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fix: Fixed unstable session-start noise by enforcing EMPTY_VALUE cutoff

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Toh4iem9
2026-06-20 13:29:17 +02:00
parent 64b1303308
commit 26ab2db493
1 changed files with 9 additions and 9 deletions
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Indicators/MyIndicators/Quant/PairsTrading_Bands_Pro.mq5
+9 -9
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@@ -3,7 +3,7 @@
//| Copyright 2026, xxxxxxxx| //| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx" #property copyright "Copyright 2026, xxxxxxxx"
#property version "1.50" // Upgraded to 3 dynamic Z-Score bands (7-channel layout) #property version "1.51" // Fixed unstable session-start noise by enforcing EMPTY_VALUE cutoff
#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), warning (Z=+-1.5), extreme (Z=+-2.0) and reversal (Z=+-2.5) bands." #property description "Projects dynamic equilibrium line (Z=0), warning (Z=+-1.5), extreme (Z=+-2.0) and reversal (Z=+-2.5) bands."
#property indicator_chart_window #property indicator_chart_window
@@ -379,13 +379,13 @@ int OnCalculate(const int rates_total,
} }
//--- D. Execute unified calculator math and fetch dynamic OLS parameters //--- 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 z = g_calc.CalculateZScore(rates_total, i, active_window_size, g_sync_close_A, g_sync_close_B);
double beta = g_calc.GetBeta(); double beta = g_calc.GetBeta();
double alpha = g_calc.GetAlpha(); double alpha = g_calc.GetAlpha();
double std_dev = g_calc.GetStdDev(); double std_dev = g_calc.GetStdDev();
//--- FIXED: Enforce absolute EMPTY_VALUE cutoff when active window size is statistically unstable (< 15 bars)
if(active_window_size >= 15 && std_dev > 0.0) if(active_window_size >= 15 && std_dev > 0.0)
{ {
// Center Line (Z=0.0 Equilibrium): A_hat = beta * B_t + alpha // Center Line (Z=0.0 Equilibrium): A_hat = beta * B_t + alpha
@@ -407,13 +407,13 @@ int OnCalculate(const int rates_total,
} }
else else
{ {
BufMiddle[i] = close[i]; BufMiddle[i] = EMPTY_VALUE;
BufUpperOuter[i] = close[i]; BufUpperOuter[i] = EMPTY_VALUE;
BufLowerOuter[i] = close[i]; BufLowerOuter[i] = EMPTY_VALUE;
BufUpperInner[i] = close[i]; BufUpperInner[i] = EMPTY_VALUE;
BufLowerInner[i] = close[i]; BufLowerInner[i] = EMPTY_VALUE;
BufUpperExtreme[i] = close[i]; BufUpperExtreme[i] = EMPTY_VALUE;
BufLowerExtreme[i] = close[i]; BufLowerExtreme[i] = EMPTY_VALUE;
} }
} }