new files added

2026-07-27 20:47:44 +00:00 · 2026-02-04 14:35:41 +01:00
parent 8a2abe6946
commit 5bec577eb6
1 changed files with 164 additions and 0 deletions
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+//+------------------------------------------------------------------+
+//|                                          ZScore_Calculator.mqh   |
+//|      Engine for Statistical Z-Score Calculation.                 |
+//|      Standard Deviation distance from Moving Average.            |
+//|                                        Copyright 2026, xxxxxxxx  |
+//+------------------------------------------------------------------+
+#property copyright "Copyright 2026, xxxxxxxx"
+
+#include <MyIncludes\MovingAverage_Engine.mqh>
+
+//+==================================================================+
+//|             CLASS: CZScoreCalculator                             |
+//+==================================================================+
+class CZScoreCalculator
+  {
+protected:
+   int               m_period;
+
+   //--- Engine for Mean (SMA)
+   CMovingAverageCalculator *m_ma_calc;
+
+   //--- Buffers
+   double            m_price[];
+   double            m_ma_buffer[];
+
+   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[]);
+
+public:
+                     CZScoreCalculator();
+   virtual          ~CZScoreCalculator();
+
+   bool              Init(int period);
+
+   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[]);
+  };
+
+//+------------------------------------------------------------------+
+//| Constructor                                                      |
+//+------------------------------------------------------------------+
+CZScoreCalculator::CZScoreCalculator() : m_ma_calc(NULL)
+  {
+  }
+
+//+------------------------------------------------------------------+
+//| Destructor                                                       |
+//+------------------------------------------------------------------+
+CZScoreCalculator::~CZScoreCalculator()
+  {
+   if(CheckPointer(m_ma_calc) == POINTER_DYNAMIC)
+      delete m_ma_calc;
+  }
+
+//+------------------------------------------------------------------+
+//| Init                                                             |
+//+------------------------------------------------------------------+
+bool CZScoreCalculator::Init(int period)
+  {
+   m_period = (period < 2) ? 2 : period;
+
+// Z-Score standard uses Simple Moving Average (SMA) for Mean
+   m_ma_calc = new CMovingAverageCalculator();
+   if(!m_ma_calc.Init(m_period, SMA))
+      return false;
+
+   return true;
+  }
+
+//+------------------------------------------------------------------+
+//| Main Calculation                                                 |
+//+------------------------------------------------------------------+
+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[],
+                                  double &out_z[])
+  {
+   if(rates_total < m_period)
+      return;
+
+// 1. Resize Internal
+   if(ArraySize(m_price) != rates_total)
+     {
+      ArrayResize(m_price, rates_total);
+      ArrayResize(m_ma_buffer, rates_total);
+     }
+
+// 2. Prepare Price Array
+   if(!PreparePrice(rates_total, (prev_calculated>0 ? prev_calculated-1 : 0), 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);
+
+// 4. Calculate Z-Score
+   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;
+
+      // 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];
+         sum_sq += diff * diff;
+        }
+
+      double std_dev = MathSqrt(sum_sq / m_period);
+
+      if(std_dev > 1.0e-9) // Anti-div-by-zero
+         out_z[i] = (m_price[i] - m_ma_buffer[i]) / std_dev;
+      else
+         out_z[i] = 0.0;
+     }
+  }
+
+//+------------------------------------------------------------------+
+//| Prepare Value                                                    |
+//+------------------------------------------------------------------+
+bool CZScoreCalculator::PreparePrice(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
+  {
+   for(int i = start_index; i < rates_total; i++)
+     {
+      switch(price_type)
+        {
+         case PRICE_CLOSE:
+            m_price[i] = close[i];
+            break;
+         case PRICE_OPEN:
+            m_price[i] = open[i];
+            break;
+         case PRICE_HIGH:
+            m_price[i] = high[i];
+            break;
+         case PRICE_LOW:
+            m_price[i] = low[i];
+            break;
+         case PRICE_MEDIAN:
+            m_price[i] = (high[i]+low[i])*0.5;
+            break;
+         case PRICE_TYPICAL:
+            m_price[i] = (high[i]+low[i]+close[i])/3.0;
+            break;
+         case PRICE_WEIGHTED:
+            m_price[i] = (high[i]+low[i]+close[i]*2.0)*0.25;
+            break;
+         default:
+            m_price[i] = close[i];
+            break;
+        }
+     }
+   return true;
+  }
+//+------------------------------------------------------------------+
+//+------------------------------------------------------------------+