diff --git a/Indicators/MyIndicators/Quant/Autocorrelation_MTF_Pro.mq5 b/Indicators/MyIndicators/Quant/Autocorrelation_MTF_Pro.mq5 new file mode 100644 index 0000000..76e0020 --- /dev/null +++ b/Indicators/MyIndicators/Quant/Autocorrelation_MTF_Pro.mq5 @@ -0,0 +1,270 @@ +//+------------------------------------------------------------------+ +//| Autocorrelation_MTF_Pro.mq5 | +//| Copyright 2026, xxxxxxxx| +//+------------------------------------------------------------------+ +#property copyright "Copyright 2026, xxxxxxxx" +#property version "1.20" // Optimized with Forming LTF Block Flat-Force mechanism +#property description "Lag-1 Autocorrelation (Multi-Timeframe)." +#property description "Displays Higher Timeframe Serial Correlation regime cleanly without live-bar warping." + +#property indicator_separate_window +#property indicator_buffers 2 +#property indicator_plots 1 + +// Plot: Histogram +#property indicator_label1 "Autocorrelation MTF" +#property indicator_type1 DRAW_COLOR_HISTOGRAM +// Colors: MeanRev(Red), Random(Gray), Trend(Green) +#property indicator_color1 clrCrimson, clrGray, clrSpringGreen +#property indicator_style1 STYLE_SOLID +#property indicator_width1 2 + +#include + +//--- Parameters +input ENUM_TIMEFRAMES InpTimeframe = PERIOD_M5; // Target Higher Timeframe +input int InpPeriod = 20; // Window Size +input double InpThreshold = 0.1; // Significance Threshold +input ENUM_APPLIED_PRICE InpPrice = PRICE_CLOSE; // Applied Price + +//--- Buffers +double BufAC[]; +double BufCol[]; + +//--- Internal HTF Data Caches +double h_open[], h_high[], h_low[], h_close[]; +datetime h_time[]; +double h_res[]; // HTF calculation results cached + +//--- Global HTF State Tracking +CAutocorrelationCalculator *g_calc; +datetime g_last_htf_time = 0; +int g_htf_count = 0; +bool g_data_ready = false; +bool g_data_synced = false; + +//+------------------------------------------------------------------+ +//| EnsureHTFDataReady | +//+------------------------------------------------------------------+ +bool EnsureHTFDataReady(const string symbol, const ENUM_TIMEFRAMES timeframe, const int required_bars) + { + ResetLastError(); + if(!SymbolInfoInteger(symbol, SYMBOL_SELECT)) + { + SymbolSelect(symbol, true); + } + datetime times[]; + int copied = CopyTime(symbol, timeframe, 0, required_bars, times); + return (copied >= required_bars); + } + +//+------------------------------------------------------------------+ +//| OnInit | +//+------------------------------------------------------------------+ +int OnInit() + { + g_data_ready = false; + g_data_synced = false; + g_last_htf_time = 0; + g_htf_count = 0; + + if(InpTimeframe <= Period() && InpTimeframe != PERIOD_CURRENT) + { + Print("Warning: Target Timeframe should be > Current Timeframe."); + } + + SetIndexBuffer(0, BufAC, INDICATOR_DATA); + SetIndexBuffer(1, BufCol, INDICATOR_COLOR_INDEX); + + ArraySetAsSeries(BufAC, false); + ArraySetAsSeries(BufCol, false); + + string tf_name = StringSubstr(EnumToString(InpTimeframe), 7); + string name = StringFormat("Autocorrelation MTF %s(%d)", tf_name, InpPeriod); + IndicatorSetString(INDICATOR_SHORTNAME, name); + IndicatorSetInteger(INDICATOR_DIGITS, 3); + + g_calc = new CAutocorrelationCalculator(); + if(CheckPointer(g_calc) == POINTER_INVALID || !g_calc.Init(InpPeriod)) + { + Print("Error: Failed to initialize Autocorrelation Calculator Engine."); + return INIT_FAILED; + } + +//--- Initialize 1-second timer for weekend/async chart refreshes + EventSetTimer(1); + + return(INIT_SUCCEEDED); + } + +//+------------------------------------------------------------------+ +//| OnDeinit | +//+------------------------------------------------------------------+ +void OnDeinit(const int r) + { + EventKillTimer(); + if(CheckPointer(g_calc) != POINTER_INVALID) + delete g_calc; + } + +//+------------------------------------------------------------------+ +//| OnCalculate | +//+------------------------------------------------------------------+ +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[]) + { +//--- Ensure target timeframe history is ready + int required_bars = InpPeriod + 10; + if(!EnsureHTFDataReady(_Symbol, InpTimeframe, required_bars)) + { + g_data_synced = false; + return 0; // Wait for next tick to let history load + } + + g_data_synced = true; + +//--- 1. Check if a new HTF bar has formed + datetime htf_time_current = iTime(_Symbol, InpTimeframe, 0); + bool htf_updated = (htf_time_current != g_last_htf_time); + + if(htf_updated || prev_calculated == 0) + { + g_last_htf_time = htf_time_current; + + int htf_bars = iBars(_Symbol, InpTimeframe); + if(htf_bars < required_bars) + { + g_data_ready = false; + return 0; + } + + g_htf_count = MathMin(htf_bars, 3000); + + ArrayResize(h_time, g_htf_count); + ArrayResize(h_open, g_htf_count); + ArrayResize(h_high, g_htf_count); + ArrayResize(h_low, g_htf_count); + ArrayResize(h_close, g_htf_count); + ArrayResize(h_res, g_htf_count); + + if(CopyTime(_Symbol, InpTimeframe, 0, g_htf_count, h_time) != g_htf_count || + CopyOpen(_Symbol, InpTimeframe, 0, g_htf_count, h_open) != g_htf_count || + CopyHigh(_Symbol, InpTimeframe, 0, g_htf_count, h_high) != g_htf_count || + CopyLow(_Symbol, InpTimeframe, 0, g_htf_count, h_low) != g_htf_count || + CopyClose(_Symbol, InpTimeframe, 0, g_htf_count, h_close) != g_htf_count) + { + g_data_ready = false; + return 0; + } + + //--- Calculate Autocorrelation on HTF (Closed bars and forming bar initialized) + g_calc.Calculate(g_htf_count, 0, InpPrice, h_open, h_high, h_low, h_close, h_res); + + g_data_ready = true; + } + + if(!g_data_ready) + return 0; + +//--- 2. Live Update for the Current Forming HTF Bar (Index: g_htf_count - 1) on every tick! + int live_idx = g_htf_count - 1; + if(live_idx >= InpPeriod + 1) + { + double o[1], h[1], l[1], c[1]; + int shift = iBarShift(_Symbol, InpTimeframe, htf_time_current, false); + if(shift >= 0 && + CopyOpen(_Symbol, InpTimeframe, shift, 1, o) == 1 && + CopyHigh(_Symbol, InpTimeframe, shift, 1, h) == 1 && + CopyLow(_Symbol, InpTimeframe, shift, 1, l) == 1 && + CopyClose(_Symbol, InpTimeframe, shift, 1, c) == 1) + { + h_open[live_idx] = o[0]; + h_high[live_idx] = h[0]; + h_low[live_idx] = l[0]; + h_close[live_idx] = c[0]; + + // Incremental recalculation on the live index (O(1) tick performance) + g_calc.Calculate(g_htf_count, live_idx, InpPrice, h_open, h_high, h_low, h_close, h_res); + } + } + +//--- 3. FIXED: Dynamically adjust 'start' to the beginning of the current forming HTF bar +//--- This forces the entire forming LTF step block to remain perfectly flat, updating on every tick! + int start = (prev_calculated > 0) ? prev_calculated - 1 : 0; + + int first_bar_of_forming_htf = rates_total - 1; + while(first_bar_of_forming_htf > 0 && + iBarShift(_Symbol, InpTimeframe, time[first_bar_of_forming_htf], false) == 0) + { + first_bar_of_forming_htf--; + } + first_bar_of_forming_htf++; // This is the start of the forming step on lower TF chart + + if(start > first_bar_of_forming_htf) + start = first_bar_of_forming_htf; + +//--- 4. Incremental Mapping of HTF results to Current Chart Timeframe (O(1) per tick) + for(int i = start; i < rates_total; i++) + { + datetime t = time[i]; + int shift_htf = iBarShift(_Symbol, InpTimeframe, t, false); + + if(shift_htf >= 0) + { + int idx_htf = g_htf_count - 1 - shift_htf; + if(idx_htf >= 0 && idx_htf < g_htf_count) + { + double val = h_res[idx_htf]; + BufAC[i] = val; + + // Color Logic + if(val > InpThreshold) + BufCol[i] = 2.0; // Green (Momentum / Trend) + else + if(val < -InpThreshold) + BufCol[i] = 0.0; // Red (Mean Reversion) + else + BufCol[i] = 1.0; // Gray (Random Noise) + } + else + { + BufAC[i] = EMPTY_VALUE; + BufCol[i] = 1.0; + } + } + else + { + BufAC[i] = EMPTY_VALUE; + BufCol[i] = 1.0; + } + } + + return(rates_total); + } + +//+------------------------------------------------------------------+ +//| OnTimer | +//| Handles loading checks and force-redraws | +//+------------------------------------------------------------------+ +void OnTimer() + { + if(!g_data_synced) + { + int required_bars = InpPeriod + 5; + if(EnsureHTFDataReady(_Symbol, InpTimeframe, required_bars)) + { + g_data_synced = true; + ChartRedraw(); // Force MT5 to invoke OnCalculate + } + } + } +//+------------------------------------------------------------------+ +//+------------------------------------------------------------------+