diff --git a/Indicators/MyIndicators/Quant/PairsTrading_Bands_Pro.mq5 b/Indicators/MyIndicators/Quant/PairsTrading_Bands_Pro.mq5 new file mode 100644 index 0000000..d3e65cb --- /dev/null +++ b/Indicators/MyIndicators/Quant/PairsTrading_Bands_Pro.mq5 @@ -0,0 +1,367 @@ +//+------------------------------------------------------------------+ +//| PairsTrading_Bands_Pro.mq5 | +//| Copyright 2026, xxxxxxxx| +//+------------------------------------------------------------------+ +#property copyright "Copyright 2026, xxxxxxxx" +#property version "1.00" // Non-repainting state-machine, O(1) optimized +#property description "Wyckoff-style Cointegration Bands on Main Chart." +#property description "Projects dynamic equilibrium line (Z=0) and trade bands (Z=+-2) on candles." +#property indicator_chart_window +#property indicator_buffers 3 +#property indicator_plots 3 + +//--- Plot 1: Cointegrated Equilibrium Line (Fair Value / Z=0) +#property indicator_label1 "Equilibrium Center" +#property indicator_type1 DRAW_LINE +#property indicator_color1 clrGold +#property indicator_style1 STYLE_SOLID +#property indicator_width1 2 + +//--- Plot 2: Upper Cointegration Band (Z=+2.0 / Sell Spread Zone) +#property indicator_label2 "Upper Band" +#property indicator_type2 DRAW_LINE +#property indicator_color2 clrCrimson +#property indicator_style2 STYLE_DASH +#property indicator_width2 1 + +//--- Plot 3: Lower Cointegration Band (Z=-2.0 / Buy Spread Zone) +#property indicator_label3 "Lower Band" +#property indicator_type3 DRAW_LINE +#property indicator_color3 clrDodgerBlue +#property indicator_style3 STYLE_DASH +#property indicator_width3 1 + +//--- 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) + ANCHOR_CUSTOM_SESSION // Reset based on custom broker-time start/end range + }; + +//--- Input Parameters +input string InpSymbolA = "UKOIL"; // Symbol A (Main Chart Equivalent, e.g. UKOIL or BRENT) +input string InpSymbolB = "USOIL"; // Symbol B (Benchmark, e.g. USOIL or WTI) +input ENUM_ANCHOR_PERIOD InpAnchor = ANCHOR_NONE; // Dynamic Anchored Reset Period +input int InpLookback = 120; // Rolling Window size (Used if Anchor = NONE) +input string InpCustomStart = "09:00"; // Custom Session Start (HH:MM, Broker Time) +input string InpCustomEnd = "18:00"; // Custom Session End (HH:MM, Broker Time) + +//--- Buffers +double BufMiddle[]; +double BufUpper[]; +double BufLower[]; + +//--- Aligned price arrays +double g_sync_close_A[]; +double g_sync_close_B[]; + +//--- Global Variables and State Tracking (O(1) safe) +bool g_data_synced = false; +int g_anchor_start_idx = 0; // Dynamic anchor index tracker + +//--- Parsed Custom Session hours +int g_start_hour = 9; +int g_start_min = 0; +int g_end_hour = 18; +int g_end_min = 0; + +//+------------------------------------------------------------------+ +//| EnsureDataReady (Multi-symbol history sync helper) | +//+------------------------------------------------------------------+ +bool EnsureDataReady(const string symbol, const ENUM_TIMEFRAMES timeframe, const int required_bars) + { + ResetLastError(); + if(!SymbolInfoInteger(symbol, SYMBOL_SELECT)) + { + SymbolSelect(symbol, true); + } + datetime times[]; + int copied = CopyTime(symbol, timeframe, 0, required_bars, times); + return (copied >= required_bars); + } + +//+------------------------------------------------------------------+ +//| IsTimeInSession | +//| Determines if broker time is within custom active session | +//+------------------------------------------------------------------+ +bool IsTimeInSession(datetime time_val, int start_hour, int start_min, int end_hour, int end_min) + { + MqlDateTime dt; + TimeToStruct(time_val, dt); + int current_min = dt.hour * 60 + dt.min; + int start_total = start_hour * 60 + start_min; + int end_total = end_hour * 60 + end_min; + + if(end_total < start_total) // Overlapping midnight session + { + return (current_min >= start_total || current_min < end_total); + } + else + { + return (current_min >= start_total && current_min < end_total); + } + } + +//+------------------------------------------------------------------+ +//| OnInit | +//+------------------------------------------------------------------+ +int OnInit() + { + g_data_synced = false; + g_anchor_start_idx = 0; + + SetIndexBuffer(0, BufMiddle, INDICATOR_DATA); + SetIndexBuffer(1, BufUpper, INDICATOR_DATA); + SetIndexBuffer(2, BufLower, INDICATOR_DATA); + + ArraySetAsSeries(BufMiddle, false); + ArraySetAsSeries(BufUpper, false); + ArraySetAsSeries(BufLower, false); + +//--- Parse custom session times + string parts[]; + if(StringSplit(InpCustomStart, ':', parts) == 2) + { + g_start_hour = (int)StringToInteger(parts[0]); + g_start_min = (int)StringToInteger(parts[1]); + } + if(StringSplit(InpCustomEnd, ':', parts) == 2) + { + g_end_hour = (int)StringToInteger(parts[0]); + g_end_min = (int)StringToInteger(parts[1]); + } + +// Configure shortname dynamically based on mode + string anchor_name = EnumToString(InpAnchor); + string short_name = StringFormat("PairsBands Pro(%s vs %s, %s)", + InpSymbolA, InpSymbolB, + (InpAnchor == ANCHOR_NONE ? (string)InpLookback : StringSubstr(anchor_name, 7))); + + IndicatorSetString(INDICATOR_SHORTNAME, short_name); + IndicatorSetInteger(INDICATOR_DIGITS, _Digits); + + return(INIT_SUCCEEDED); + } + +//+------------------------------------------------------------------+ +//| OnCalculate | +//+------------------------------------------------------------------+ +int OnCalculate(const int rates_total, + const int prev_calculated, + const datetime &time[], + const double &open[], + const double &high[], + const double &low[], + const double &close[], + const long &tick_volume[], + const long &volume[], + const int &spread[]) + { + int required_bars = InpLookback + 10; + if(InpAnchor != ANCHOR_NONE) + required_bars = 1000; // Need larger history depth for monthly/weekly/custom anchors + +//--- Ensure both symbol histories are fully loaded in the terminal + if(!EnsureDataReady(InpSymbolA, _Period, required_bars) || + !EnsureDataReady(InpSymbolB, _Period, required_bars)) + { + g_data_synced = false; + return 0; // Wait for next tick to let history load + } + + g_data_synced = true; + +//--- Get standalone default fallback values to ensure absolute chart independence + double default_close_A = iClose(InpSymbolA, _Period, 0); + double default_close_B = iClose(InpSymbolB, _Period, 0); + +//--- 1. Advanced Bar-Time Synchronization & Alignment Loop (O(1) incremental) + ArrayResize(g_sync_close_A, rates_total); + ArrayResize(g_sync_close_B, rates_total); + + int loop_start = (prev_calculated == 0) ? 0 : prev_calculated - 1; + if(loop_start < 0) + loop_start = 0; + + for(int i = loop_start; i < rates_total; i++) + { + // Sync Symbol A Price + int shift_A = iBarShift(InpSymbolA, _Period, time[i], false); + if(shift_A >= 0) + g_sync_close_A[i] = iClose(InpSymbolA, _Period, shift_A); + else + g_sync_close_A[i] = (i > 0) ? g_sync_close_A[i-1] : default_close_A; + + // Sync Symbol B Price + int shift_B = iBarShift(InpSymbolB, _Period, time[i], false); + if(shift_B >= 0) + g_sync_close_B[i] = iClose(InpSymbolB, _Period, shift_B); + else + g_sync_close_B[i] = (i > 0) ? g_sync_close_B[i-1] : default_close_B; + } + +//--- 2. Calculate the rolling OLS Cointegration Bands + int calc_start = (prev_calculated == 0) ? InpLookback : prev_calculated - 1; + if(calc_start < InpLookback) + calc_start = InpLookback; + + for(int i = calc_start; i < rates_total; i++) + { + //--- A. Filter out inactive hours if custom session anchor is selected + if(InpAnchor == ANCHOR_CUSTOM_SESSION) + { + if(!IsTimeInSession(time[i], g_start_hour, g_start_min, g_end_hour, g_end_min)) + { + BufMiddle[i] = EMPTY_VALUE; + BufUpper[i] = EMPTY_VALUE; + BufLower[i] = EMPTY_VALUE; + continue; + } + } + + //--- B. 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; + } + case ANCHOR_CUSTOM_SESSION: + { + MqlDateTime dt_curr, dt_prev; + TimeToStruct(time[i], dt_curr); + TimeToStruct(time[i-1], dt_prev); + + int min_curr = dt_curr.hour * 60 + dt_curr.min; + int min_prev = dt_prev.hour * 60 + dt_prev.min; + int start_min = g_start_hour * 60 + g_start_min; + + bool day_changed = (dt_curr.day_of_year != dt_prev.day_of_year || dt_curr.year != dt_prev.year); + + if(day_changed) + { + if(min_curr >= start_min) + new_period = true; + } + else + { + if(min_prev < start_min && min_curr >= start_min) + new_period = true; + } + break; + } + default: + break; + } + + if(new_period) + { + g_anchor_start_idx = i; + } + + //--- C. 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; + } + + if(active_window_size < 15) + { + BufMiddle[i] = close[i]; + BufUpper[i] = close[i]; + BufLower[i] = close[i]; + continue; // Wait for statistical significance + } + + //--- D. Perform Rolling OLS (High-performance math) + double sum_A = 0.0, sum_B = 0.0; + for(int k = 0; k < active_window_size; k++) + { + int idx = i - active_window_size + 1 + k; + sum_A += g_sync_close_A[idx]; + sum_B += g_sync_close_B[idx]; + } + double mean_A = sum_A / active_window_size; + double mean_B = sum_B / active_window_size; + + double sum_sq_diff_B = 0.0; + double sum_prod_AB = 0.0; + for(int k = 0; k < active_window_size; k++) + { + int idx = i - active_window_size + 1 + k; + double diff_A = g_sync_close_A[idx] - mean_A; + double diff_B = g_sync_close_B[idx] - mean_B; + sum_sq_diff_B += diff_B * diff_B; + sum_prod_AB += diff_A * diff_B; + } + double var_B = sum_sq_diff_B / (active_window_size - 1); + double cov_AB = sum_prod_AB / (active_window_size - 1); + + if(var_B > 1.0e-9) + { + double beta = cov_AB / var_B; + double alpha = mean_A - (beta * mean_B); + + // Calculate the rolling standard deviation of the spread (Mean is algebraically 0.0) + double sum_sq_spread = 0.0; + for(int k = 0; k < active_window_size; k++) + { + int idx = i - active_window_size + 1 + k; + double spr = g_sync_close_A[idx] - (beta * g_sync_close_B[idx]) - alpha; + sum_sq_spread += spr * spr; + } + double std_dev_spread = MathSqrt(sum_sq_spread / (active_window_size - 1)); + + //--- E. Project Cointegration Bands directly onto the main price chart + // Center Line (Z=0.0 Equilibrium): A_hat = beta * B_t + alpha + double fair_price = beta * g_sync_close_B[i] + alpha; + + BufMiddle[i] = fair_price; + BufUpper[i] = fair_price + 2.0 * std_dev_spread; // Z = +2.0 + BufLower[i] = fair_price - 2.0 * std_dev_spread; // Z = -2.0 + } + else + { + BufMiddle[i] = close[i]; + BufUpper[i] = close[i]; + BufLower[i] = close[i]; + } + } + + return(rates_total); + } +//+------------------------------------------------------------------+ +//+------------------------------------------------------------------+