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refactor: Refactored to use unified calculator engine and 5-channel layout

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Toh4iem9
2026-06-16 22:46:55 +02:00
parent 575869f033
commit 1935d267f4
1 changed files with 102 additions and 84 deletions
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Indicators/MyIndicators/Quant/PairsTrading_Bands_Pro.mq5
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@@ -3,12 +3,12 @@
//| Copyright 2026, xxxxxxxx| //| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx" #property copyright "Copyright 2026, xxxxxxxx"
#property version "1.00" // Non-repainting state-machine, O(1) optimized #property version "1.30" // Refactored to use unified calculator engine and 5-channel layout
#property description "Wyckoff-style Cointegration Bands on Main Chart." #property description "Wyckoff-style Cointegration Bands on Main Chart."
#property description "Projects dynamic equilibrium line (Z=0) and trade bands (Z=+-2) on candles." #property description "Projects dynamic equilibrium line (Z=0), warning (Z=+-1.5) and extreme (Z=+-2.0) bands."
#property indicator_chart_window #property indicator_chart_window
#property indicator_buffers 3 #property indicator_buffers 5
#property indicator_plots 3 #property indicator_plots 5
//--- Plot 1: Cointegrated Equilibrium Line (Fair Value / Z=0) //--- Plot 1: Cointegrated Equilibrium Line (Fair Value / Z=0)
#property indicator_label1 "Equilibrium Center" #property indicator_label1 "Equilibrium Center"
@@ -17,20 +17,36 @@
#property indicator_style1 STYLE_SOLID #property indicator_style1 STYLE_SOLID
#property indicator_width1 2 #property indicator_width1 2
//--- Plot 2: Upper Cointegration Band (Z=+2.0 / Sell Spread Zone) //--- Plot 2: Upper Outer Band (Z = Extreme / Sell Zone)
#property indicator_label2 "Upper Band" #property indicator_label2 "Upper Outer Band"
#property indicator_type2 DRAW_LINE #property indicator_type2 DRAW_LINE
#property indicator_color2 clrCrimson #property indicator_color2 clrOrangeRed
#property indicator_style2 STYLE_DASH #property indicator_style2 STYLE_DASH
#property indicator_width2 1 #property indicator_width2 1
//--- Plot 3: Lower Cointegration Band (Z=-2.0 / Buy Spread Zone) //--- Plot 3: Lower Outer Band (Z = Extreme / Buy Zone)
#property indicator_label3 "Lower Band" #property indicator_label3 "Lower Outer Band"
#property indicator_type3 DRAW_LINE #property indicator_type3 DRAW_LINE
#property indicator_color3 clrDodgerBlue #property indicator_color3 clrDeepSkyBlue
#property indicator_style3 STYLE_DASH #property indicator_style3 STYLE_DASH
#property indicator_width3 1 #property indicator_width3 1
//--- Plot 4: Upper Inner Band (Z = Warning Zone)
#property indicator_label4 "Upper Inner Band"
#property indicator_type4 DRAW_LINE
#property indicator_color4 clrCoral
#property indicator_style4 STYLE_DOT
#property indicator_width4 1
//--- Plot 5: Lower Inner Band (Z = Warning Zone)
#property indicator_label5 "Lower Inner Band"
#property indicator_type5 DRAW_LINE
#property indicator_color5 clrLightSkyBlue
#property indicator_style5 STYLE_DOT
#property indicator_width5 1
#include <MyIncludes\PairsTrading_Calculator.mqh>
//--- Anchored Timeframe Resets Enum //--- Anchored Timeframe Resets Enum
enum ENUM_ANCHOR_PERIOD enum ENUM_ANCHOR_PERIOD
{ {
@@ -42,23 +58,33 @@ enum ENUM_ANCHOR_PERIOD
}; };
//--- Input Parameters //--- Input Parameters
input string InpSymbolA = "UKOIL"; // Symbol A (Main Chart Equivalent, e.g. UKOIL or BRENT) input string InpSymbolA = "UKOIL"; // Symbol A (Main Chart Equivalent, e.g. UKOIL or BRENT)
input string InpSymbolB = "USOIL"; // Symbol B (Benchmark, e.g. USOIL or WTI) input string InpSymbolB = "USOIL"; // Symbol B (Benchmark, e.g. USOIL or WTI)
input ENUM_ANCHOR_PERIOD InpAnchor = ANCHOR_NONE; // Dynamic Anchored Reset Period input ENUM_ANCHOR_PERIOD InpAnchor = ANCHOR_NONE; // Dynamic Anchored Reset Period
input int InpLookback = 120; // Rolling Window size (Used if Anchor = NONE) input int InpLookback = 120; // Rolling Window size (Used if Anchor = NONE)
input string InpCustomStart = "09:00"; // Custom Session Start (HH:MM, Broker Time) input string InpCustomStart = "09:00"; // Custom Session Start (HH:MM, Broker Time)
input string InpCustomEnd = "18:00"; // Custom Session End (HH:MM, Broker Time) input string InpCustomEnd = "18:00"; // Custom Session End (HH:MM, Broker Time)
//--- Dynamic Channel Options
input bool InpDrawCenterLine = true; // Draw Center Equilibrium Line?
input bool InpDrawInnerBands = true; // Draw Inner (Warning) Bands?
input double InpInnerMultiplier = 1.5; // Inner Band Z-Score Multiplier
input bool InpDrawOuterBands = true; // Draw Outer (Extreme) Bands?
input double InpOuterMultiplier = 2.0; // Outer Band Z-Score Multiplier
//--- Buffers //--- Buffers
double BufMiddle[]; double BufMiddle[];
double BufUpper[]; double BufUpperOuter[];
double BufLower[]; double BufLowerOuter[];
double BufUpperInner[];
double BufLowerInner[];
//--- Aligned price arrays //--- Aligned price arrays
double g_sync_close_A[]; double g_sync_close_A[];
double g_sync_close_B[]; double g_sync_close_B[];
//--- Global Variables and State Tracking (O(1) safe) //--- Global Engine and State Tracking
CPairsTradingCalculator *g_calc;
bool g_data_synced = false; bool g_data_synced = false;
int g_anchor_start_idx = 0; // Dynamic anchor index tracker int g_anchor_start_idx = 0; // Dynamic anchor index tracker
@@ -85,7 +111,6 @@ bool EnsureDataReady(const string symbol, const ENUM_TIMEFRAMES timeframe, const
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| IsTimeInSession | //| IsTimeInSession |
//| Determines if broker time is within custom active session |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool IsTimeInSession(datetime time_val, int start_hour, int start_min, int end_hour, int end_min) bool IsTimeInSession(datetime time_val, int start_hour, int start_min, int end_hour, int end_min)
{ {
@@ -113,13 +138,17 @@ int OnInit()
g_data_synced = false; g_data_synced = false;
g_anchor_start_idx = 0; g_anchor_start_idx = 0;
SetIndexBuffer(0, BufMiddle, INDICATOR_DATA); SetIndexBuffer(0, BufMiddle, INDICATOR_DATA);
SetIndexBuffer(1, BufUpper, INDICATOR_DATA); SetIndexBuffer(1, BufUpperOuter, INDICATOR_DATA);
SetIndexBuffer(2, BufLower, INDICATOR_DATA); SetIndexBuffer(2, BufLowerOuter, INDICATOR_DATA);
SetIndexBuffer(3, BufUpperInner, INDICATOR_DATA);
SetIndexBuffer(4, BufLowerInner, INDICATOR_DATA);
ArraySetAsSeries(BufMiddle, false); ArraySetAsSeries(BufMiddle, false);
ArraySetAsSeries(BufUpper, false); ArraySetAsSeries(BufUpperOuter, false);
ArraySetAsSeries(BufLower, false); ArraySetAsSeries(BufLowerOuter, false);
ArraySetAsSeries(BufUpperInner, false);
ArraySetAsSeries(BufLowerInner, false);
//--- Parse custom session times //--- Parse custom session times
string parts[]; string parts[];
@@ -143,9 +172,26 @@ int OnInit()
IndicatorSetString(INDICATOR_SHORTNAME, short_name); IndicatorSetString(INDICATOR_SHORTNAME, short_name);
IndicatorSetInteger(INDICATOR_DIGITS, _Digits); IndicatorSetInteger(INDICATOR_DIGITS, _Digits);
//--- Instantiate unified calculator
g_calc = new CPairsTradingCalculator();
if(CheckPointer(g_calc) == POINTER_INVALID || !g_calc.Init(InpLookback))
{
Print("Error: Failed to initialize PairsBands Calculator Engine.");
return INIT_FAILED;
}
return(INIT_SUCCEEDED); return(INIT_SUCCEEDED);
} }
//+------------------------------------------------------------------+
//| OnDeinit |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
if(CheckPointer(g_calc) == POINTER_DYNAMIC)
delete g_calc;
}
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| OnCalculate | //| OnCalculate |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
@@ -174,7 +220,7 @@ int OnCalculate(const int rates_total,
g_data_synced = true; g_data_synced = true;
//--- Get standalone default fallback values to ensure absolute chart independence //--- Retrieve chart-independent default close values for index-0 fallbacks
double default_close_A = iClose(InpSymbolA, _Period, 0); double default_close_A = iClose(InpSymbolA, _Period, 0);
double default_close_B = iClose(InpSymbolB, _Period, 0); double default_close_B = iClose(InpSymbolB, _Period, 0);
@@ -203,7 +249,7 @@ int OnCalculate(const int rates_total,
g_sync_close_B[i] = (i > 0) ? g_sync_close_B[i-1] : default_close_B; g_sync_close_B[i] = (i > 0) ? g_sync_close_B[i-1] : default_close_B;
} }
//--- 2. Calculate the rolling OLS Cointegration Bands //--- 2. Calculate the rolling OLS Cointegration Bands (O(1) incremental)
int calc_start = (prev_calculated == 0) ? InpLookback : prev_calculated - 1; int calc_start = (prev_calculated == 0) ? InpLookback : prev_calculated - 1;
if(calc_start < InpLookback) if(calc_start < InpLookback)
calc_start = InpLookback; calc_start = InpLookback;
@@ -215,9 +261,11 @@ int OnCalculate(const int rates_total,
{ {
if(!IsTimeInSession(time[i], g_start_hour, g_start_min, g_end_hour, g_end_min)) if(!IsTimeInSession(time[i], g_start_hour, g_start_min, g_end_hour, g_end_min))
{ {
BufMiddle[i] = EMPTY_VALUE; BufMiddle[i] = EMPTY_VALUE;
BufUpper[i] = EMPTY_VALUE; BufUpperOuter[i] = EMPTY_VALUE;
BufLower[i] = EMPTY_VALUE; BufLowerOuter[i] = EMPTY_VALUE;
BufUpperInner[i] = EMPTY_VALUE;
BufLowerInner[i] = EMPTY_VALUE;
continue; continue;
} }
} }
@@ -298,66 +346,36 @@ int OnCalculate(const int rates_total,
active_window_size = i - g_anchor_start_idx + 1; active_window_size = i - g_anchor_start_idx + 1;
} }
if(active_window_size < 15) //--- D. Execute unified calculator math and fetch dynamic OLS parameters
//--- By running CalculateZScore, the engine automatically populates beta, alpha, and std_dev internally
double z = g_calc.CalculateZScore(rates_total, i, active_window_size, g_sync_close_A, g_sync_close_B);
double beta = g_calc.GetBeta();
double alpha = g_calc.GetAlpha();
double std_dev = g_calc.GetStdDev();
if(active_window_size >= 15 && std_dev > 0.0)
{ {
BufMiddle[i] = close[i];
BufUpper[i] = close[i];
BufLower[i] = close[i];
continue; // Wait for statistical significance
}
//--- D. Perform Rolling OLS (High-performance math)
double sum_A = 0.0, sum_B = 0.0;
for(int k = 0; k < active_window_size; k++)
{
int idx = i - active_window_size + 1 + k;
sum_A += g_sync_close_A[idx];
sum_B += g_sync_close_B[idx];
}
double mean_A = sum_A / active_window_size;
double mean_B = sum_B / active_window_size;
double sum_sq_diff_B = 0.0;
double sum_prod_AB = 0.0;
for(int k = 0; k < active_window_size; k++)
{
int idx = i - active_window_size + 1 + k;
double diff_A = g_sync_close_A[idx] - mean_A;
double diff_B = g_sync_close_B[idx] - mean_B;
sum_sq_diff_B += diff_B * diff_B;
sum_prod_AB += diff_A * diff_B;
}
double var_B = sum_sq_diff_B / (active_window_size - 1);
double cov_AB = sum_prod_AB / (active_window_size - 1);
if(var_B > 1.0e-9)
{
double beta = cov_AB / var_B;
double alpha = mean_A - (beta * mean_B);
// Calculate the rolling standard deviation of the spread (Mean is algebraically 0.0)
double sum_sq_spread = 0.0;
for(int k = 0; k < active_window_size; k++)
{
int idx = i - active_window_size + 1 + k;
double spr = g_sync_close_A[idx] - (beta * g_sync_close_B[idx]) - alpha;
sum_sq_spread += spr * spr;
}
double std_dev_spread = MathSqrt(sum_sq_spread / (active_window_size - 1));
//--- E. Project Cointegration Bands directly onto the main price chart
// Center Line (Z=0.0 Equilibrium): A_hat = beta * B_t + alpha // Center Line (Z=0.0 Equilibrium): A_hat = beta * B_t + alpha
double fair_price = beta * g_sync_close_B[i] + alpha; double fair_price = beta * g_sync_close_B[i] + alpha;
BufMiddle[i] = fair_price; BufMiddle[i] = InpDrawCenterLine ? fair_price : EMPTY_VALUE;
BufUpper[i] = fair_price + 2.0 * std_dev_spread; // Z = +2.0
BufLower[i] = fair_price - 2.0 * std_dev_spread; // Z = -2.0 // Outer extreme bands (Default Z = +-2.0)
BufUpperOuter[i] = InpDrawOuterBands ? (fair_price + InpOuterMultiplier * std_dev) : EMPTY_VALUE;
BufLowerOuter[i] = InpDrawOuterBands ? (fair_price - InpOuterMultiplier * std_dev) : EMPTY_VALUE;
// Inner warning bands (Default Z = +-1.5)
BufUpperInner[i] = InpDrawInnerBands ? (fair_price + InpInnerMultiplier * std_dev) : EMPTY_VALUE;
BufLowerInner[i] = InpDrawInnerBands ? (fair_price - InpInnerMultiplier * std_dev) : EMPTY_VALUE;
} }
else else
{ {
BufMiddle[i] = close[i]; BufMiddle[i] = close[i];
BufUpper[i] = close[i]; BufUpperOuter[i] = close[i];
BufLower[i] = close[i]; BufLowerOuter[i] = close[i];
BufUpperInner[i] = close[i];
BufLowerInner[i] = close[i];
} }
} }