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refactor: Upgraded to support any ENUM_MA_TYPE and volume integration

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Toh4iem9
2026-06-21 10:58:28 +02:00
parent 123473e9c7
commit 59c0e1baaf
1 changed files with 93 additions and 22 deletions
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Include/MyIncludes/ZScore_Calculator.mqh
+93 -22
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@@ -1,10 +1,14 @@
//+------------------------------------------------------------------+
//| ZScore_Calculator.mqh |
//| Engine for Statistical Z-Score Calculation. |
//| Standard Deviation distance from Moving Average. |
//| Standard Deviation distance from any Moving Average Type. |
//| Copyright 2026, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "1.40" // Upgraded to support any ENUM_MA_TYPE and volume integration
#ifndef ZSCORE_CALCULATOR_MQH
#define ZSCORE_CALCULATOR_MQH
#include <MyIncludes\MovingAverage_Engine.mqh>
@@ -16,12 +20,13 @@ class CZScoreCalculator
protected:
int m_period;
//--- Engine for Mean (SMA)
//--- Dynamic Engine for Mean (User selected MA Type)
CMovingAverageCalculator *m_ma_calc;
//--- Buffers
double m_price[];
double m_ma_buffer[];
double m_volume[];
virtual bool PreparePrice(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
@@ -29,12 +34,21 @@ public:
CZScoreCalculator();
virtual ~CZScoreCalculator();
bool Init(int period);
//--- Updated Init signature to accept dynamic MA type
bool Init(int period, ENUM_MA_TYPE ma_type);
//--- Standard Calculate (Without volume data)
void Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type,
const double &open[], const double &high[],
const double &low[], const double &close[],
double &out_z[]);
//--- Overloaded Calculate with Volume (Specifically for VWMA support)
void Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type,
const double &open[], const double &high[],
const double &low[], const double &close[],
const long &volume[],
double &out_z[]);
};
//+------------------------------------------------------------------+
@@ -49,27 +63,27 @@ CZScoreCalculator::CZScoreCalculator() : m_ma_calc(NULL)
//+------------------------------------------------------------------+
CZScoreCalculator::~CZScoreCalculator()
{
if(CheckPointer(m_ma_calc) == POINTER_DYNAMIC)
if(CheckPointer(m_ma_calc) != POINTER_INVALID)
delete m_ma_calc;
}
//+------------------------------------------------------------------+
//| Init |
//+------------------------------------------------------------------+
bool CZScoreCalculator::Init(int period)
bool CZScoreCalculator::Init(int period, ENUM_MA_TYPE ma_type)
{
m_period = (period < 2) ? 2 : period;
// Z-Score standard uses Simple Moving Average (SMA) for Mean
// Set up dynamic calculator engine based on selected MA type
m_ma_calc = new CMovingAverageCalculator();
if(!m_ma_calc.Init(m_period, SMA))
if(CheckPointer(m_ma_calc) == POINTER_INVALID || !m_ma_calc.Init(m_period, ma_type))
return false;
return true;
}
//+------------------------------------------------------------------+
//| Main Calculation |
//| Calculate (Standard - No Volume) |
//+------------------------------------------------------------------+
void CZScoreCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type,
const double &open[], const double &high[],
@@ -79,7 +93,7 @@ void CZScoreCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APP
if(rates_total < m_period)
return;
// 1. Resize Internal
// 1. Resize Internal Prices
if(ArraySize(m_price) != rates_total)
{
ArrayResize(m_price, rates_total);
@@ -87,14 +101,14 @@ void CZScoreCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APP
}
// 2. Prepare Price Array
if(!PreparePrice(rates_total, (prev_calculated>0 ? prev_calculated-1 : 0), price_type, open, high, low, close))
int start_prep = (prev_calculated > 0) ? prev_calculated - 1 : 0;
if(!PreparePrice(rates_total, start_prep, price_type, open, high, low, close))
return;
// 3. Calculate Mean (SMA)
// We run this on m_price array
m_ma_calc.CalculateOnArray(rates_total, prev_calculated, m_price, m_ma_buffer);
// 3. Calculate Mean (Using standard array calculation)
m_ma_calc.CalculateOnArray(rates_total, prev_calculated, m_price, m_ma_buffer, 0);
// 4. Calculate Z-Score
// 4. Calculate Z-Score Distance
int start_index = (prev_calculated > 0) ? prev_calculated - 1 : m_period - 1;
if(start_index < m_period - 1)
start_index = m_period - 1;
@@ -103,11 +117,6 @@ void CZScoreCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APP
{
double sum_sq = 0;
// Calculate Standard Deviation
// StdDev = Sqrt( Sum( (Price - Mean)^2 ) / N )
// Note: Using Population StdDev formula here (divide by N), typical in trading.
// Mean for this window is m_ma_buffer[i]
for(int k = 0; k < m_period; k++)
{
double diff = m_price[i - k] - m_ma_buffer[i];
@@ -116,7 +125,68 @@ void CZScoreCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APP
double std_dev = MathSqrt(sum_sq / m_period);
if(std_dev > 1.0e-9) // Anti-div-by-zero
if(std_dev > 1.0e-9) // Anti-division-by-zero guard
out_z[i] = (m_price[i] - m_ma_buffer[i]) / std_dev;
else
out_z[i] = 0.0;
}
}
//+------------------------------------------------------------------+
//| Calculate (Overloaded - With Volume for VWMA) |
//+------------------------------------------------------------------+
void CZScoreCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type,
const double &open[], const double &high[],
const double &low[], const double &close[],
const long &volume[],
double &out_z[])
{
if(rates_total < m_period)
return;
// 1. Resize Internal Buffers
if(ArraySize(m_price) != rates_total)
{
ArrayResize(m_price, rates_total);
ArrayResize(m_ma_buffer, rates_total);
}
if(ArraySize(m_volume) != rates_total)
{
ArrayResize(m_volume, rates_total);
}
// 2. Prepare Price Array
int start_prep = (prev_calculated > 0) ? prev_calculated - 1 : 0;
if(!PreparePrice(rates_total, start_prep, price_type, open, high, low, close))
return;
// 3. Prepare Volume Array
for(int i = start_prep; i < rates_total; i++)
{
m_volume[i] = (double)volume[i];
}
// 4. Calculate Mean (Using volume-based array calculation)
m_ma_calc.CalculateOnArray(rates_total, prev_calculated, m_price, m_volume, m_ma_buffer, 0);
// 5. Calculate Z-Score Distance
int start_index = (prev_calculated > 0) ? prev_calculated - 1 : m_period - 1;
if(start_index < m_period - 1)
start_index = m_period - 1;
for(int i = start_index; i < rates_total; i++)
{
double sum_sq = 0;
for(int k = 0; k < m_period; k++)
{
double diff = m_price[i - k] - m_ma_buffer[i];
sum_sq += diff * diff;
}
double std_dev = MathSqrt(sum_sq / m_period);
if(std_dev > 1.0e-9) // Anti-division-by-zero guard
out_z[i] = (m_price[i] - m_ma_buffer[i]) / std_dev;
else
out_z[i] = 0.0;
@@ -160,5 +230,6 @@ bool CZScoreCalculator::PreparePrice(int rates_total, int start_index, ENUM_APPL
}
return true;
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+
#endif // ZSCORE_CALCULATOR_MQH
//+------------------------------------------------------------------+