From 59c0e1baafca2ed24c6778dd2b51d45085c1230b Mon Sep 17 00:00:00 2001 From: Toh4iem9 Date: Sun, 21 Jun 2026 10:58:28 +0200 Subject: [PATCH] refactor: Upgraded to support any ENUM_MA_TYPE and volume integration --- Include/MyIncludes/ZScore_Calculator.mqh | 115 ++++++++++++++++++----- 1 file changed, 93 insertions(+), 22 deletions(-) diff --git a/Include/MyIncludes/ZScore_Calculator.mqh b/Include/MyIncludes/ZScore_Calculator.mqh index 04a2a21..69f02cd 100644 --- a/Include/MyIncludes/ZScore_Calculator.mqh +++ b/Include/MyIncludes/ZScore_Calculator.mqh @@ -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 @@ -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 +//+------------------------------------------------------------------+ \ No newline at end of file