fh);
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momCorr.Load(fh);
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accelCorr.Load(fh);
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}
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void Reset() override {
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IAgent::Reset();
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accelStats.Reset();
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momCorr.Reset();
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accelCorr.Reset();
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lastZ1 = 0; lastZ2 = 0;
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}
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string SignalInfo() const override {
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return name + " z=" + StringFormat("%+.3f", lastZScore)
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+ " period=" + (string)period
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+ " " + signalStats.ToString();
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}
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};
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#endif
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