diff --git a/Include/MyIncludes/ZScore_Calculator.mqh b/Include/MyIncludes/ZScore_Calculator.mqh new file mode 100644 index 0000000..04a2a21 --- /dev/null +++ b/Include/MyIncludes/ZScore_Calculator.mqh @@ -0,0 +1,164 @@ +//+------------------------------------------------------------------+ +//| ZScore_Calculator.mqh | +//| Engine for Statistical Z-Score Calculation. | +//| Standard Deviation distance from Moving Average. | +//| Copyright 2026, xxxxxxxx | +//+------------------------------------------------------------------+ +#property copyright "Copyright 2026, xxxxxxxx" + +#include + +//+==================================================================+ +//| 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; + } +//+------------------------------------------------------------------+ +//+------------------------------------------------------------------+