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refactor: Upgraded with Open-Ended Session Volatility Sampling

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This commit is contained in:
Toh4iem9
2026-08-27 16:04:50 +02:00
parent cfd2e3ff61
commit 214a91d61d
1 changed files with 18 additions and 16 deletions
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Include/MyIncludes/VScore_Calculator.mqh
+18 -16
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@@ -4,7 +4,7 @@
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "3.00" // Overloaded initialization, bounds safety & Custom Session support
#property version "3.10" // Upgraded with Open-Ended Session Volatility Sampling
#ifndef VSCORE_CALCULATOR_MQH
#define VSCORE_CALCULATOR_MQH
@@ -131,14 +131,14 @@ bool CVScoreCalculator::Init(const int period, const string custom_start, const
}
//+------------------------------------------------------------------+
//| Main Calculation (Bounds-Safe O(1)) |
//| Main Calculation (Open-Ended In-Session Variance Sampling) |
//+------------------------------------------------------------------+
void CVScoreCalculator::Calculate(const int rates_total, const int prev_calculated,
const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[],
const long &tick_volume[], const long &volume[],
double &out_vscore[])
{
if(rates_total < m_period || CheckPointer(m_vwap_calc) == POINTER_INVALID)
if(rates_total < 2 || CheckPointer(m_vwap_calc) == POINTER_INVALID)
return;
// 1. Safe Allocation of Internal Buffers
@@ -165,11 +165,9 @@ void CVScoreCalculator::Calculate(const int rates_total, const int prev_calculat
// 2. Compute Underlying VWAP
m_vwap_calc.Calculate(rates_total, prev_calculated, time, open, high, low, close, tick_volume, volume, m_vwap_odd, m_vwap_even);
int start = (prev_calculated > m_period) ? (prev_calculated - 1) : (m_period - 1);
if(start < m_period - 1)
start = m_period - 1;
int start = (prev_calculated > 0) ? (prev_calculated - 1) : 0;
// 3. Compute V-Score (Standard Deviation Distance from VWAP)
// 3. Compute V-Score with Open-Ended Session Volatility Sampling
for(int i = start; i < rates_total; i++)
{
m_price[i] = close[i];
@@ -183,22 +181,26 @@ void CVScoreCalculator::Calculate(const int rates_total, const int prev_calculat
continue;
}
// Collect the last m_period valid in-session bars (skipping off-session gaps)
double sum_sq_diff = 0.0;
int collected = 0;
int k = 0;
for(int k = 0; k < m_period; k++)
while(collected < m_period && (i - k) >= 0)
{
int idx = i - k;
double p = m_price[idx];
double v = m_vwap_buf[idx];
if(v == 0.0 || v == EMPTY_VALUE)
v = p;
double diff = p - v;
sum_sq_diff += diff * diff;
if(v != EMPTY_VALUE && v > 0.0)
{
double p = m_price[idx];
double diff = p - v;
sum_sq_diff += diff * diff;
collected++;
}
k++;
}
double std_dev = MathSqrt(sum_sq_diff / (double)m_period);
double std_dev = (collected > 0) ? MathSqrt(sum_sq_diff / (double)collected) : 0.0;
if(std_dev > 1.0e-9)
out_vscore[i] = (close[i] - current_vwap) / std_dev;