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https://github.com/softwaredevelop/mql5.git
synced 2026-08-22 16:58:07 +00:00
refactor: Optimized with incremental benchmark alignment
This commit is contained in:
@@ -4,8 +4,8 @@
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//| Copyright 2026, xxxxxxxx |
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//| Copyright 2026, xxxxxxxx |
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2026, xxxxxxxx"
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#property copyright "Copyright 2026, xxxxxxxx"
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#property version "1.20" // Fixed Display Logic using Unified Buffer
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#property version "1.30" // Optimized with incremental benchmark alignment
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#property description "Rolling Alpha (Excess Return) or Beta (Volatility)."
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#property description "Rolling Alpha (Excess Return) or Beta (Volatility) aligned incrementally."
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#property indicator_separate_window
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#property indicator_separate_window
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#property indicator_buffers 2
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#property indicator_buffers 2
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@@ -32,6 +32,9 @@ input string InpForexBench = "DX"; // Forex Bench
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double BufDisplay[]; // The Visible Output
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double BufDisplay[]; // The Visible Output
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double BufColors[]; // The Color Index
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double BufColors[]; // The Color Index
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//--- Aligned benchmark close prices array
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double g_bench_close[];
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CMathStatisticsCalculator *g_stats;
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CMathStatisticsCalculator *g_stats;
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string g_bench_symbol;
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string g_bench_symbol;
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@@ -53,7 +56,6 @@ int OnInit()
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PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_HISTOGRAM);
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PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_HISTOGRAM);
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PlotIndexSetString(0, PLOT_LABEL, "Alpha");
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PlotIndexSetString(0, PLOT_LABEL, "Alpha");
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// Levels
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IndicatorSetDouble(INDICATOR_LEVELVALUE, 0, 0.0);
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IndicatorSetDouble(INDICATOR_LEVELVALUE, 0, 0.0);
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}
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}
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else // BETA
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else // BETA
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@@ -63,7 +65,6 @@ int OnInit()
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PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_LINE);
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PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_LINE);
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PlotIndexSetString(0, PLOT_LABEL, "Beta");
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PlotIndexSetString(0, PLOT_LABEL, "Beta");
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// Levels
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IndicatorSetDouble(INDICATOR_LEVELVALUE, 0, 1.0);
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IndicatorSetDouble(INDICATOR_LEVELVALUE, 0, 1.0);
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}
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}
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@@ -76,68 +77,86 @@ int OnInit()
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return(INIT_SUCCEEDED);
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return(INIT_SUCCEEDED);
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}
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}
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void OnDeinit(const int r) { if(CheckPointer(g_stats)==POINTER_DYNAMIC) delete g_stats; }
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//+------------------------------------------------------------------+
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//| Deinit |
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//+------------------------------------------------------------------+
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void OnDeinit(const int r)
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{
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if(CheckPointer(g_stats) == POINTER_DYNAMIC)
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delete g_stats;
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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//| Calculate |
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//| Calculate |
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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int OnCalculate(const int rates_total, const int prev_calculated, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[], const int &spread[])
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int OnCalculate(const int rates_total,
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const int prev_calculated,
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const datetime &time[],
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const double &open[],
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const double &high[],
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const double &low[],
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const double &close[],
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const long &tick_volume[],
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const long &volume[],
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const int &spread[])
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{
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{
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if(rates_total < InpLookback + 5)
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if(rates_total < InpLookback + 5)
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return 0;
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return 0;
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//--- 1. Incremental Benchmark Price Alignment (O(1) complexity per tick)
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ArrayResize(g_bench_close, rates_total);
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int loop_start_sync = (prev_calculated == 0) ? 0 : prev_calculated - 1;
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if(loop_start_sync < 0)
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loop_start_sync = 0;
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for(int i = loop_start_sync; i < rates_total; i++)
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{
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int shift = iBarShift(g_bench_symbol, _Period, time[i], false);
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if(shift >= 0)
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{
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g_bench_close[i] = iClose(g_bench_symbol, _Period, shift);
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}
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else
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{
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g_bench_close[i] = (i > 0) ? g_bench_close[i-1] : close[i];
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}
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}
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//--- 2. Main Stats Calculation
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int start = (prev_calculated > InpLookback) ? prev_calculated - 1 : InpLookback;
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int start = (prev_calculated > InpLookback) ? prev_calculated - 1 : InpLookback;
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for(int i = start; i < rates_total; i++)
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for(int i = start; i < rates_total; i++)
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{
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{
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// 1. Fetch Local Data
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// Extract Local Data (Optimized via lightning-fast ArrayCopy)
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double asset_sub[];
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double asset_sub[];
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ArrayResize(asset_sub, InpLookback);
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ArrayResize(asset_sub, InpLookback);
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for(int k=0; k<InpLookback; k++)
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if(ArrayCopy(asset_sub, close, 0, i - InpLookback + 1, InpLookback) < InpLookback)
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asset_sub[k] = close[i - InpLookback + 1 + k];
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// 2. Fetch Bench Data
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double bench_sub[];
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ArrayResize(bench_sub, InpLookback);
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bool data_ok = true;
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for(int k=0; k<InpLookback; k++)
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{
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{
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datetime t = time[i - InpLookback + 1 + k];
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BufDisplay[i] = 0.0;
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int b_idx = iBarShift(g_bench_symbol, Period(), t, false);
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if(b_idx < 0)
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{
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data_ok=false;
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break;
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}
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double vals[1];
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if(CopyClose(g_bench_symbol, Period(), b_idx, 1, vals)<=0)
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{
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data_ok=false;
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break;
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}
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bench_sub[k] = vals[0];
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}
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if(!data_ok)
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{
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BufDisplay[i]=0;
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continue;
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continue;
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}
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}
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// 3. Calc Returns
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// Extract Bench Data from pre-synchronized array (No redundant file/cache access!)
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double bench_sub[];
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ArrayResize(bench_sub, InpLookback);
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if(ArrayCopy(bench_sub, g_bench_close, 0, i - InpLookback + 1, InpLookback) < InpLookback)
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{
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BufDisplay[i] = 0.0;
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continue;
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}
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// Calc Returns
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double asset_ret[], bench_ret[];
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double asset_ret[], bench_ret[];
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g_stats.ComputeReturns(asset_sub, asset_ret);
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g_stats.ComputeReturns(asset_sub, asset_ret);
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g_stats.ComputeReturns(bench_sub, bench_ret);
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g_stats.ComputeReturns(bench_sub, bench_ret);
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double beta = g_stats.CalculateBeta(asset_ret, bench_ret);
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double beta = g_stats.CalculateBeta(asset_ret, bench_ret);
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// 4. Output Logic
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// Output Logic
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if(InpMode == MODE_BETA)
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if(InpMode == MODE_BETA)
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{
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{
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BufDisplay[i] = beta;
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BufDisplay[i] = beta;
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// Color Logic for Beta Line: Gold normally, maybe Red/Green if extreme?
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BufColors[i] = 3.0; // Gold line
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// Let's stick to Gold (Index 3 from property list)
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BufColors[i] = 3.0;
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}
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}
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else // ALPHA
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else // ALPHA
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{
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{
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@@ -148,12 +167,12 @@ int OnCalculate(const int rates_total, const int prev_calculated, const datetime
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BufDisplay[i] = alpha;
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BufDisplay[i] = alpha;
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if(alpha > 0)
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if(alpha > 0)
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BufColors[i] = 1.0; // Lime
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BufColors[i] = 1.0; // Lime
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else
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else
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if(alpha < 0)
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if(alpha < 0)
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BufColors[i] = 2.0; // Red
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BufColors[i] = 2.0; // Red
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else
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else
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BufColors[i] = 0.0;
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BufColors[i] = 0.0; // Gray
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}
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}
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}
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}
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@@ -161,11 +180,10 @@ int OnCalculate(const int rates_total, const int prev_calculated, const datetime
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}
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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//| |
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//| IsForexPair |
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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bool IsForexPair(string sym)
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bool IsForexPair(string sym)
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{
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{
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// Safety: If symbol IS one of the benchmarks, we don't classify it as generic forex pair here
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if(sym == InpBenchmark || sym == InpForexBench)
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if(sym == InpBenchmark || sym == InpForexBench)
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return false;
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return false;
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