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docs: refactor
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Toh4iem9
@@ -1,17 +1,18 @@
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# Universal Moving Average (Moving Average) Pro (v3.00)
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# Universal Moving Average (Moving Average) Pro (v3.20)
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Quantitative Universal Smoothing Engine & Multi-Algorithm Moving Average Suite
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## Institutional Quantitative Smoothing Engine & Modular Multi-Algorithm Moving Average Suite
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>*Enterprise Ultra Edition — High-Concurrency DSP Engine for MetaTrader 5*
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---
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## 1. Summary (Introduction)
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## 1. Summary & System Overview
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**Moving Average Pro** is the universal baseline trend overlay of the Professional MQL5 Suite. Built upon the core `MovingAverage_Engine.mqh`, it synthesizes eight classical, low-lag, and volume-weighted moving average algorithms into a single unified high-performance indicator.
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**Moving Average Pro** is the institutional baseline trend overlay and dynamic digital signal processing (DSP) suite of the Professional MQL5 Suite. Operating on the modernized **v3.20 Enterprise Modular Architecture**, it decouples mathematical smoothing kernels into independent, pluggable strategy classes via `MA_CoreCalculators.mqh`, unified through the backward-compatible facade engine `MovingAverage_Engine.mqh`.
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Moving averages serve as the foundation for trend identification, dynamic support and resistance, and signal line smoothing across quantitative trading systems. **Moving Average Pro provides instant algorithm interchangeability without altering indicator pipelines or charting architecture**:
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Moving averages form the core infrastructure for trend identification, dynamic support/resistance, volatility band centering, and signal line derivation. **Moving Average Pro provides instant algorithm interchangeability without altering indicator pipelines, buffer layouts, or chart setups**:
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```text
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┌────────────────────────────────────────────────────────────────────────┐
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│ THE 8 MOVING AVERAGE ALGORITHMS │
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├───────┬────────────────────────┬───────┬───────────────────────────────┤
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@@ -22,73 +23,76 @@ Moving averages serve as the foundation for trend identification, dynamic suppor
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│ SMMA │ Smoothed MA (Wilder) │ TEMA │ Triple Exponential Moving Avg │
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│ LWMA │ Linear Weighted MA │ VWMA │ Volume-Weighted Moving Avg │
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└───────┴────────────────────────┴───────┴───────────────────────────────┘
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```
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### Key Capabilities
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### Key Architectural Capabilities
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* **8 Native Smoothing Models:** Seamlessly switch between linear, exponential, multi-stage zero-lag, and volume-weighted smoothing.
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* **Full Volume Routing (VWMA):** Automatically queries broker `SYMBOL_VOLUME_LIMIT` to utilize Real Volume (`VOLUME_REAL`) or Tick Volume (`VOLUME_TICK`).
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* **Unified 2026 MTF Framework:** Higher-timeframe moving averages (e.g., H1 or Daily 50/200 MAs) map onto lower-timeframe execution charts (M1, M5, M15) with flat, non-warping steps via `DataSync_Tools.mqh`.
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* **Synthetic Heikin Ashi Support:** Computes smoothed curves from filtered Heikin Ashi price series via `CMovingAverageCalculator_HA` composition.
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* **State-Safe $O(1)$ Recursive Execution:** Stateful recursive smoothing registers (EMA, SMMA, DEMA, TEMA) update in zero latency on live market ticks.
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- **Decoupled Strategy Pattern:** Moving average algorithms operate as autonomous calculator classes inheriting from `CBaseMACalculator`, isolating memory footprints and eliminating cross-algorithm bugs.
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- **Zero-Waste Dynamic Memory:** Single-pass algorithms (SMA, EMA, SMMA, LWMA, VWMA) allocate zero auxiliary scratchpads, while multi-stage cascades (TMA, DEMA, TEMA) manage private, isolated state registers.
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- **ALU-Optimized Execution:** Division operations are replaced with precomputed reciprocal multiplications ($1.0 / P$), and Linear Weighted MA utilizes Gauss's closed-form sum of weights ($\frac{P(P+1)}{2}$) to eliminate inner-loop accumulators.
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- **Full Volume Routing (VWMA):** Automatic runtime arbitration queries broker `SYMBOL_VOLUME_LIMIT` to pipe Real Volume (`VOLUME_REAL`) on exchange assets or Tick Volume (`VOLUME_TICK`) on CFD instruments.
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- **Unified MTF Fast-Path Pipeline:** Maps higher-timeframe baselines (e.g., H1, H4, D1) onto lower-timeframe execution charts (M1, M5, M15) using a Two-Pointer Chronological Sweep and zero-API RAM mocking on live ticks.
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- **Synthetic Heikin Ashi Pipeline:** Seamlessly computes smoothed curves from synthetic Heikin Ashi price series via specialized polymorphic inheritance (`CMovingAverageCalculator_HA`).
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- **Strict Non-Repainting & Thread Safety:** Guaranteed closed-bar immutability, zero static array caches in member functions, and strict chronological series indexing (`ArraySetAsSeries(..., false)`).
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---
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## 2. Mathematical Foundations & The 8 Smoothing Models
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```text
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RAW INPUT SERIES: Close, Median, Typical, HA Close
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│
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┌───────────────┬───────────────────┼───────────────────┬───────────────┐
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▼ ▼ ▼ ▼ ▼
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Linear Exponential Double/Triple Triangular Volume-Weighted
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(SMA/LWMA) (EMA/SMMA) (DEMA/TEMA) (TMA) (VWMA)
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```
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### 2.1. Simple Moving Average (SMA)
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Arithmetic mean of the previous $P = \text{InpPeriod}$ bars:
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$$\text{SMA}_t = \frac{1}{P} \sum_{j=0}^{P-1} P_{t-j}$$
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$$\text{SMA}_t = \left(\sum_{j=0}^{P-1} P_{t-j}\right) \times \frac{1}{P}$$
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*ALU Optimization:* The division by $P$ is hoisted and executed via a single multiplication by `m_inv_period`.
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---
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### 2.2. Exponential Moving Average (EMA)
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First-order recursive Infinite Impulse Response (IIR) filter:
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$$\alpha = \frac{2}{P + 1}, \quad\quad \text{EMA}_t = \alpha P_t + (1 - \alpha) \text{EMA}_{t-1}$$
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*The initial seed is computed as an SMA over the first $P$ bars.*
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$$\alpha = \frac{2}{P + 1}, \quad\quad \beta = 1.0 - \alpha$$
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$$\text{EMA}_t = P_t \cdot \alpha + \text{EMA}_{t-1} \cdot \beta$$
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*Initial Seeding:* The base anchor at bar $P-1$ is initialized using an SMA over the initial $P$ bars. Recursive states are strictly preserved on live tick updates.
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---
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### 2.3. Smoothed Moving Average (SMMA / Wilder's RMA)
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J. Welles Wilder Jr.'s recursive smoothing algorithm (equivalent to an EMA with $\alpha = 1/P$):
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$$\text{SMMA}_t = \frac{\text{SMMA}_{t-1} \cdot (P - 1) + P_t}{P}$$
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J. Welles Wilder Jr.'s recursive smoothing filter (mathematically equivalent to an EMA with $\alpha = 1/P$):
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$$\text{SMMA}_t = \frac{\text{SMMA}_{t-1} \cdot (P - 1) + P_t}{P} = \left(\text{SMMA}_{t-1} \cdot (P - 1) + P_t\right) \times \frac{1}{P}$$
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---
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### 2.4. Linear Weighted Moving Average (LWMA)
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Weights prices linearly proportional to their temporal recency:
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$$W_j = P - j$$
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$$\text{LWMA}_t = \frac{\sum_{j=0}^{P-1} P_{t-j} \cdot (P - j)}{\sum_{j=0}^{P-1} (P - j)} = \frac{\sum_{j=0}^{P-1} P_{t-j} \cdot (P - j)}{\frac{P(P + 1)}{2}}$$
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Weights prices linearly proportional to their temporal recency ($W_j = P - j$).
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The sum of arithmetic weights is computed analytically using Gauss's closed-form equation, avoiding runtime inner-loop accumulation:
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$$\sum_{j=0}^{P-1} (P - j) = \frac{P(P + 1)}{2}$$
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$$\text{LWMA}_t = \left(\sum_{j=0}^{P-1} P_{t-j} \cdot (P - j)\right) \times \frac{1}{\frac{P(P + 1)}{2}}$$
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---
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### 2.5. Triangular Moving Average (TMA)
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Double-smoothed simple moving average producing a triangular weighting kernel:
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$$P_1 = \text{ceil}\left( \frac{P + 1}{2} \right), \quad\quad P_2 = P - P_1 + 1$$
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$$\text{TMA}_t = \text{SMA}\left( \text{SMA}(P, P_1), P_2 \right)$$
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Double-smoothed simple moving average producing a triangular-shaped convolution kernel that aggressively suppresses high-frequency spectral noise:
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$$P_1 = \left\lceil \frac{P + 1}{2} \right\rceil, \quad\quad P_2 = P - P_1 + 1$$
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$$\text{Stage 1: } S_t = \text{SMA}(P_t, P_1), \quad\quad \text{TMA}_t = \text{SMA}(S_t, P_2)$$
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*Pipelined Lookback:* Stage 1 updates across an extended historical lookback window ($P_2 + 1$ bars deeper than the recalculation index) to ensure Stage 2 never reads stale intermediate states during live ticks.
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---
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### 2.6. Double Exponential Moving Average (DEMA - Patrick Mulloy)
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Eliminates first-order exponential phase lag:
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Eliminates first-order exponential phase lag by combining single and cascaded double EMAs:
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$$\text{EMA1}_t = \text{EMA}(P, P), \quad\quad \text{EMA2}_t = \text{EMA}(\text{EMA1}, P)$$
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$$\text{DEMA}_t = 2 \cdot \text{EMA1}_t - \text{EMA2}_t$$
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@@ -96,7 +100,7 @@ $$\text{DEMA}_t = 2 \cdot \text{EMA1}_t - \text{EMA2}_t$$
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### 2.7. Triple Exponential Moving Average (TEMA - Patrick Mulloy)
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Eliminates second-order exponential phase lag for ultra-fast trend tracking:
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Eliminates first- and second-order exponential phase lag for near-zero phase latency:
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$$\text{EMA1}_t = \text{EMA}(P, P), \quad \text{EMA2}_t = \text{EMA}(\text{EMA1}, P), \quad \text{EMA3}_t = \text{EMA}(\text{EMA2}, P)$$
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$$\text{TEMA}_t = 3 \cdot \text{EMA1}_t - 3 \cdot \text{EMA2}_t + \text{EMA3}_t$$
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@@ -104,115 +108,281 @@ $$\text{TEMA}_t = 3 \cdot \text{EMA1}_t - 3 \cdot \text{EMA2}_t + \text{EMA3}_t$
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### 2.8. Volume-Weighted Moving Average (VWMA)
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Weights price bars directly proportional to transacted trade volume ($V$):
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Weights price bars directly proportional to transacted trading volume ($V_t$):
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$$\text{VWMA}_t = \frac{\sum_{j=0}^{P-1} P_{t-j} \cdot V_{t-j}}{\sum_{j=0}^{P-1} V_{t-j}}$$
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*Zero-Volume Fallback:* If trading volume is zero or unavailable, volume weights default to $1.0$, collapsing gracefully into a standard SMA.
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---
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### 2.9. Algorithm Selection & Performance Matrix
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### 2.9. DSP Filtering Characteristics & Performance Matrix
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| Algorithm | Smoothness | Phase Latency (Lag) | Noise Resistance | Optimal Market Context |
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| Algorithm | Smoothness | Phase Latency (Lag) | Noise Resistance | Optimal Quantitative Market Context |
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| :--- | :---: | :---: | :---: | :--- |
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| **SMA** | Medium | High | High | Long-term macro benchmarks (e.g., 200 SMA). |
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| **EMA** | High | Medium | Medium | General trend-following and MACD-style filtering. |
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| **SMMA** | Very High | High | Very High | Wilder-style indicators (RSI, ADX, ATR). |
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| **LWMA** | Medium | Low | Low | Short-term momentum tracking and signal lines. |
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| **TMA** | Ultra-High | Very High | Ultra-High | Wave cycle analysis; filters all high frequencies. |
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| **DEMA** | Medium | Very Low | Low | Fast trend trading; reduces 50% of EMA lag. |
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| **TEMA** | Low | Near-Zero | Very Low | High-frequency scalping; eliminates almost all lag. |
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| **VWMA** | High | Adaptive | High | Institutional liquidity analysis; volume-confirmed trends. |
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| **SMA** | Medium | High | High | Long-term macro benchmarks (e.g., 50/200 Day benchmarks). |
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| **EMA** | High | Medium | Medium | Classical trend-following, dynamic envelopes, and MACD derivation. |
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| **SMMA** | Very High | High | Very High | Wilder-style indicators (RSI, ADX, ATR, Volatility Bands). |
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| **LWMA** | Medium | Low | Low | Short-term momentum tracking, fast directional scalping. |
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| **TMA** | Ultra-High | Very High | Ultra-High | Dominant cycle wave extraction; complete elimination of market ripples. |
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| **DEMA** | Medium | Very Low | Low | Intermediate swing systems; eliminates ~50% of classical EMA phase lag. |
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| **TEMA** | Low | Near-Zero | Very Low | High-frequency microstructure tracking; instant reaction to price impulses. |
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| **VWMA** | High | Dynamic | High | Institutional liquidity analysis; volume-confirmed breakout validation. |
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---
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## 3. MQL5 Architecture & Engineering Standards
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## 3. Enterprise Modular Architecture (Strategy & Facade Pattern)
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Version 3.20 replaces the monolithic engine with a clean **Gang of Four (GoF) Strategy & Facade** design pattern:
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```text
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┌────────────────────────────────────────────────────────┐
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│ MovingAverage_Engine.mqh │
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│ (Core Universal Math: 8 MA Algorithms in O(1)) │
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├──────────────────────────┬─────────────────────────────┤
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│ Volume Routing Layer │ Composition Engine │
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│ • Real Volume Support │ • CMovingAverageCalc_HA │
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│ • Tick Volume Fallback │ • Dynamic Price Routing │
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└──────────────────────────┴─────────────────────────────┘
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│ Outputs MA Series in O(1)
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▼
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┌────────────────────────────────────────────────────────┐
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│ MovingAverage_Pro.mq5 │
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│ (Unified Wrapper: Native Timeframe & MTF Engine) │
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├──────────────────────────┬─────────────────────────────┤
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│ Direct Mode (O(1)) │ Synchronized MTF Pipeline │
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│ • Current Timeframe │ • DataSync_Tools Daemon │
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│ • 1 Output Plot │ • Staircase Flat-Force │
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└──────────────────────────┴─────────────────────────────┘
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┌────────────────────────────────────────────────────────────────────────┐
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│ MovingAverage_Pro.mq5 (Wrapper) │
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│ • Input validation, Chart Plot Bindings, Dynamic DrawBegin │
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│ • Two-Pointer MTF Synchronization Daemon & Binary Fast-Path │
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└───────────────────────────────────┬────────────────────────────────────┘
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│ Instantiates & Calls
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▼
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┌────────────────────────────────────────────────────────────────────────┐
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│ MovingAverage_Engine.mqh (Facade & Router) │
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│ • CMovingAverageCalculator / CMovingAverageCalculator_HA │
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│ • 100% Backward-Compatible Interface (Preserved Methods & Enums) │
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│ • Manages Persistent Working Buffers (m_price[], m_volume[]) │
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└───────────────────────────────────┬────────────────────────────────────┘
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│ Delegates to Strategy (Polymorphism)
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▼
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┌────────────────────────────────────────────────────────────────────────┐
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│ MA_CoreCalculators.mqh (Strategies) │
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│ • Abstract Base: CBaseMACalculator │
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│ ├─ CSMACalculator (Simple Moving Average) │
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│ ├─ CEMACalculator (Exponential Moving Average) │
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│ ├─ CSMMACalculator (Smoothed Moving Average) │
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│ ├─ CLWMACalculator (Linear Weighted Moving Average) │
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│ ├─ CTMACalculator (Triangular MA - Manages m_stage1_buffer[]) │
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│ ├─ CDEMACalculator (Double EMA - Manages m_ema1[], m_ema2[]) │
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│ ├─ CTEMACalculator (Triple EMA - Manages m_ema1..3[]) │
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│ └─ CVWMACalculator (Volume-Weighted Moving Average) │
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└────────────────────────────────────────────────────────────────────────┘
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```
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1. **State-Safe Recursive Lifecycles:** EMA, SMMA, DEMA, and TEMA calculators maintain persistent state registers without historical array corruption on live bar additions.
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2. **Unified Volume Routing:** Automatically extracts real trade volume (`CopyRealVolume`) on supported exchange assets (Equities, Futures, Crypto) and seamlessly falls back to tick volume (`CopyTickVolume`) on Forex CFDs.
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3. **2026 MTF Framework with Staircase Solution:** Higher-timeframe moving averages map onto lower-timeframe execution charts with flat, synchronized steps via `first_bar_of_forming_htf` dynamic anchoring and `DataSync_Tools.mqh`.
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### Architectural Benefits
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1. **Open/Closed Principle (OCP):** New algorithms can be integrated without modifying or destabilizing existing calculations.
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2. **Encapsulated State Registers:** Intermediate buffers for multi-stage algorithms (such as `m_ema1_buffer`, `m_ema2_buffer`, and `m_stage1_buffer`) are declared inside their respective classes. Algorithms like SMA or EMA never allocate unnecessary buffers in memory.
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3. **100% Drop-In Compatibility:** Other indicators in your suite (`MACD_Pro`, `BollingerBands_Pro`, `Keltner_Pro`, etc.) using `CMovingAverageCalculator` require **zero modifications** to take advantage of the upgraded performance.
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---
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## 4. Parameters Reference
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## 4. Developer Extensibility Guide: Adding a New MA Algorithm
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Adding a new moving average algorithm (e.g., **Hull Moving Average - HMA**) requires only three clean steps:
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### Step 1: Implement the Algorithm Class in `MA_CoreCalculators.mqh`
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Create a new class inheriting from `CBaseMACalculator`:
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|
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```mql5
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//+------------------------------------------------------------------+
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//| CLASS: CHMACalculator (Hull Moving Average) |
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//+------------------------------------------------------------------+
|
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class CHMACalculator : public CBaseMACalculator
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{
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private:
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CLWMACalculator m_lwma_half;
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CLWMACalculator m_lwma_full;
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CLWMACalculator m_lwma_final;
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double m_diff_buffer[];
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public:
|
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virtual bool Init(const int period) override
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{
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if(!CBaseMACalculator::Init(period)) return false;
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int half_p = MathMax(1, (int)MathFloor(m_period * 0.5));
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int sqrt_p = MathMax(1, (int)MathFloor(MathSqrt(m_period)));
|
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m_lwma_half.Init(half_p);
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m_lwma_full.Init(m_period);
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m_lwma_final.Init(sqrt_p);
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return true;
|
||||
}
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|
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virtual void Calculate(const int rates_total, const int start_index,
|
||||
const double &price[], const double &volume[],
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||||
double &output[], const int data_offset = 0) override
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||||
{
|
||||
// ... HMA calculation logic using the sub-calculators ...
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||||
}
|
||||
|
||||
virtual int GetWarmupBars(void) const override { return m_period + (int)MathSqrt(m_period); }
|
||||
};
|
||||
```
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### Step 2: Register in `ENUM_MA_TYPE`
|
||||
|
||||
Add the new type identifier to `ENUM_MA_TYPE` in `MovingAverage_Engine.mqh`:
|
||||
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||||
```mql5
|
||||
enum ENUM_MA_TYPE
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||||
{
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||||
SMA,
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||||
EMA,
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||||
SMMA,
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||||
LWMA,
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||||
TMA,
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||||
DEMA,
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||||
TEMA,
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||||
VWMA,
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||||
HMA // <-- New Algorithm Registered
|
||||
};
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||||
```
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||||
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### Step 3: Wire into the Factory Method
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||||
|
||||
Add one case to `CMovingAverageCalculator::CreateAlgorithm` in `MovingAverage_Engine.mqh`:
|
||||
|
||||
```mql5
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case HMA: m_algo = new CHMACalculator(); break;
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```
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||||
|
||||
*The indicator wrapper, MTF framework, and all dependent indicators will immediately recognize and execute the new algorithm with full MTF and Heikin Ashi support!*
|
||||
|
||||
---
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||||
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||||
## 5. Multi-Timeframe (MTF) Two-Pointer Fast-Path Protocol
|
||||
|
||||
When `InpTimeframe > Period()`, the indicator activates the institutional Fast-Path MTF engine:
|
||||
|
||||
```text
|
||||
HTF Time Domain (e.g. H1)
|
||||
[ HTF Bar 0 ]------------------------>[ HTF Bar 1 ]------------------------>[ HTF Forming ]
|
||||
│ │ │
|
||||
▼ (Chronological 2-Pointer Projection)▼ ▼
|
||||
LTF Time Domain (e.g. M5)
|
||||
[m5][m5][m5][m5][m5][m5][m5][m5][m5][m5][m5][m5][m5][m5][m5][m5][m5][m5][m5][m5][m5][m5][m5]
|
||||
└───────────────────┘ └───────────────────┘ └───────────────────┘ └───────────────────────┘
|
||||
Flat Step 0 Flat Step 1 Flat Step 2 Forming Block (Live)
|
||||
```
|
||||
|
||||
1. **Atomic Bulk Rates Acquisition:** When an HTF bar closes or on cold start, a single `CopyRates()` query synchronizes OHLCV into chronological caches (`h_open`, `h_high`, `h_low`, `h_close`, `h_vol`).
|
||||
2. **Two-Pointer Chronological Sweep ($O(N)$ Projection):** Maps HTF computed values onto LTF chart bars in a single forward pass without calling `iBarShift()`:
|
||||
|
||||
```mql5
|
||||
int htf_ptr = 0;
|
||||
for(int i = 0; i < rates_total; i++)
|
||||
{
|
||||
while(htf_ptr + 1 < g_htf_count && h_time[htf_ptr + 1] <= time[i])
|
||||
htf_ptr++;
|
||||
BufferMA[i] = h_res_ma[htf_ptr];
|
||||
}
|
||||
```
|
||||
|
||||
3. **Live Tick RAM Mocking & Binary Snapping:** On ticks that occur while the HTF candle is still forming, only the last bar in RAM (`h_close[live_idx]`) is refreshed, and a localized calculation evaluates the forming candle. An $O(\log N)$ binary search (`ArrayBsearch`) locates the first LTF bar belonging to the forming HTF block and updates the values across the forming block in nanoseconds.
|
||||
|
||||
---
|
||||
|
||||
## 6. Parameters & Configuration Reference
|
||||
|
||||
### Timeframe Settings
|
||||
|
||||
* `InpTimeframe` (*default: `PERIOD_CURRENT`*): Calculation timeframe. When set to `PERIOD_CURRENT`, it operates in native zero-lag mode. When set to a higher timeframe (e.g., `PERIOD_H1`, `PERIOD_D1`), it activates the synchronized MTF engine.
|
||||
- **`InpTimeframe`** (*default: `PERIOD_CURRENT`*): Timeframe of calculation. Set to `PERIOD_CURRENT` for standard native operation, or choose any higher timeframe (`PERIOD_M15` through `PERIOD_MN1`) to project a synchronized staircase MTF baseline. Target timeframe must be $\ge$ chart timeframe.
|
||||
|
||||
### Moving Average Core Settings
|
||||
|
||||
* `InpPeriod` (*default: `20`*): Lookback smoothing period ($P$).
|
||||
* `InpMAType` (*default: `SMA`*): Mathematical algorithm selection (`SMA`, `EMA`, `SMMA`, `LWMA`, `TMA`, `DEMA`, `TEMA`, `VWMA`).
|
||||
* `InpSourcePrice` (*default: `PRICE_CLOSE_STD`*): Input price series (Supports all 7 Standard and 7 Heikin Ashi modes).
|
||||
- **`InpPeriod`** (*default: `20`*): The lookback smoothing window ($P$). Must be an integer $\ge 1$.
|
||||
|
||||
- **`InpMAType`** (*default: `SMA`*): Mathematical smoothing algorithm selection:
|
||||
- `SMA`: Simple Moving Average
|
||||
- `EMA`: Exponential Moving Average
|
||||
- `SMMA`: Smoothed Moving Average (Wilder's RMA)
|
||||
- `LWMA`: Linear Weighted Moving Average
|
||||
- `TMA`: Triangular Moving Average
|
||||
- `DEMA`: Double Exponential Moving Average
|
||||
- `TEMA`: Triple Exponential Moving Average
|
||||
- `VWMA`: Volume-Weighted Moving Average
|
||||
- **`InpSourcePrice`** (*default: `PRICE_CLOSE_STD`*): Input price source. Supports all 7 standard Applied Price modes (`PRICE_CLOSE_STD` through `PRICE_WEIGHTED_STD`) and 7 synthetic Heikin Ashi modes (`PRICE_HA_CLOSE` through `PRICE_HA_WEIGHTED`).
|
||||
|
||||
### Visual Settings
|
||||
|
||||
* `InpColorMA` (*default: `clrDodgerBlue`*): Line color.
|
||||
* `InpStyleMA` (*default: `STYLE_SOLID`*): Line style (Solid, Dash, Dot).
|
||||
* `InpWidthMA` (*default: `2`*): Line thickness.
|
||||
- **`InpColorMA`** (*default: `clrDodgerBlue`*): Primary plot line color.
|
||||
|
||||
- **`InpStyleMA`** (*default: `STYLE_SOLID`*): Plot line style (`STYLE_SOLID`, `STYLE_DASH`, `STYLE_DOT`, `STYLE_DASHDOT`).
|
||||
- **`InpWidthMA`** (*default: `2`*): Plot line width in pixels.
|
||||
|
||||
---
|
||||
|
||||
## 5. Quantitative Trading Playbooks
|
||||
## 7. Quantitative Trading Playbooks
|
||||
|
||||
```text
|
||||
|
||||
┌────────────────────────────────────────────────────────────────────────┐
|
||||
│ MOVING AVERAGE TRADING PLAYBOOKS │
|
||||
├────────────────────────────────────────────────────────────────────────┤
|
||||
│ 1. Trend Baseline Retest: Pullbacks to rising EMA/VWMA offer low-risk │
|
||||
│ continuation entries in strong markups. │
|
||||
│ 2. Institutional Cross: 50 EMA crossing above 200 SMA confirms a │
|
||||
│ macro Golden Cross regime shift. │
|
||||
│ 3. MTF Macro Step Filter: Only execute M5 long setups when price is │
|
||||
│ trading above the H1 50 EMA flat step. │
|
||||
│ 1. Dynamic Baseline Retest: Pullbacks to rising EMA/VWMA offer low-risk│
|
||||
│ continuation entries in strong trends. │
|
||||
│ 2. Institutional Cross: 50 EMA crossing above 200 SMA confirms a │
|
||||
│ macro Golden Cross regime shift. │
|
||||
│ 3. MTF Macro Step Filter: Only execute M5 long setups when price is │
|
||||
│ trading above the H1 50 EMA flat step. │
|
||||
└────────────────────────────────────────────────────────────────────────┘
|
||||
|
||||
```
|
||||
|
||||
### 5.1. Dynamic Support & Resistance Pullbacks
|
||||
### 7.1. Dynamic Support & Resistance Pullbacks
|
||||
|
||||
* **Bullish Setup:** Price is trending upward above a rising **`20 EMA`** or **`20 VWMA`**. When price pulls back to test the moving average line and prints a rejection wick $\rightarrow$ High-conviction long continuation entry.
|
||||
* **Bearish Setup:** Price is trending downward below a falling moving average line. Retests of the line from below offer short entry triggers.
|
||||
- **Bullish Setup:** Market is in an established uptrend above a rising **`20 EMA`** or **`20 VWMA`**. When price retraces toward the dynamic line and prints a rejection candle with a lower wick $\rightarrow$ Long continuation trigger.
|
||||
|
||||
### 5.2. Golden Cross & Death Cross Confirmation
|
||||
- **Bearish Setup:** Market is in a downtrend below a falling moving average. Price rallies to test the line from underneath and prints an upper rejection wick $\rightarrow$ Short continuation trigger.
|
||||
|
||||
* **Golden Cross (Macro Bullish):** Faster moving average (e.g., `50 EMA`) crosses **above** a slower baseline (e.g., `200 SMA`) $\rightarrow$ Institutional confirmation of a long-term bull market.
|
||||
* **Death Cross (Macro Bearish):** Faster moving average crosses **below** the slower baseline $\rightarrow$ Institutional confirmation of a bear market.
|
||||
### 7.2. Golden Cross & Death Cross Regime Shifts
|
||||
|
||||
### 5.3. Multi-Timeframe Macro Alignment Filter
|
||||
- **Golden Cross (Macro Expansion):** A fast moving average (e.g., `50 EMA`) crosses **above** a slower baseline (e.g., `200 SMA`) with rising trading volume $\rightarrow$ Transition into a macro bull market regime.
|
||||
|
||||
* Attach an **H1-calculated 50 EMA** or **H4-calculated 200 SMA** onto an **M5 execution chart**.
|
||||
* **Rule:** Only take intraday long trades when **price is above the higher-timeframe flat step**. This ensures zero counter-trend trading against macro institutional liquidity.
|
||||
- **Death Cross (Macro Contraction):** The fast moving average crosses **below** the slower baseline $\rightarrow$ Transition into a macro bear market regime.
|
||||
|
||||
### 7.3. Multi-Timeframe Macro Step Alignment
|
||||
|
||||
- Attach an **H1-calculated 50 EMA** onto an **M5 execution chart**.
|
||||
|
||||
- **Quantitative Execution Rule:**
|
||||
$$\text{If } \text{Bid} > \text{BufferMA}_{\text{H1 Step}} \implies \text{Long Orders Allowed Only}$$
|
||||
$$\text{If } \text{Bid} < \text{BufferMA}_{\text{H1 Step}} \implies \text{Short Orders Allowed Only}$$
|
||||
- Eliminates counter-trend scalping against institutional macro order flow.
|
||||
|
||||
---
|
||||
|
||||
## 6. Indicator Buffer Map (For Developers & EA Integration)
|
||||
## 8. Indicator Buffer Map & Developer API
|
||||
|
||||
| Buffer Index | Name | Type | Description |
|
||||
| :---: | :---: | :--- | :--- |
|
||||
| **0** | `BufferMA` | `INDICATOR_DATA` | Universal Moving Average Plot Line |
|
||||
### Indicator Output Buffers
|
||||
|
||||
*The buffer strictly maintains non-series chronological order (`ArraySetAsSeries = false`), ensuring instant compatibility with Expert Advisors and scanner dashboards via `iCustom()`.*
|
||||
| Buffer Index | Identifier | Type | Description |
|
||||
| :---: | :---: | :---: | :--- |
|
||||
| **0** | `BufferMA` | `INDICATOR_DATA` | Universal Moving Average value line |
|
||||
|
||||
*Buffer indexing strictly enforces chronological ordering (`ArraySetAsSeries = false`), where index `0` represents the oldest bar in history and index `rates_total - 1` represents the currently forming bar.*
|
||||
|
||||
### Expert Advisor / Scanner Integration (`iCustom`)
|
||||
|
||||
To call `MovingAverage_Pro` from an Expert Advisor or custom multi-asset dashboard:
|
||||
|
||||
```mql5
|
||||
//--- Create indicator handle
|
||||
int handle = iCustom(_Symbol, _Period, "MovingAverage_Pro",
|
||||
PERIOD_CURRENT, // InpTimeframe
|
||||
20, // InpPeriod
|
||||
EMA, // InpMAType (ENUM_MA_TYPE)
|
||||
PRICE_CLOSE_STD, // InpSourcePrice (ENUM_APPLIED_PRICE_HA_ALL)
|
||||
clrDodgerBlue, // InpColorMA
|
||||
STYLE_SOLID, // InpStyleMA
|
||||
2); // InpWidthMA
|
||||
|
||||
if(handle == INVALID_HANDLE)
|
||||
{
|
||||
Print("Error: Failed to create MovingAverage_Pro handle.");
|
||||
return;
|
||||
}
|
||||
|
||||
//--- Read the latest finalized (closed bar) value
|
||||
double ma_values[];
|
||||
ArraySetAsSeries(ma_values, true); // Use series indexing for convenient [1] access
|
||||
|
||||
if(CopyBuffer(handle, 0, 1, 1, ma_values) == 1)
|
||||
{
|
||||
double closed_ma = ma_values[0]; // Value at bar 1 (Closed bar)
|
||||
// Execute trading logic...
|
||||
}
|
||||
```
|
||||
|
||||
Reference in New Issue
Block a user