From 64b130330858c516c76c8c8b60d7d9f620750d6f Mon Sep 17 00:00:00 2001 From: Toh4iem9 Date: Sat, 20 Jun 2026 11:27:16 +0200 Subject: [PATCH] refactor: Upgraded to 3 dynamic Z-Score bands (7-channel layout) --- .../Quant/PairsTrading_Bands_Pro.mq5 | 90 ++++++++++++------- 1 file changed, 60 insertions(+), 30 deletions(-) diff --git a/Indicators/MyIndicators/Quant/PairsTrading_Bands_Pro.mq5 b/Indicators/MyIndicators/Quant/PairsTrading_Bands_Pro.mq5 index d56282e..349248f 100644 --- a/Indicators/MyIndicators/Quant/PairsTrading_Bands_Pro.mq5 +++ b/Indicators/MyIndicators/Quant/PairsTrading_Bands_Pro.mq5 @@ -3,12 +3,12 @@ //| Copyright 2026, xxxxxxxx| //+------------------------------------------------------------------+ #property copyright "Copyright 2026, xxxxxxxx" -#property version "1.40" // Refactored with single comparison symbol and O(1) chart-native access +#property version "1.50" // Upgraded to 3 dynamic Z-Score bands (7-channel layout) #property description "Wyckoff-style Cointegration Bands on Main Chart." -#property description "Projects dynamic equilibrium line (Z=0), warning (Z=+-1.5) and extreme (Z=+-2.0) bands." +#property description "Projects dynamic equilibrium line (Z=0), warning (Z=+-1.5), extreme (Z=+-2.0) and reversal (Z=+-2.5) bands." #property indicator_chart_window -#property indicator_buffers 5 -#property indicator_plots 5 +#property indicator_buffers 7 +#property indicator_plots 7 //--- Plot 1: Cointegrated Equilibrium Line (Fair Value / Z=0) #property indicator_label1 "Equilibrium Center" @@ -45,6 +45,20 @@ #property indicator_style5 STYLE_DOT #property indicator_width5 1 +//--- Plot 6: Upper Extreme Band (Z = Stop/Reversal Zone) +#property indicator_label6 "Upper Extreme Band" +#property indicator_type6 DRAW_LINE +#property indicator_color6 clrCrimson +#property indicator_style6 STYLE_SOLID +#property indicator_width6 1 + +//--- Plot 7: Lower Extreme Band (Z = Stop/Reversal Zone) +#property indicator_label7 "Lower Extreme Band" +#property indicator_type7 DRAW_LINE +#property indicator_color7 clrDodgerBlue +#property indicator_style7 STYLE_SOLID +#property indicator_width7 1 + #include //--- Anchored Timeframe Resets Enum @@ -64,12 +78,14 @@ input int InpLookback = 120; // Rolling Window s input string InpCustomStart = "09:00"; // Custom Session Start (HH:MM, Broker Time) input string InpCustomEnd = "18:00"; // Custom Session End (HH:MM, Broker Time) -//--- Dynamic Channel Options +//--- Dynamic Channel Options (3 distinct Z-Score levels) input bool InpDrawCenterLine = true; // Draw Center Equilibrium Line? input bool InpDrawInnerBands = true; // Draw Inner (Warning) Bands? input double InpInnerMultiplier = 1.5; // Inner Band Z-Score Multiplier input bool InpDrawOuterBands = true; // Draw Outer (Extreme) Bands? input double InpOuterMultiplier = 2.0; // Outer Band Z-Score Multiplier +input bool InpDrawExtremeBands = true; // Draw Extreme (Reversal) Bands? +input double InpExtremeMultiplier = 2.5; // Extreme Band Z-Score Multiplier //--- Buffers double BufMiddle[]; @@ -77,6 +93,8 @@ double BufUpperOuter[]; double BufLowerOuter[]; double BufUpperInner[]; double BufLowerInner[]; +double BufUpperExtreme[]; +double BufLowerExtreme[]; //--- Aligned price arrays double g_sync_close_A[]; @@ -147,17 +165,21 @@ int OnInit() return(INIT_FAILED); } - SetIndexBuffer(0, BufMiddle, INDICATOR_DATA); - SetIndexBuffer(1, BufUpperOuter, INDICATOR_DATA); - SetIndexBuffer(2, BufLowerOuter, INDICATOR_DATA); - SetIndexBuffer(3, BufUpperInner, INDICATOR_DATA); - SetIndexBuffer(4, BufLowerInner, INDICATOR_DATA); + SetIndexBuffer(0, BufMiddle, INDICATOR_DATA); + SetIndexBuffer(1, BufUpperOuter, INDICATOR_DATA); + SetIndexBuffer(2, BufLowerOuter, INDICATOR_DATA); + SetIndexBuffer(3, BufUpperInner, INDICATOR_DATA); + SetIndexBuffer(4, BufLowerInner, INDICATOR_DATA); + SetIndexBuffer(5, BufUpperExtreme, INDICATOR_DATA); + SetIndexBuffer(6, BufLowerExtreme, INDICATOR_DATA); - ArraySetAsSeries(BufMiddle, false); - ArraySetAsSeries(BufUpperOuter, false); - ArraySetAsSeries(BufLowerOuter, false); - ArraySetAsSeries(BufUpperInner, false); - ArraySetAsSeries(BufLowerInner, false); + ArraySetAsSeries(BufMiddle, false); + ArraySetAsSeries(BufUpperOuter, false); + ArraySetAsSeries(BufLowerOuter, false); + ArraySetAsSeries(BufUpperInner, false); + ArraySetAsSeries(BufLowerInner, false); + ArraySetAsSeries(BufUpperExtreme, false); + ArraySetAsSeries(BufLowerExtreme, false); //--- Parse custom session times string parts[]; @@ -269,11 +291,13 @@ int OnCalculate(const int rates_total, { if(!IsTimeInSession(time[i], g_start_hour, g_start_min, g_end_hour, g_end_min)) { - BufMiddle[i] = EMPTY_VALUE; - BufUpperOuter[i] = EMPTY_VALUE; - BufLowerOuter[i] = EMPTY_VALUE; - BufUpperInner[i] = EMPTY_VALUE; - BufLowerInner[i] = EMPTY_VALUE; + BufMiddle[i] = EMPTY_VALUE; + BufUpperOuter[i] = EMPTY_VALUE; + BufLowerOuter[i] = EMPTY_VALUE; + BufUpperInner[i] = EMPTY_VALUE; + BufLowerInner[i] = EMPTY_VALUE; + BufUpperExtreme[i] = EMPTY_VALUE; + BufLowerExtreme[i] = EMPTY_VALUE; continue; } } @@ -367,23 +391,29 @@ int OnCalculate(const int rates_total, // Center Line (Z=0.0 Equilibrium): A_hat = beta * B_t + alpha double fair_price = beta * g_sync_close_B[i] + alpha; - BufMiddle[i] = InpDrawCenterLine ? fair_price : EMPTY_VALUE; + BufMiddle[i] = InpDrawCenterLine ? fair_price : EMPTY_VALUE; // Outer extreme bands (Default Z = +-2.0) - BufUpperOuter[i] = InpDrawOuterBands ? (fair_price + InpOuterMultiplier * std_dev) : EMPTY_VALUE; - BufLowerOuter[i] = InpDrawOuterBands ? (fair_price - InpOuterMultiplier * std_dev) : EMPTY_VALUE; + BufUpperOuter[i] = InpDrawOuterBands ? (fair_price + InpOuterMultiplier * std_dev) : EMPTY_VALUE; + BufLowerOuter[i] = InpDrawOuterBands ? (fair_price - InpOuterMultiplier * std_dev) : EMPTY_VALUE; // Inner warning bands (Default Z = +-1.5) - BufUpperInner[i] = InpDrawInnerBands ? (fair_price + InpInnerMultiplier * std_dev) : EMPTY_VALUE; - BufLowerInner[i] = InpDrawInnerBands ? (fair_price - InpInnerMultiplier * std_dev) : EMPTY_VALUE; + BufUpperInner[i] = InpDrawInnerBands ? (fair_price + InpInnerMultiplier * std_dev) : EMPTY_VALUE; + BufLowerInner[i] = InpDrawInnerBands ? (fair_price - InpInnerMultiplier * std_dev) : EMPTY_VALUE; + + // Extreme Outer bands (Default Z = +-2.5) + BufUpperExtreme[i] = InpDrawExtremeBands ? (fair_price + InpExtremeMultiplier * std_dev) : EMPTY_VALUE; + BufLowerExtreme[i] = InpDrawExtremeBands ? (fair_price - InpExtremeMultiplier * std_dev) : EMPTY_VALUE; } else { - BufMiddle[i] = close[i]; - BufUpperOuter[i] = close[i]; - BufLowerOuter[i] = close[i]; - BufUpperInner[i] = close[i]; - BufLowerInner[i] = close[i]; + BufMiddle[i] = close[i]; + BufUpperOuter[i] = close[i]; + BufLowerOuter[i] = close[i]; + BufUpperInner[i] = close[i]; + BufLowerInner[i] = close[i]; + BufUpperExtreme[i] = close[i]; + BufLowerExtreme[i] = close[i]; } }