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refactor: Reorganized Weekly V-Score (v_score_week) strictly under the H1 Context Layer

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Toh4iem9
2026-07-26 15:52:22 +02:00
parent c98182658d
commit 4353aa3b3a
1 changed files with 30 additions and 19 deletions
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Scripts/MyScripts/Market_Scanner_Pro.mq5
+30 -19
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@@ -4,7 +4,7 @@
//| Copyright 2026, xxxxxxxx | //| Copyright 2026, xxxxxxxx |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx" #property copyright "Copyright 2026, xxxxxxxx"
#property version "10.38" // Restored live Symbol BID pricing and dynamic live/historical Murrey price routing #property version "10.38" // Reorganized Weekly V-Score (v_score_week) strictly under the H1 Context Layer
#property description "Exports 'QuantScan' dataset for LLM Analysis." #property description "Exports 'QuantScan' dataset for LLM Analysis."
#property description "Features High-Performance Object Caching and precise Historical Audits." #property description "Features High-Performance Object Caching and precise Historical Audits."
#property script_show_inputs #property script_show_inputs
@@ -76,18 +76,22 @@ input int InpSqueezeMom = 12;
input group "Output Settings" input group "Output Settings"
input int InpPrecision = 3; // Decimal places for CSV Output input int InpPrecision = 3; // Decimal places for CSV Output
//--- QuantData Struct //--- QuantData Struct (Updated Layout)
struct QuantData struct QuantData
{ {
string timestamp; string timestamp;
string symbol; string symbol;
double price; double price;
// H1 Context (Layer 1)
string alpha_str; string alpha_str;
string beta_str; string beta_str;
double vhf; double vhf;
double r2; double r2;
string zone; string zone;
double v_score_week; double v_score_week; // MOVED HERE (Since it calculates strictly on H1)
// M15 Flow (Layer 2)
double v_score_day; double v_score_day;
double autocorr; double autocorr;
double vol_regime; double vol_regime;
@@ -97,13 +101,19 @@ struct QuantData
double m15_r2; double m15_r2;
double dist_pdh; double dist_pdh;
double dist_pdl; double dist_pdl;
// M5 Trigger (Layer 3)
double velocity; double velocity;
double v_pressure; double v_pressure;
double vol_thrust; double vol_thrust;
double cost_atr; double cost_atr;
// Composites
string absorption; string absorption;
string mtf_align; string mtf_align;
string vwap_align; string vwap_align;
// TSI Hist Caches
double h1_tsi_hist; double h1_tsi_hist;
double m15_tsi_hist; double m15_tsi_hist;
double m5_tsi_hist; double m5_tsi_hist;
@@ -314,7 +324,13 @@ bool CMarketScanner::RunAnalysis(string sym, QuantData &data)
else else
data.zone = "N/A"; data.zone = "N/A";
// 5. TSI H1 Metrics (H1) // 5. V-Score Week (Using H1 data with correct h1_total parameter and idx_l1 index)
// MOVED HERE: Since this is evaluated strictly on the H1 Context Layer!
ArrayResize(m_temp_buf3, h1_total);
m_vscore_week.Calculate(h1_total, 0, slow_t, slow_o, slow_h, slow_l, slow_c, slow_v, slow_v, m_temp_buf3);
data.v_score_week = m_temp_buf3[idx_l1];
// 6. TSI H1 Metrics (H1)
ArrayResize(m_temp_buf1, h1_total); ArrayResize(m_temp_buf1, h1_total);
ArrayResize(m_temp_buf2, h1_total); ArrayResize(m_temp_buf2, h1_total);
ArrayResize(m_temp_buf3, h1_total); ArrayResize(m_temp_buf3, h1_total);
@@ -344,17 +360,12 @@ bool CMarketScanner::RunAnalysis(string sym, QuantData &data)
m_vscore_day.Calculate(m15_total, 0, mid_t, mid_o, mid_h, mid_l, mid_c, mid_v, mid_v, m_temp_buf2); m_vscore_day.Calculate(m15_total, 0, mid_t, mid_o, mid_h, mid_l, mid_c, mid_v, mid_v, m_temp_buf2);
data.v_score_day = m_temp_buf2[idx_l2]; data.v_score_day = m_temp_buf2[idx_l2];
// 3. V-Score Week (Using H1 data with correct h1_total parameter and idx_l1 index) // 3. Autocorrelation Lag-1 (M15)
ArrayResize(m_temp_buf3, h1_total);
m_vscore_week.Calculate(h1_total, 0, slow_t, slow_o, slow_h, slow_l, slow_c, slow_v, slow_v, m_temp_buf3);
data.v_score_week = m_temp_buf3[idx_l1];
// 4. Autocorrelation Lag-1 (M15)
ArrayResize(m_temp_buf2, m15_total); ArrayResize(m_temp_buf2, m15_total);
m_autocorr.Calculate(m15_total, 0, PRICE_CLOSE, mid_o, mid_h, mid_l, mid_c, m_temp_buf2); m_autocorr.Calculate(m15_total, 0, PRICE_CLOSE, mid_o, mid_h, mid_l, mid_c, m_temp_buf2);
data.autocorr = m_temp_buf2[idx_l2]; data.autocorr = m_temp_buf2[idx_l2];
// 5. Volatility Regime (M15) // 4. Volatility Regime (M15)
CATRCalculator atr_reg_calc; CATRCalculator atr_reg_calc;
double atr_fast_buf[], atr_slow_buf[]; double atr_fast_buf[], atr_slow_buf[];
atr_reg_calc.Init(5, ATR_POINTS); atr_reg_calc.Init(5, ATR_POINTS);
@@ -363,7 +374,7 @@ bool CMarketScanner::RunAnalysis(string sym, QuantData &data)
atr_reg_calc.Calculate(m15_total, 0, mid_o, mid_h, mid_l, mid_c, atr_slow_buf); atr_reg_calc.Calculate(m15_total, 0, mid_o, mid_h, mid_l, mid_c, atr_slow_buf);
data.vol_regime = (atr_slow_buf[idx_l2] != 0.0) ? (atr_fast_buf[idx_l2] / atr_slow_buf[idx_l2]) : 1.0; data.vol_regime = (atr_slow_buf[idx_l2] != 0.0) ? (atr_fast_buf[idx_l2] / atr_slow_buf[idx_l2]) : 1.0;
// 6. Squeeze (M15) // 5. Squeeze (M15)
double sqz_mom[], sqz_val[], sqz_col[]; double sqz_mom[], sqz_val[], sqz_col[];
ArrayResize(sqz_mom, m15_total); ArrayResize(sqz_mom, m15_total);
ArrayResize(sqz_val, m15_total); ArrayResize(sqz_val, m15_total);
@@ -372,7 +383,7 @@ bool CMarketScanner::RunAnalysis(string sym, QuantData &data)
data.sqz = (sqz_col[idx_l2] == 1.0) ? "ON" : "OFF"; data.sqz = (sqz_col[idx_l2] == 1.0) ? "ON" : "OFF";
data.sqz_mom = sqz_mom[idx_l2]; data.sqz_mom = sqz_mom[idx_l2];
// 7. VHF & R2 (M15) // 6. VHF & R2 (M15)
ArrayResize(m_temp_buf1, m15_total); ArrayResize(m_temp_buf1, m15_total);
m_vhf.Calculate(m15_total, 0, PRICE_CLOSE, mid_o, mid_h, mid_l, mid_c, m_temp_buf1); m_vhf.Calculate(m15_total, 0, PRICE_CLOSE, mid_o, mid_h, mid_l, mid_c, m_temp_buf1);
data.m15_vhf = m_temp_buf1[idx_l2]; data.m15_vhf = m_temp_buf1[idx_l2];
@@ -383,7 +394,7 @@ bool CMarketScanner::RunAnalysis(string sym, QuantData &data)
m_linreg.CalculateState(m15_total, 0, mid_o, mid_h, mid_l, mid_c, PRICE_CLOSE, m_temp_buf1, m_temp_buf2, m_temp_buf3); m_linreg.CalculateState(m15_total, 0, mid_o, mid_h, mid_l, mid_c, PRICE_CLOSE, m_temp_buf1, m_temp_buf2, m_temp_buf3);
data.m15_r2 = m_temp_buf2[idx_l2]; data.m15_r2 = m_temp_buf2[idx_l2];
// 8. Dist PDH / PDL (M15) // 7. Dist PDH / PDL (M15)
SessionLevels sl; SessionLevels sl;
if(m_sess.GetLevels(sym, mid_t[idx_l2], sl)) if(m_sess.GetLevels(sym, mid_t[idx_l2], sl))
{ {
@@ -396,14 +407,14 @@ bool CMarketScanner::RunAnalysis(string sym, QuantData &data)
data.dist_pdl = 0.0; data.dist_pdl = 0.0;
} }
// 9. TSI M15 (M15) // 8. TSI M15 (M15)
ArrayResize(m_temp_buf1, m15_total); ArrayResize(m_temp_buf1, m15_total);
ArrayResize(m_temp_buf2, m15_total); ArrayResize(m_temp_buf2, m15_total);
ArrayResize(m_temp_buf3, m15_total); ArrayResize(m_temp_buf3, m15_total);
m_tsi.Calculate(m15_total, 0, PRICE_CLOSE, mid_o, mid_h, mid_l, mid_c, m_temp_buf1, m_temp_buf2, m_temp_buf3); m_tsi.Calculate(m15_total, 0, PRICE_CLOSE, mid_o, mid_h, mid_l, mid_c, m_temp_buf1, m_temp_buf2, m_temp_buf3);
data.m15_tsi_hist = m_temp_buf1[idx_l2] - m_temp_buf2[idx_l2]; data.m15_tsi_hist = m_temp_buf1[idx_l2] - m_temp_buf2[idx_l2];
// 10. RVOL M15 for Thrust // 9. RVOL M15 for Thrust
double rvol_m15 = m_rvol.CalculateSingle(m15_total, mid_v, idx_l2); double rvol_m15 = m_rvol.CalculateSingle(m15_total, mid_v, idx_l2);
//---------------------------------------------------------------- //----------------------------------------------------------------
@@ -697,8 +708,8 @@ void OnStart()
StringReplace(str_fast, "PERIOD_", ""); StringReplace(str_fast, "PERIOD_", "");
string header = "TIME (" + InpBrokerTimeZone + ");SYMBOL;PRICE;"; string header = "TIME (" + InpBrokerTimeZone + ");SYMBOL;PRICE;";
header += StringFormat("ALPHA_%s;BETA_%s;VHF_%s;R2_%s;ZONE_%s;", str_slow, str_slow, str_slow, str_slow, str_slow); header += StringFormat("ALPHA_%s;BETA_%s;VHF_%s;R2_%s;ZONE_%s;V_SCORE_W1_%s;", str_slow, str_slow, str_slow, str_slow, str_slow, str_slow); // MOVED V_SCORE_W1 to H1 Context!
header += StringFormat("V_SCORE_W1_%s;V_SCORE_D1_%s;AUTOCORR_%s;VOL_REGIME_%s;SQZ_%s;SQZ_MOM_%s;VHF_%s;R2_%s;DIST_PDH;DIST_PDL;", str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid); header += StringFormat("V_SCORE_D1_%s;AUTOCORR_%s;VOL_REGIME_%s;SQZ_%s;SQZ_MOM_%s;VHF_%s;R2_%s;DIST_PDH;DIST_PDL;", str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid);
header += StringFormat("VEL_%s;V_PRES_%s;VOL_THRUST;COST_ATR_%s;", str_fast, str_fast, str_fast); header += StringFormat("VEL_%s;V_PRES_%s;VOL_THRUST;COST_ATR_%s;", str_fast, str_fast, str_fast);
header += "ABSORPTION;MTF_ALIGN;VWAP_ALIGN"; header += "ABSORPTION;MTF_ALIGN;VWAP_ALIGN";
@@ -716,7 +727,7 @@ void OnStart()
DoubleToString(results[i].vhf, InpPrecision), DoubleToString(results[i].vhf, InpPrecision),
DoubleToString(results[i].r2, InpPrecision), DoubleToString(results[i].r2, InpPrecision),
results[i].zone, results[i].zone,
DoubleToString(results[i].v_score_week, InpPrecision), DoubleToString(results[i].v_score_week, InpPrecision), // MOVED: Now writes directly after zone under H1
DoubleToString(results[i].v_score_day, InpPrecision), DoubleToString(results[i].v_score_day, InpPrecision),
DoubleToString(results[i].autocorr, InpPrecision), DoubleToString(results[i].autocorr, InpPrecision),
DoubleToString(results[i].vol_regime, InpPrecision), DoubleToString(results[i].vol_regime, InpPrecision),