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feat(scripts): W1 VWAP Z-Score Integration

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Toh4iem9
2026-03-03 21:43:00 +01:00
parent 03b58a0dec
commit 6c78ca1ed1
1 changed files with 51 additions and 12 deletions
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Scripts/MyScripts/Market_Scanner_Pro.mq5
+51 -12
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@@ -1,10 +1,10 @@
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Market_Scanner_Pro.mq5 | //| Market_Scanner_Pro.mq5 |
//| QuantScan 9.1 - Next Gen Statistics | //| QuantScan 9.2 - Next Gen Statistics |
//| Copyright 2026, xxxxxxxx | //| Copyright 2026, xxxxxxxx |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx" #property copyright "Copyright 2026, xxxxxxxx"
#property version "9.10" // Squeeze Momentum Integration #property version "9.20" // W1 VWAP Z-Score Integration
#property description "Exports 'QuantScan 9.0' dataset for LLM Analysis." #property description "Exports 'QuantScan 9.0' dataset for LLM Analysis."
#property description "Features Advanced Statistical Filters (VHF, R2, V-Score)." #property description "Features Advanced Statistical Filters (VHF, R2, V-Score)."
#property script_show_inputs #property script_show_inputs
@@ -82,7 +82,8 @@ struct QuantData
string zone; // Murrey Zone string zone; // Murrey Zone
// M15 Flow // M15 Flow
double v_score; // VWAP Z-Score double v_score_week; // NEW: W1 VWAP Z-Score
double v_score_day; // VWAP Z-Score
double autocorr; // Lag-1 Correlation double autocorr; // Lag-1 Correlation
double vol_regime; // ATR(5)/ATR(55) double vol_regime; // ATR(5)/ATR(55)
string sqz; // Squeeze State string sqz; // Squeeze State
@@ -100,6 +101,7 @@ struct QuantData
// Composites // Composites
string absorption; string absorption;
string mtf_align; string mtf_align;
string vwap_align; // NEW: Alignment state
// Internal TSI Hist for Breadth/Align // Internal TSI Hist for Breadth/Align
double h1_tsi_hist; double h1_tsi_hist;
@@ -283,11 +285,10 @@ void OnStart()
// Layer 1 // Layer 1
header += StringFormat("ALPHA_%s;BETA_%s;VHF_%s;R2_%s;ZONE_%s;", str_slow, str_slow, str_slow, str_slow, str_slow); header += StringFormat("ALPHA_%s;BETA_%s;VHF_%s;R2_%s;ZONE_%s;", str_slow, str_slow, str_slow, str_slow, str_slow);
// Layer 2 // Layer 2
header += StringFormat("V_SCORE_%s;AUTOCORR_%s;VOL_REGIME_%s;SQZ_%s;SQZ_MOM_%s;VHF_%s;R2_%s;DIST_PDH;DIST_PDL;", str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid); header += StringFormat("V_SCORE_W1_%s;V_SCORE_D1_%s;AUTOCORR_%s;VOL_REGIME_%s;SQZ_%s;SQZ_MOM_%s;VHF_%s;R2_%s;DIST_PDH;DIST_PDL;", str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid);// Layer 3
// Layer 3
header += StringFormat("VEL_%s;VOL_THRUST;COST_ATR_%s;", str_fast, str_fast); header += StringFormat("VEL_%s;VOL_THRUST;COST_ATR_%s;", str_fast, str_fast);
// Composites // Composites
header += "ABSORPTION;MTF_ALIGN"; header += "ABSORPTION;MTF_ALIGN;VWAP_ALIGN";
FileWrite(file_handle, header); FileWrite(file_handle, header);
@@ -305,7 +306,8 @@ void OnStart()
DoubleToString(results[i].r2, 2), DoubleToString(results[i].r2, 2),
results[i].zone, results[i].zone,
// L2 // L2
DoubleToString(results[i].v_score, 2), DoubleToString(results[i].v_score_week, 2), // New
DoubleToString(results[i].v_score_day, 2), // Renamed from v_score
DoubleToString(results[i].autocorr, 2), DoubleToString(results[i].autocorr, 2),
DoubleToString(results[i].vol_regime, 2), DoubleToString(results[i].vol_regime, 2),
results[i].sqz, results[i].sqz,
@@ -320,7 +322,8 @@ void OnStart()
DoubleToString(results[i].cost_atr, 2), DoubleToString(results[i].cost_atr, 2),
// Composite // Composite
results[i].absorption, results[i].absorption,
results[i].mtf_align results[i].mtf_align,
results[i].vwap_align // New
); );
} }
@@ -504,7 +507,7 @@ bool RunQuantAnalysis(string sym, QuantData &data)
double mid_atr = Calc_ATR(mid_o, mid_h, mid_l, mid_c, InpATRPeriod, idx_l2); double mid_atr = Calc_ATR(mid_o, mid_h, mid_l, mid_c, InpATRPeriod, idx_l2);
// 1. V-Score (Live) // 1. V-Score (Live)
data.v_score = Calc_VScore(sym, mid_t, mid_o, mid_h, mid_l, mid_c, mid_v, InpVScorePeriod, idx_l2); data.v_score_day = Calc_VScore(sym, mid_t, mid_o, mid_h, mid_l, mid_c, mid_v, InpVScorePeriod, PERIOD_SESSION, idx_l2);
// 2. Autocorrelation (Live) // 2. Autocorrelation (Live)
data.autocorr = Calc_AutoCorr(mid_o, mid_h, mid_l, mid_c, InpAutoCorrPeriod, idx_l2); data.autocorr = Calc_AutoCorr(mid_o, mid_h, mid_l, mid_c, InpAutoCorrPeriod, idx_l2);
@@ -533,6 +536,9 @@ bool RunQuantAnalysis(string sym, QuantData &data)
} }
} }
// 7. V-Score Weekly (W1)
data.v_score_week = Calc_VScore(sym, slow_t, slow_o, slow_h, slow_l, slow_c, slow_v, InpVScorePeriod, PERIOD_WEEK, idx_l2);
// M15 TSI for Align // M15 TSI for Align
double tsi_main_m15=0; double tsi_main_m15=0;
Calc_TSI_Values(mid_o, mid_h, mid_l, mid_c, idx_l2, tsi_main_m15, data.m15_tsi_hist); Calc_TSI_Values(mid_o, mid_h, mid_l, mid_c, idx_l2, tsi_main_m15, data.m15_tsi_hist);
@@ -636,6 +642,22 @@ bool RunQuantAnalysis(string sym, QuantData &data)
else else
data.mtf_align = "MIXED"; data.mtf_align = "MIXED";
// VWAP Alignment Logic (New)
// Compares Price location relative to Daily and Weekly Institutional Average
// V_Score > 0 implies Price > VWAP (Bullish Hold)
// V_Score < 0 implies Price < VWAP (Bearish Hold)
bool day_bull = (data.v_score_day > 0);
bool week_bull = (data.v_score_week > 0);
if(day_bull && week_bull)
data.vwap_align = "FULL_BULL";
else
if(!day_bull && !week_bull)
data.vwap_align = "FULL_BEAR";
else
data.vwap_align = "MIXED";
return true; return true;
} }
@@ -807,16 +829,33 @@ double Calc_R2(const double &o[], const double &h[], const double &l[], const do
return r2[idx]; return r2[idx];
} }
////+------------------------------------------------------------------+
////| |
////+------------------------------------------------------------------+
//double Calc_VScore(string sym, const datetime &t[], const double &o[], const double &h[], const double &l[], const double &c[], const long &v[], int p, int idx)
// {
// CVScoreCalculator calc;
// calc.Init(p, PERIOD_SESSION);
// double buf[];
// int total = ArraySize(c);
// ArrayResize(buf, total);
// calc.Calculate(total, 0, t, o, h, l, c, v, v, buf);
// return buf[idx];
// }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| | //| WRAPPER: Calculator V-Score (Updated with Reset Period param) |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
double Calc_VScore(string sym, const datetime &t[], const double &o[], const double &h[], const double &l[], const double &c[], const long &v[], int p, int idx) double Calc_VScore(string sym, const datetime &t[], const double &o[], const double &h[], const double &l[], const double &c[], const long &v[], int p, ENUM_VWAP_PERIOD reset, int idx)
{ {
CVScoreCalculator calc; CVScoreCalculator calc;
calc.Init(p, PERIOD_SESSION); // Init with specific Reset Period (Session or Week)
calc.Init(p, reset);
double buf[]; double buf[];
int total = ArraySize(c); int total = ArraySize(c);
ArrayResize(buf, total); ArrayResize(buf, total);
calc.Calculate(total, 0, t, o, h, l, c, v, v, buf); calc.Calculate(total, 0, t, o, h, l, c, v, v, buf);
return buf[idx]; return buf[idx];
} }