TR_Agent/MQL5/Experts/MultiAgentTest/Agents/RegimeConsensus.mqh

#ifndef REGIME_CONSENSUS_MQH
#define REGIME_CONSENSUS_MQH
#include "AgentBase.mqh"

class RegimeConsensus : public IAgent {
private:
   RunningStats adxStats, hurstStats;
   RunningStats diffRegimeStats;
   RunningCorrelation hurstCorr;   // correlazione hurstZ con ritorno
   RunningCorrelation adxCorr;     // correlazione adxZ con ritorno
   double lastHurstZ, lastADXZ;    // raw z-scores per Learn()
   
      double SafeDenom(double v, double fallback) const {
        double eps = DATA_EPS(fallback);
        return (MathAbs(v) > eps) ? v : fallback;
     }
    
    double ZScoreFallback() const { return 1.0; }  // z-score ha per definizione σ=1
   
public:
    RegimeConsensus(string n="Consensus", double w=1.0)
       : IAgent(n, w), adxStats(0.05, 30, 200), hurstStats(0.05, 30, 200),
         diffRegimeStats(0.05, 20, 200), hurstCorr(0.1, 5), adxCorr(0.1, 5),
         lastHurstZ(0), lastADXZ(0) {}
   
   double Analyze(const MarketData &data) override {
      lastZScore = 0;
      return 0;
   }
   
    void Interact(IAgent *&allAgents[], int count) override {
       double hurstZ = 0, adxZ = 0;
       double rawHurstZ = 0, rawADXZ = 0;
       
        for(int i=0; i<count; i++) {
           if(!allAgents[i].enabled) continue;
           if(allAgents[i].name == "Hurst") { rawHurstZ = allAgents[i].lastRawSignal; hurstZ = allAgents[i].lastZScore; }
           if(allAgents[i].name == "ADX") { rawADXZ = allAgents[i].lastRawSignal; adxZ = allAgents[i].lastZScore; }
        }
        
        lastHurstZ = hurstZ;
        lastADXZ = adxZ;
       
       hurstStats.Update(hurstZ);
       adxStats.Update(adxZ);
      
      double hStd = SafeDenom(hurstStats.Std(), ZScoreFallback());
      double aStd = SafeDenom(adxStats.Std(), ZScoreFallback());
      double combinedScale = MathSqrt(hStd * hStd + aStd * aStd);
      
      double rawDiff = MathAbs(hurstZ - adxZ);
      diffRegimeStats.Update(rawDiff);
      
      // Agreement data-driven: quanto sono vicine relative alla loro volatilità tipica
      double typicalDiff = SafeDenom(diffRegimeStats.Std(), combinedScale);
      SHARED_regimeAgreement = 1.0 - MathMin(rawDiff / typicalDiff, 1.0);
      
      // Consenso: media divisa per numero di fonti attive
      double nActive = 0;
      if(hurstStats.Count() > 0) nActive += 1.0;
      if(adxStats.Count() > 0) nActive += 1.0;
      nActive = MathMax(1.0, nActive);
      
      SHARED_regimeConsensus = MathTanh((hurstZ + adxZ) / nActive * SHARED_regimeAgreement);
      
      // Rilevamento pattern con soglie data-driven
      long pattern = 0;
      string pName = "none";
      
      double hThr = SafeDenom(hStd, ZScoreFallback());
      double aThr = SafeDenom(aStd, ZScoreFallback());
      
      // Fattore divergenza basato sull'agreement storico
      double agreeFactor = 1.0 + 1.0 / MathMax(1e-15, SHARED_regimeAgreement);
      double divThreshold = combinedScale * agreeFactor;
      
      // Soglia breakout: SE della differenza normalizzato per agreement
      // Per due fonti indipendenti, SE_diff = √(hStd² + aStd²) / √nActive
      // Agreement scala: più accordo → soglia più alta (breakout più significativo)
      double nActiveRegime = 2.0;
      double seDiff = combinedScale / MathSqrt(nActiveRegime);
      double breakLower = seDiff * (1.0 + SHARED_regimeAgreement);
      double breakUpper = divThreshold;
      
      if(hurstZ > hThr && adxZ > aThr) {
         pattern = 1; pName = "strong_trend";
      }
      else if(hurstZ < -hThr && adxZ < -aThr) {
         pattern = 2; pName = "strong_range";
      }
      else if(rawDiff > divThreshold && (hurstZ > 0 || adxZ > 0)) {
         pattern = 3; pName = "divergence";
      }
      else if(rawDiff > breakLower && rawDiff < breakUpper &&
              MathAbs(hurstZ + adxZ) > combinedScale) {
         pattern = 4; pName = "breakout_forming";
      }
      else if(MathAbs(SHARED_regimeConsensus) > combinedScale / MathSqrt(nActiveRegime)) {
         pattern = 5; pName = "weak_bias";
      }
      
       SHARED_regimeConsensus = CalibrateZ(SHARED_regimeConsensus);
       SHARED_regimeZ = SHARED_regimeConsensus;
       SHARED_trendStrength = MathAbs(SHARED_regimeConsensus);
    }
    
    void Learn(double predictedZ, double actualReturnZ) override {
       IAgent::Learn(predictedZ, actualReturnZ);
       hurstCorr.Update(lastHurstZ, actualReturnZ);
       adxCorr.Update(lastADXZ, actualReturnZ);
    }
   
    void Save(int fh) const override {
       IAgent::Save(fh);
       adxStats.Save(fh);
       hurstStats.Save(fh);
       diffRegimeStats.Save(fh);
       hurstCorr.Save(fh);
       adxCorr.Save(fh);
    }
    void Load(int fh) override {
       IAgent::Load(fh);
       adxStats.Load(fh);
       hurstStats.Load(fh);
       diffRegimeStats.Load(fh);
       hurstCorr.Load(fh);
       adxCorr.Load(fh);
    }
    
    void Reset() override {
       IAgent::Reset();
       adxStats.Reset();
       hurstStats.Reset();
       diffRegimeStats.Reset();
       hurstCorr.Reset();
       adxCorr.Reset();
       lastHurstZ = 0; lastADXZ = 0;
    }
   
   string SignalInfo() const override {
      return name + " z=" + StringFormat("%+.3f", SHARED_regimeConsensus)
            + " agree=" + StringFormat("%.2f", SHARED_regimeAgreement);
    }
};
#endif