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refactor: Upgraded with dynamic VWAP-style anchored resets

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This commit is contained in:
Toh4iem9
2026-06-16 16:25:16 +02:00
parent 1f17cc67c8
commit 3773fdbaad
1 changed files with 109 additions and 23 deletions
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Indicators/MyIndicators/Quant/PairsTrading_Pro.mq5
+109 -23
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@@ -3,14 +3,14 @@
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "1.10" // Upgraded with fixed window scale and 5-zone thermal histogram
#property description "Universal Dynamic Cointegration (Z-Score) Monitor."
#property description "Default: Brent (UKOIL) vs WTI (USOIL) relative value trader."
#property version "1.20" // Upgraded with dynamic VWAP-style anchored resets
#property description "Universal Dynamic & Anchored Cointegration (Z-Score) Monitor."
#property description "Supports Session, Weekly and Monthly anchored spread calculations."
#property indicator_separate_window
#property indicator_buffers 2
#property indicator_plots 1
//--- FIXED: Standardized window limits to prevent single-spike scale squishing!
//--- Standardized window limits to prevent single-spike scale squishing!
#property indicator_minimum -3.5
#property indicator_maximum 3.5
@@ -40,10 +40,20 @@
#include <MyIncludes\PairsTrading_Calculator.mqh>
//--- Anchored Timeframe Resets Enum
enum ENUM_ANCHOR_PERIOD
{
ANCHOR_NONE, // Standard rolling window (InpLookback)
ANCHOR_SESSION, // Reset every day (Daily VWAP style)
ANCHOR_WEEK, // Reset every week (Weekly VWAP style)
ANCHOR_MONTH // Reset every month (Monthly VWAP style)
};
//--- Input Parameters
input string InpSymbolA = "UKOIL"; // Symbol A (Brent Proxy, e.g. UKOIL or BRENT)
input string InpSymbolB = "USOIL"; // Symbol B (WTI Proxy, e.g. USOIL or WTI)
input int InpLookback = 120; // Rolling OLS Regression Window (Bars)
input ENUM_ANCHOR_PERIOD InpAnchor = ANCHOR_NONE; // Dynamic Anchored Reset Period
input int InpLookback = 120; // Rolling Window size (Used if Anchor = NONE)
//--- Buffers
double ExtZScoreBuffer[];
@@ -53,9 +63,10 @@ double ExtColorsBuffer[];
double g_sync_close_A[];
double g_sync_close_B[];
//--- Global Engine
//--- 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
//+------------------------------------------------------------------+
//| EnsureDataReady (Multi-symbol history sync helper) |
@@ -78,6 +89,7 @@ bool EnsureDataReady(const string symbol, const ENUM_TIMEFRAMES timeframe, const
int OnInit()
{
g_data_synced = false;
g_anchor_start_idx = 0;
SetIndexBuffer(0, ExtZScoreBuffer, INDICATOR_DATA);
SetIndexBuffer(1, ExtColorsBuffer, INDICATOR_COLOR_INDEX);
@@ -85,8 +97,12 @@ int OnInit()
ArraySetAsSeries(ExtZScoreBuffer, false);
ArraySetAsSeries(ExtColorsBuffer, false);
// Configure shortname dynamically
string short_name = StringFormat("PairsTrade Pro(%s vs %s, %d)", InpSymbolA, InpSymbolB, InpLookback);
// Configure shortname dynamically based on mode
string anchor_name = EnumToString(InpAnchor);
string short_name = StringFormat("PairsTrade Pro(%s vs %s, %s)",
InpSymbolA, InpSymbolB,
(InpAnchor == ANCHOR_NONE ? (string)InpLookback : StringSubstr(anchor_name, 7)));
IndicatorSetString(INDICATOR_SHORTNAME, short_name);
IndicatorSetInteger(INDICATOR_DIGITS, 2);
@@ -124,6 +140,8 @@ int OnCalculate(const int rates_total,
const int &spread[])
{
int required_bars = InpLookback + 10;
if(InpAnchor != ANCHOR_NONE)
required_bars = 500; // Need larger history depth for monthly/weekly anchors
//--- Ensure both symbol histories are fully loaded in the terminal
if(!EnsureDataReady(InpSymbolA, _Period, required_bars) ||
@@ -160,30 +178,98 @@ int OnCalculate(const int rates_total,
g_sync_close_B[i] = (i > 0) ? g_sync_close_B[i-1] : close[i];
}
//--- 2. Calculate the rolling OLS Cointegration Z-Score
int calc_start = (prev_calculated == 0) ? InpLookback : prev_calculated - 1;
if(calc_start < InpLookback)
calc_start = InpLookback;
//--- 2. Calculate the dynamic OLS Cointegration Z-Score
int calc_start = (prev_calculated == 0) ? 1 : prev_calculated - 1;
if(calc_start < 1)
calc_start = 1;
for(int i = calc_start; i < rates_total; i++)
{
double z = g_calc.CalculateZScore(rates_total, i, g_sync_close_A, g_sync_close_B);
//--- A. Check if a new Anchor period has started (Stateful tracking)
bool new_period = false;
switch(InpAnchor)
{
case ANCHOR_SESSION:
{
MqlDateTime dt_curr, dt_prev;
TimeToStruct(time[i], dt_curr);
TimeToStruct(time[i-1], dt_prev);
if(dt_curr.day_of_year != dt_prev.day_of_year || dt_curr.year != dt_prev.year)
new_period = true;
break;
}
case ANCHOR_WEEK:
{
MqlDateTime dt_curr, dt_prev;
TimeToStruct(time[i], dt_curr);
TimeToStruct(time[i-1], dt_prev);
if(dt_curr.day_of_week < dt_prev.day_of_week)
new_period = true;
break;
}
case ANCHOR_MONTH:
{
MqlDateTime dt_curr, dt_prev;
TimeToStruct(time[i], dt_curr);
TimeToStruct(time[i-1], dt_prev);
if(dt_curr.mon != dt_prev.mon || dt_curr.year != dt_prev.year)
new_period = true;
break;
}
default:
break;
}
if(new_period)
{
g_anchor_start_idx = i;
}
//--- B. Compute the dynamic window size
int active_window_size = 0;
if(InpAnchor == ANCHOR_NONE)
{
active_window_size = InpLookback;
}
else
{
active_window_size = i - g_anchor_start_idx + 1;
}
//--- C. Calculate Z-Score
double z = g_calc.CalculateZScore(rates_total, i, active_window_size, g_sync_close_A, g_sync_close_B);
ExtZScoreBuffer[i] = z;
//--- 3. 5-Zone Thermal Color Mapping
if(z >= 2.0)
ExtColorsBuffer[i] = 2.0; // Index 2: OrangeRed (Sell Spread - Short A, Long B)
if(z == 0.0)
{
ExtColorsBuffer[i] = 0.0; // Seed/Unstable bars stay Gray
}
else
if(z >= 1.5)
ExtColorsBuffer[i] = 1.0; // Index 1: Coral (Sell Warning)
if(z >= 2.0)
{
ExtColorsBuffer[i] = 2.0; // Index 2: OrangeRed (Sell Spread)
}
else
if(z <= -2.0)
ExtColorsBuffer[i] = 4.0; // Index 4: DeepSkyBlue (Buy Spread - Long A, Short B)
if(z >= 1.5)
{
ExtColorsBuffer[i] = 1.0; // Index 1: Coral (Sell Warning)
}
else
if(z <= -1.5)
ExtColorsBuffer[i] = 3.0; // Index 3: LightSkyBlue (Buy Warning)
if(z <= -2.0)
{
ExtColorsBuffer[i] = 4.0; // Index 4: DeepSkyBlue (Buy Spread)
}
else
ExtColorsBuffer[i] = 0.0; // Index 0: Gray (Neutral Noise)
if(z <= -1.5)
{
ExtColorsBuffer[i] = 3.0; // Index 3: LightSkyBlue (Buy Warning)
}
else
{
ExtColorsBuffer[i] = 0.0; // Index 0: Gray (Neutral Noise)
}
}
return(rates_total);