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refactor: Refactored with public getters for OLS parameters

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This commit is contained in:
Toh4iem9
2026-06-16 22:47:32 +02:00
parent 1935d267f4
commit 4eff5ff59f
1 changed files with 34 additions and 14 deletions
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Include/MyIncludes/PairsTrading_Calculator.mqh
+34 -14
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@@ -5,7 +5,7 @@
//| Copyright 2026, xxxxxxxx | //| Copyright 2026, xxxxxxxx |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx" #property copyright "Copyright 2026, xxxxxxxx"
#property version "1.10" // Added support for dynamic anchored window sizes #property version "1.20" // Refactored with public getters for OLS parameters
#ifndef PAIRS_TRADING_CALCULATOR_MQH #ifndef PAIRS_TRADING_CALCULATOR_MQH
#define PAIRS_TRADING_CALCULATOR_MQH #define PAIRS_TRADING_CALCULATOR_MQH
@@ -23,6 +23,11 @@ private:
double m_arr_B[]; double m_arr_B[];
double m_spread_history[]; double m_spread_history[];
//--- Persistent OLS parameters for get retrieval
double m_beta;
double m_alpha;
double m_std_dev_spread;
//--- Statistics helpers //--- Statistics helpers
double GetMean(const double &arr[], int size); double GetMean(const double &arr[], int size);
double GetVariance(const double &arr[], double mean, int size); double GetVariance(const double &arr[], double mean, int size);
@@ -34,15 +39,21 @@ public:
bool Init(int max_window); bool Init(int max_window);
//--- Upgraded: Accepts a dynamic window_size for VWAP-style anchored resets //--- Dynamic rolling OLS Z-Score calculation
double CalculateZScore(int rates_total, int current_index, int window_size, double CalculateZScore(int rates_total, int current_index, int window_size,
const double &sync_price_A[], const double &sync_price_B[]); const double &sync_price_A[], const double &sync_price_B[]);
//--- Public getters to share the calculated coefficients with the Band indicator
double GetBeta(void) const { return m_beta; }
double GetAlpha(void) const { return m_alpha; }
double GetStdDev(void) const { return m_std_dev_spread; }
}; };
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Constructor | //| Constructor |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
CPairsTradingCalculator::CPairsTradingCalculator() : m_max_window(120) {} CPairsTradingCalculator::CPairsTradingCalculator() :
m_max_window(120), m_beta(0.0), m_alpha(0.0), m_std_dev_spread(0.0) {}
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Init | //| Init |
@@ -59,9 +70,13 @@ bool CPairsTradingCalculator::Init(int max_window)
double CPairsTradingCalculator::CalculateZScore(int rates_total, int current_index, int window_size, double CPairsTradingCalculator::CalculateZScore(int rates_total, int current_index, int window_size,
const double &sync_price_A[], const double &sync_price_B[]) const double &sync_price_A[], const double &sync_price_B[])
{ {
// Safety 1: Enforce minimum of 15 bars for statistical significance on anchored starts
if(window_size < 15 || current_index < window_size) if(window_size < 15 || current_index < window_size)
{
m_beta = 0.0;
m_alpha = 0.0;
m_std_dev_spread = 0.0;
return 0.0; return 0.0;
}
//--- Dynamic array allocation based on the current active anchor size //--- Dynamic array allocation based on the current active anchor size
if(ArraySize(m_arr_A) != window_size) if(ArraySize(m_arr_A) != window_size)
@@ -88,30 +103,35 @@ double CPairsTradingCalculator::CalculateZScore(int rates_total, int current_ind
double cov_AB = GetCovariance(m_arr_A, mean_A, m_arr_B, mean_B, window_size); double cov_AB = GetCovariance(m_arr_A, mean_A, m_arr_B, mean_B, window_size);
if(var_B <= 1.0e-9) if(var_B <= 1.0e-9)
return 0.0; // Div-by-zero protection {
m_beta = 0.0;
m_alpha = 0.0;
m_std_dev_spread = 0.0;
return 0.0;
}
//--- Calculate OLS Rolling Hedge Ratio (Beta) and Intercept (Alpha) //--- Calculate OLS Rolling Hedge Ratio (Beta) and Intercept (Alpha)
double beta = cov_AB / var_B; m_beta = cov_AB / var_B;
double alpha = mean_A - (beta * mean_B); m_alpha = mean_A - (m_beta * mean_B);
//--- Calculate the historical spreads over the active window (Mean is algebraically 0.0) //--- Calculate the historical spreads over the active window
double sum_sq_spread = 0.0; double sum_sq_spread = 0.0;
for(int k = 0; k < window_size; k++) for(int k = 0; k < window_size; k++)
{ {
m_spread_history[k] = m_arr_A[k] - (beta * m_arr_B[k]) - alpha; m_spread_history[k] = m_arr_A[k] - (m_beta * m_arr_B[k]) - m_alpha;
sum_sq_spread += m_spread_history[k] * m_spread_history[k]; sum_sq_spread += m_spread_history[k] * m_spread_history[k];
} }
// Sample standard deviation of the active spread window // Sample standard deviation of the active spread window
double std_dev_spread = MathSqrt(sum_sq_spread / (window_size - 1)); m_std_dev_spread = MathSqrt(sum_sq_spread / (window_size - 1));
if(std_dev_spread <= 1.0e-9) if(m_std_dev_spread <= 1.0e-9)
return 0.0; // Protection against dead spreads return 0.0;
//--- Calculate the final current Z-Score //--- Calculate the final current Z-Score
double current_spread = sync_price_A[current_index] - (beta * sync_price_B[current_index]) - alpha; double current_spread = sync_price_A[current_index] - (m_beta * sync_price_B[current_index]) - m_alpha;
return current_spread / std_dev_spread; return current_spread / m_std_dev_spread;
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+