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