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refactor: Refactored with single comparison symbol and hybrid block-copy alignment

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This commit is contained in:
Toh4iem9
2026-06-20 08:56:32 +02:00
parent 720c6dd465
commit 5ced198001
1 changed files with 39 additions and 29 deletions
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Indicators/MyIndicators/Quant/PairsTrading_MTF_Pro.mq5
+39 -29
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@@ -3,14 +3,14 @@
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "1.11" // Fixed h_time, new_period and array-index variables in MTF Z-Score
#property version "1.20" // Refactored with single comparison symbol and hybrid block-copy alignment
#property description "Universal Dynamic & Anchored Cointegration (Z-Score) Monitor."
#property description "Displays Higher Timeframe Cointegration Z-Score directly on lower TF chart."
#property indicator_separate_window
#property indicator_buffers 2
#property indicator_plots 1
//--- FIXED: Standardized window limits to prevent single-spike scale squishing!
//--- Standardized window limits to prevent single-spike scale squishing!
#property indicator_minimum -3.5
#property indicator_maximum 3.5
@@ -51,13 +51,12 @@ enum ENUM_ANCHOR_PERIOD
};
//--- Input Parameters
input string InpSymbolA = "UKOIL"; // Symbol A (e.g. UKOIL or BRENT)
input string InpSymbolB = "USOIL"; // Symbol B (Benchmark, e.g. USOIL or WTI)
input string InpSecondSymbol = "USOIL"; // Comparison Symbol (Symbol B)
input ENUM_TIMEFRAMES InpTimeframe = PERIOD_M5; // Target Higher Timeframe (Recommended: Higher than Chart)
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)
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 ExtZScoreBuffer[];
@@ -130,6 +129,16 @@ int OnInit()
g_htf_count = 0;
g_htf_anchor_start = 0;
//--- Verify if the secondary comparison symbol exists in broker offerings
bool is_custom = false;
if(!SymbolExist(InpSecondSymbol, is_custom))
{
string err_msg = StringFormat("PairsTrading MTF Error: Symbol '%s' does not exist in your broker's database!", InpSecondSymbol);
Alert(err_msg);
Print(err_msg);
return(INIT_FAILED);
}
SetIndexBuffer(0, ExtZScoreBuffer, INDICATOR_DATA);
SetIndexBuffer(1, ExtColorsBuffer, INDICATOR_COLOR_INDEX);
@@ -153,7 +162,7 @@ int OnInit()
string anchor_name = EnumToString(InpAnchor);
string tf_name = StringSubstr(EnumToString(InpTimeframe), 7);
string short_name = StringFormat("PairsTrade MTF(%s vs %s, %s, %s)",
InpSymbolA, InpSymbolB, tf_name,
_Symbol, InpSecondSymbol, tf_name,
(InpAnchor == ANCHOR_NONE ? (string)InpLookback : StringSubstr(anchor_name, 7)));
IndicatorSetString(INDICATOR_SHORTNAME, short_name);
@@ -175,7 +184,7 @@ int OnInit()
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
if(CheckPointer(g_calc) == POINTER_DYNAMIC)
if(CheckPointer(g_calc) != POINTER_INVALID)
delete g_calc;
}
@@ -198,8 +207,8 @@ int OnCalculate(const int rates_total,
required_bars = 1000; // Need larger history depth for monthly/weekly/custom anchors
//--- Ensure both symbol histories are fully loaded on the HTF in the terminal
if(!EnsureHTFDataReady(InpSymbolA, InpTimeframe, required_bars) ||
!EnsureHTFDataReady(InpSymbolB, InpTimeframe, required_bars))
if(!EnsureHTFDataReady(_Symbol, InpTimeframe, required_bars) ||
!EnsureHTFDataReady(InpSecondSymbol, InpTimeframe, required_bars))
{
g_data_ready = false;
return 0; // Wait for next tick to let history load
@@ -233,21 +242,22 @@ int OnCalculate(const int rates_total,
return 0;
}
//--- 2. High-Performance Linear Price Alignment on the HTF Timeline
double default_close_A = iClose(InpSymbolA, InpTimeframe, 0);
double default_close_B = iClose(InpSymbolB, InpTimeframe, 0);
//--- 2. High-Performance Hybrid Price Alignment on the HTF Timeline
//--- Step A: Copy chart native symbol close prices via ultra-fast block copy
if(CopyClose(_Symbol, InpTimeframe, 0, g_htf_count, h_close_A) != g_htf_count)
{
g_data_ready = false;
return 0;
}
//--- Step B: Sync comparison symbol prices via time-aligned fallback loop
double default_close_B = iClose(InpSecondSymbol, InpTimeframe, 0);
for(int j = 0; j < g_htf_count; j++)
{
int shift_A = iBarShift(InpSymbolA, InpTimeframe, h_time[j], false);
if(shift_A >= 0)
h_close_A[j] = iClose(InpSymbolA, InpTimeframe, shift_A);
else
h_close_A[j] = (j > 0) ? h_close_A[j-1] : default_close_A;
int shift_B = iBarShift(InpSymbolB, InpTimeframe, h_time[j], false);
int shift_B = iBarShift(InpSecondSymbol, InpTimeframe, h_time[j], false);
if(shift_B >= 0)
h_close_B[j] = iClose(InpSymbolB, InpTimeframe, shift_B);
h_close_B[j] = iClose(InpSecondSymbol, InpTimeframe, shift_B);
else
h_close_B[j] = (j > 0) ? h_close_B[j-1] : default_close_B;
}
@@ -296,14 +306,14 @@ int OnCalculate(const int rates_total,
TimeToStruct(h_time[j], dt_curr);
TimeToStruct(h_time[j-1], dt_prev);
if(dt_curr.mon != dt_prev.mon || dt_curr.year != dt_prev.year)
htf_new_period = true; // FIXED: corrected typo from new_period
htf_new_period = true;
break;
}
case ANCHOR_CUSTOM_SESSION:
{
MqlDateTime dt_curr, dt_prev;
TimeToStruct(h_time[j], dt_curr); // FIXED: aligned strictly to HTF times
TimeToStruct(h_time[j-1], dt_prev); // FIXED: aligned strictly to HTF times
TimeToStruct(h_time[j], dt_curr);
TimeToStruct(h_time[j-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;
@@ -353,12 +363,12 @@ int OnCalculate(const int rates_total,
double single_c_A[1], single_c_B[1];
// Synchronized live price copying from the forming HTF bar 0
int shift_A = iBarShift(InpSymbolA, InpTimeframe, htf_time_current, false);
int shift_B = iBarShift(InpSymbolB, InpTimeframe, htf_time_current, false);
int shift_A = iBarShift(_Symbol, InpTimeframe, htf_time_current, false);
int shift_B = iBarShift(InpSecondSymbol, InpTimeframe, htf_time_current, false);
if(shift_A >= 0 && shift_B >= 0 &&
CopyClose(InpSymbolA, InpTimeframe, shift_A, 1, single_c_A) == 1 &&
CopyClose(InpSymbolB, InpTimeframe, shift_B, 1, single_c_B) == 1)
CopyClose(_Symbol, InpTimeframe, shift_A, 1, single_c_A) == 1 &&
CopyClose(InpSecondSymbol, InpTimeframe, shift_B, 1, single_c_B) == 1)
{
h_close_A[live_idx] = single_c_A[0];
h_close_B[live_idx] = single_c_B[0];