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refactor: Upgraded to 3 dynamic Z-Score bands (7-channel layout)

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Toh4iem9
2026-06-20 11:27:16 +02:00
parent 60e277df50
commit 64b1303308
1 changed files with 60 additions and 30 deletions
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Indicators/MyIndicators/Quant/PairsTrading_Bands_Pro.mq5
+60 -30
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@@ -3,12 +3,12 @@
//| Copyright 2026, xxxxxxxx| //| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
#property copyright "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 "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_chart_window
#property indicator_buffers 5 #property indicator_buffers 7
#property indicator_plots 5 #property indicator_plots 7
//--- Plot 1: Cointegrated Equilibrium Line (Fair Value / Z=0) //--- Plot 1: Cointegrated Equilibrium Line (Fair Value / Z=0)
#property indicator_label1 "Equilibrium Center" #property indicator_label1 "Equilibrium Center"
@@ -45,6 +45,20 @@
#property indicator_style5 STYLE_DOT #property indicator_style5 STYLE_DOT
#property indicator_width5 1 #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 <MyIncludes\PairsTrading_Calculator.mqh> #include <MyIncludes\PairsTrading_Calculator.mqh>
//--- Anchored Timeframe Resets Enum //--- 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 InpCustomStart = "09:00"; // Custom Session Start (HH:MM, Broker Time)
input string InpCustomEnd = "18:00"; // Custom Session End (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 InpDrawCenterLine = true; // Draw Center Equilibrium Line?
input bool InpDrawInnerBands = true; // Draw Inner (Warning) Bands? input bool InpDrawInnerBands = true; // Draw Inner (Warning) Bands?
input double InpInnerMultiplier = 1.5; // Inner Band Z-Score Multiplier input double InpInnerMultiplier = 1.5; // Inner Band Z-Score Multiplier
input bool InpDrawOuterBands = true; // Draw Outer (Extreme) Bands? input bool InpDrawOuterBands = true; // Draw Outer (Extreme) Bands?
input double InpOuterMultiplier = 2.0; // Outer Band Z-Score Multiplier 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 //--- Buffers
double BufMiddle[]; double BufMiddle[];
@@ -77,6 +93,8 @@ double BufUpperOuter[];
double BufLowerOuter[]; double BufLowerOuter[];
double BufUpperInner[]; double BufUpperInner[];
double BufLowerInner[]; double BufLowerInner[];
double BufUpperExtreme[];
double BufLowerExtreme[];
//--- Aligned price arrays //--- Aligned price arrays
double g_sync_close_A[]; double g_sync_close_A[];
@@ -147,17 +165,21 @@ int OnInit()
return(INIT_FAILED); return(INIT_FAILED);
} }
SetIndexBuffer(0, BufMiddle, INDICATOR_DATA); SetIndexBuffer(0, BufMiddle, INDICATOR_DATA);
SetIndexBuffer(1, BufUpperOuter, INDICATOR_DATA); SetIndexBuffer(1, BufUpperOuter, INDICATOR_DATA);
SetIndexBuffer(2, BufLowerOuter, INDICATOR_DATA); SetIndexBuffer(2, BufLowerOuter, INDICATOR_DATA);
SetIndexBuffer(3, BufUpperInner, INDICATOR_DATA); SetIndexBuffer(3, BufUpperInner, INDICATOR_DATA);
SetIndexBuffer(4, BufLowerInner, INDICATOR_DATA); SetIndexBuffer(4, BufLowerInner, INDICATOR_DATA);
SetIndexBuffer(5, BufUpperExtreme, INDICATOR_DATA);
SetIndexBuffer(6, BufLowerExtreme, INDICATOR_DATA);
ArraySetAsSeries(BufMiddle, false); ArraySetAsSeries(BufMiddle, false);
ArraySetAsSeries(BufUpperOuter, false); ArraySetAsSeries(BufUpperOuter, false);
ArraySetAsSeries(BufLowerOuter, false); ArraySetAsSeries(BufLowerOuter, false);
ArraySetAsSeries(BufUpperInner, false); ArraySetAsSeries(BufUpperInner, false);
ArraySetAsSeries(BufLowerInner, false); ArraySetAsSeries(BufLowerInner, false);
ArraySetAsSeries(BufUpperExtreme, false);
ArraySetAsSeries(BufLowerExtreme, false);
//--- Parse custom session times //--- Parse custom session times
string parts[]; 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)) if(!IsTimeInSession(time[i], g_start_hour, g_start_min, g_end_hour, g_end_min))
{ {
BufMiddle[i] = EMPTY_VALUE; BufMiddle[i] = EMPTY_VALUE;
BufUpperOuter[i] = EMPTY_VALUE; BufUpperOuter[i] = EMPTY_VALUE;
BufLowerOuter[i] = EMPTY_VALUE; BufLowerOuter[i] = EMPTY_VALUE;
BufUpperInner[i] = EMPTY_VALUE; BufUpperInner[i] = EMPTY_VALUE;
BufLowerInner[i] = EMPTY_VALUE; BufLowerInner[i] = EMPTY_VALUE;
BufUpperExtreme[i] = EMPTY_VALUE;
BufLowerExtreme[i] = EMPTY_VALUE;
continue; continue;
} }
} }
@@ -367,23 +391,29 @@ int OnCalculate(const int rates_total,
// Center Line (Z=0.0 Equilibrium): A_hat = beta * B_t + alpha // Center Line (Z=0.0 Equilibrium): A_hat = beta * B_t + alpha
double fair_price = beta * g_sync_close_B[i] + 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) // Outer extreme bands (Default Z = +-2.0)
BufUpperOuter[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; BufLowerOuter[i] = InpDrawOuterBands ? (fair_price - InpOuterMultiplier * std_dev) : EMPTY_VALUE;
// Inner warning bands (Default Z = +-1.5) // Inner warning bands (Default Z = +-1.5)
BufUpperInner[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; 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 else
{ {
BufMiddle[i] = close[i]; BufMiddle[i] = close[i];
BufUpperOuter[i] = close[i]; BufUpperOuter[i] = close[i];
BufLowerOuter[i] = close[i]; BufLowerOuter[i] = close[i];
BufUpperInner[i] = close[i]; BufUpperInner[i] = close[i];
BufLowerInner[i] = close[i]; BufLowerInner[i] = close[i];
BufUpperExtreme[i] = close[i];
BufLowerExtreme[i] = close[i];
} }
} }