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//+------------------------------------------------------------------+
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//| PairsTrading_Bands_Pro.mq5 |
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//| Copyright 2026, xxxxxxxx|
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2026, xxxxxxxx"
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#property version "1.00" // Non-repainting state-machine, O(1) optimized
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#property description "Wyckoff-style Cointegration Bands on Main Chart."
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#property description "Projects dynamic equilibrium line (Z=0) and trade bands (Z=+-2) on candles."
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#property indicator_chart_window
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#property indicator_buffers 3
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#property indicator_plots 3
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//--- Plot 1: Cointegrated Equilibrium Line (Fair Value / Z=0)
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#property indicator_label1 "Equilibrium Center"
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#property indicator_type1 DRAW_LINE
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#property indicator_color1 clrGold
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#property indicator_style1 STYLE_SOLID
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#property indicator_width1 2
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//--- Plot 2: Upper Cointegration Band (Z=+2.0 / Sell Spread Zone)
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#property indicator_label2 "Upper Band"
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#property indicator_type2 DRAW_LINE
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#property indicator_color2 clrCrimson
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#property indicator_style2 STYLE_DASH
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#property indicator_width2 1
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//--- Plot 3: Lower Cointegration Band (Z=-2.0 / Buy Spread Zone)
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#property indicator_label3 "Lower Band"
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#property indicator_type3 DRAW_LINE
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#property indicator_color3 clrDodgerBlue
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#property indicator_style3 STYLE_DASH
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#property indicator_width3 1
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//--- Anchored Timeframe Resets Enum
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enum ENUM_ANCHOR_PERIOD
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{
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ANCHOR_NONE, // Standard rolling window (InpLookback)
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ANCHOR_SESSION, // Reset every day (Daily VWAP style)
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ANCHOR_WEEK, // Reset every week (Weekly VWAP style)
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ANCHOR_MONTH, // Reset every month (Monthly VWAP style)
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ANCHOR_CUSTOM_SESSION // Reset based on custom broker-time start/end range
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};
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//--- Input Parameters
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input string InpSymbolA = "UKOIL"; // Symbol A (Main Chart Equivalent, e.g. UKOIL or BRENT)
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input string InpSymbolB = "USOIL"; // Symbol B (Benchmark, e.g. USOIL or WTI)
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input ENUM_ANCHOR_PERIOD InpAnchor = ANCHOR_NONE; // Dynamic Anchored Reset Period
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input int InpLookback = 120; // Rolling Window size (Used if Anchor = NONE)
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input string InpCustomStart = "09:00"; // Custom Session Start (HH:MM, Broker Time)
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input string InpCustomEnd = "18:00"; // Custom Session End (HH:MM, Broker Time)
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//--- Buffers
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double BufMiddle[];
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double BufUpper[];
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double BufLower[];
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//--- Aligned price arrays
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double g_sync_close_A[];
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double g_sync_close_B[];
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//--- Global Variables and State Tracking (O(1) safe)
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bool g_data_synced = false;
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int g_anchor_start_idx = 0; // Dynamic anchor index tracker
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//--- Parsed Custom Session hours
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int g_start_hour = 9;
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int g_start_min = 0;
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int g_end_hour = 18;
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int g_end_min = 0;
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//+------------------------------------------------------------------+
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//| EnsureDataReady (Multi-symbol history sync helper) |
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//+------------------------------------------------------------------+
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bool EnsureDataReady(const string symbol, const ENUM_TIMEFRAMES timeframe, const int required_bars)
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{
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ResetLastError();
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if(!SymbolInfoInteger(symbol, SYMBOL_SELECT))
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{
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SymbolSelect(symbol, true);
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}
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datetime times[];
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int copied = CopyTime(symbol, timeframe, 0, required_bars, times);
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return (copied >= required_bars);
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}
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//+------------------------------------------------------------------+
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//| IsTimeInSession |
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//| Determines if broker time is within custom active session |
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//+------------------------------------------------------------------+
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bool IsTimeInSession(datetime time_val, int start_hour, int start_min, int end_hour, int end_min)
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{
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MqlDateTime dt;
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TimeToStruct(time_val, dt);
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int current_min = dt.hour * 60 + dt.min;
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int start_total = start_hour * 60 + start_min;
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int end_total = end_hour * 60 + end_min;
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if(end_total < start_total) // Overlapping midnight session
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{
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return (current_min >= start_total || current_min < end_total);
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}
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else
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{
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return (current_min >= start_total && current_min < end_total);
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}
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}
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//+------------------------------------------------------------------+
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//| OnInit |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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g_data_synced = false;
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g_anchor_start_idx = 0;
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SetIndexBuffer(0, BufMiddle, INDICATOR_DATA);
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SetIndexBuffer(1, BufUpper, INDICATOR_DATA);
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SetIndexBuffer(2, BufLower, INDICATOR_DATA);
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ArraySetAsSeries(BufMiddle, false);
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ArraySetAsSeries(BufUpper, false);
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ArraySetAsSeries(BufLower, false);
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//--- Parse custom session times
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string parts[];
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if(StringSplit(InpCustomStart, ':', parts) == 2)
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{
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g_start_hour = (int)StringToInteger(parts[0]);
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g_start_min = (int)StringToInteger(parts[1]);
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}
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if(StringSplit(InpCustomEnd, ':', parts) == 2)
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{
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g_end_hour = (int)StringToInteger(parts[0]);
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g_end_min = (int)StringToInteger(parts[1]);
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}
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// Configure shortname dynamically based on mode
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string anchor_name = EnumToString(InpAnchor);
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string short_name = StringFormat("PairsBands Pro(%s vs %s, %s)",
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InpSymbolA, InpSymbolB,
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(InpAnchor == ANCHOR_NONE ? (string)InpLookback : StringSubstr(anchor_name, 7)));
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IndicatorSetString(INDICATOR_SHORTNAME, short_name);
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IndicatorSetInteger(INDICATOR_DIGITS, _Digits);
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return(INIT_SUCCEEDED);
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}
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//+------------------------------------------------------------------+
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//| OnCalculate |
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//+------------------------------------------------------------------+
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int OnCalculate(const int rates_total,
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const int prev_calculated,
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const datetime &time[],
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const double &open[],
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const double &high[],
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const double &low[],
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const double &close[],
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const long &tick_volume[],
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const long &volume[],
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const int &spread[])
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{
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int required_bars = InpLookback + 10;
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if(InpAnchor != ANCHOR_NONE)
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required_bars = 1000; // Need larger history depth for monthly/weekly/custom anchors
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//--- Ensure both symbol histories are fully loaded in the terminal
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if(!EnsureDataReady(InpSymbolA, _Period, required_bars) ||
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!EnsureDataReady(InpSymbolB, _Period, required_bars))
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{
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g_data_synced = false;
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return 0; // Wait for next tick to let history load
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}
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g_data_synced = true;
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//--- Get standalone default fallback values to ensure absolute chart independence
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double default_close_A = iClose(InpSymbolA, _Period, 0);
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double default_close_B = iClose(InpSymbolB, _Period, 0);
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//--- 1. Advanced Bar-Time Synchronization & Alignment Loop (O(1) incremental)
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ArrayResize(g_sync_close_A, rates_total);
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ArrayResize(g_sync_close_B, rates_total);
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int loop_start = (prev_calculated == 0) ? 0 : prev_calculated - 1;
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if(loop_start < 0)
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loop_start = 0;
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for(int i = loop_start; i < rates_total; i++)
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{
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// Sync Symbol A Price
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int shift_A = iBarShift(InpSymbolA, _Period, time[i], false);
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if(shift_A >= 0)
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g_sync_close_A[i] = iClose(InpSymbolA, _Period, shift_A);
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else
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g_sync_close_A[i] = (i > 0) ? g_sync_close_A[i-1] : default_close_A;
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// Sync Symbol B Price
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int shift_B = iBarShift(InpSymbolB, _Period, time[i], false);
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if(shift_B >= 0)
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g_sync_close_B[i] = iClose(InpSymbolB, _Period, shift_B);
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else
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g_sync_close_B[i] = (i > 0) ? g_sync_close_B[i-1] : default_close_B;
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}
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//--- 2. Calculate the rolling OLS Cointegration Bands
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int calc_start = (prev_calculated == 0) ? InpLookback : prev_calculated - 1;
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if(calc_start < InpLookback)
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calc_start = InpLookback;
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for(int i = calc_start; i < rates_total; i++)
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{
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//--- A. Filter out inactive hours if custom session anchor is selected
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if(InpAnchor == ANCHOR_CUSTOM_SESSION)
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{
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if(!IsTimeInSession(time[i], g_start_hour, g_start_min, g_end_hour, g_end_min))
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{
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BufMiddle[i] = EMPTY_VALUE;
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BufUpper[i] = EMPTY_VALUE;
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BufLower[i] = EMPTY_VALUE;
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continue;
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}
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}
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//--- B. Check if a new Anchor period has started (Stateful tracking)
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bool new_period = false;
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switch(InpAnchor)
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{
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case ANCHOR_SESSION:
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{
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MqlDateTime dt_curr, dt_prev;
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TimeToStruct(time[i], dt_curr);
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TimeToStruct(time[i-1], dt_prev);
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if(dt_curr.day_of_year != dt_prev.day_of_year || dt_curr.year != dt_prev.year)
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new_period = true;
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break;
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}
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case ANCHOR_WEEK:
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{
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MqlDateTime dt_curr, dt_prev;
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TimeToStruct(time[i], dt_curr);
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TimeToStruct(time[i-1], dt_prev);
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if(dt_curr.day_of_week < dt_prev.day_of_week)
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new_period = true;
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break;
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}
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case ANCHOR_MONTH:
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{
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MqlDateTime dt_curr, dt_prev;
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TimeToStruct(time[i], dt_curr);
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TimeToStruct(time[i-1], dt_prev);
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if(dt_curr.mon != dt_prev.mon || dt_curr.year != dt_prev.year)
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new_period = true;
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break;
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}
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case ANCHOR_CUSTOM_SESSION:
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{
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MqlDateTime dt_curr, dt_prev;
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TimeToStruct(time[i], dt_curr);
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TimeToStruct(time[i-1], dt_prev);
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int min_curr = dt_curr.hour * 60 + dt_curr.min;
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int min_prev = dt_prev.hour * 60 + dt_prev.min;
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int start_min = g_start_hour * 60 + g_start_min;
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bool day_changed = (dt_curr.day_of_year != dt_prev.day_of_year || dt_curr.year != dt_prev.year);
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if(day_changed)
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{
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if(min_curr >= start_min)
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new_period = true;
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}
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else
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{
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if(min_prev < start_min && min_curr >= start_min)
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new_period = true;
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}
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break;
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}
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default:
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break;
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}
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if(new_period)
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{
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g_anchor_start_idx = i;
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}
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//--- C. Compute the dynamic window size
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int active_window_size = 0;
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if(InpAnchor == ANCHOR_NONE)
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{
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active_window_size = InpLookback;
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}
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else
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{
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active_window_size = i - g_anchor_start_idx + 1;
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}
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if(active_window_size < 15)
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{
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BufMiddle[i] = close[i];
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BufUpper[i] = close[i];
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BufLower[i] = close[i];
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continue; // Wait for statistical significance
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}
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//--- D. Perform Rolling OLS (High-performance math)
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double sum_A = 0.0, sum_B = 0.0;
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for(int k = 0; k < active_window_size; k++)
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{
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int idx = i - active_window_size + 1 + k;
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sum_A += g_sync_close_A[idx];
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sum_B += g_sync_close_B[idx];
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}
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double mean_A = sum_A / active_window_size;
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double mean_B = sum_B / active_window_size;
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double sum_sq_diff_B = 0.0;
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double sum_prod_AB = 0.0;
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for(int k = 0; k < active_window_size; k++)
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{
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int idx = i - active_window_size + 1 + k;
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double diff_A = g_sync_close_A[idx] - mean_A;
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double diff_B = g_sync_close_B[idx] - mean_B;
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sum_sq_diff_B += diff_B * diff_B;
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sum_prod_AB += diff_A * diff_B;
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}
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double var_B = sum_sq_diff_B / (active_window_size - 1);
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double cov_AB = sum_prod_AB / (active_window_size - 1);
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if(var_B > 1.0e-9)
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{
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double beta = cov_AB / var_B;
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double alpha = mean_A - (beta * mean_B);
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// Calculate the rolling standard deviation of the spread (Mean is algebraically 0.0)
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double sum_sq_spread = 0.0;
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for(int k = 0; k < active_window_size; k++)
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{
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int idx = i - active_window_size + 1 + k;
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double spr = g_sync_close_A[idx] - (beta * g_sync_close_B[idx]) - alpha;
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sum_sq_spread += spr * spr;
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}
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double std_dev_spread = MathSqrt(sum_sq_spread / (active_window_size - 1));
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//--- E. Project Cointegration Bands directly onto the main price chart
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// Center Line (Z=0.0 Equilibrium): A_hat = beta * B_t + alpha
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double fair_price = beta * g_sync_close_B[i] + alpha;
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BufMiddle[i] = fair_price;
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BufUpper[i] = fair_price + 2.0 * std_dev_spread; // Z = +2.0
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BufLower[i] = fair_price - 2.0 * std_dev_spread; // Z = -2.0
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}
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else
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{
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BufMiddle[i] = close[i];
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BufUpper[i] = close[i];
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BufLower[i] = close[i];
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}
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}
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return(rates_total);
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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