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//+------------------------------------------------------------------+
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//| AlphaBeta_MTF_Pro.mq5 |
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//| Copyright 2026, xxxxxxxx|
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2026, xxxxxxxx"
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#property version "1.00"
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#property description "Rolling Alpha & Beta (Multi-Timeframe)."
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#property description "Displays Higher Timeframe Performance vs Benchmark."
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#property indicator_separate_window
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#property indicator_buffers 2
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#property indicator_plots 1
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// Dynamic Plot Styling (Default is Histogram for Alpha)
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// Will be adjusted in OnInit based on Mode
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#property indicator_label1 "Value MTF"
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#property indicator_type1 DRAW_COLOR_HISTOGRAM
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#property indicator_color1 clrGray, clrLime, clrRed, clrGold
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#property indicator_style1 STYLE_SOLID
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#property indicator_width1 2
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#include <MyIncludes\MathStatistics_Calculator.mqh>
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enum ENUM_AB_MODE { MODE_ALPHA, MODE_BETA };
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//--- Parameters
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input ENUM_TIMEFRAMES InpTimeframe = PERIOD_H1; // Target Timeframe
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input ENUM_AB_MODE InpMode = MODE_ALPHA; // Calculation Mode
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input int InpLookback = 60; // Rolling Window (Bars)
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input string InpBenchmark = "US500"; // Global Bench
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input string InpForexBench = "DX"; // Forex Bench
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//--- Buffers
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double BufDisplay[];
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double BufColors[];
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//--- Internal HTF Data
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double h_asset_c[];
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double h_bench_c[];
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datetime h_asset_t[];
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// HTF Results
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double h_res[];
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CMathStatisticsCalculator *g_stats;
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string g_bench_symbol;
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//+------------------------------------------------------------------+
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//| Init |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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if(InpTimeframe <= Period() && InpTimeframe != PERIOD_CURRENT)
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{
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Print("Warning: Target Timeframe should be > Current.");
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}
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SetIndexBuffer(0, BufDisplay, INDICATOR_DATA);
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SetIndexBuffer(1, BufColors, INDICATOR_COLOR_INDEX);
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// Configure Mode
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string name;
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string tf_name = StringSubstr(EnumToString(InpTimeframe), 7);
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if(InpMode == MODE_ALPHA)
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{
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name = StringFormat("Alpha MTF %s", tf_name);
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PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_HISTOGRAM);
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PlotIndexSetString(0, PLOT_LABEL, "Alpha");
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IndicatorSetInteger(INDICATOR_DIGITS, 4);
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IndicatorSetDouble(INDICATOR_LEVELVALUE, 0, 0.0);
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}
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else
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{
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name = StringFormat("Beta MTF %s", tf_name);
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PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_LINE);
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PlotIndexSetString(0, PLOT_LABEL, "Beta");
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IndicatorSetInteger(INDICATOR_DIGITS, 2);
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IndicatorSetDouble(INDICATOR_LEVELVALUE, 0, 1.0);
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}
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IndicatorSetString(INDICATOR_SHORTNAME, name);
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g_stats = new CMathStatisticsCalculator();
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// Benchmark Logic
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bool is_forex = IsForexPair(_Symbol);
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g_bench_symbol = is_forex ? InpForexBench : InpBenchmark;
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if(_Symbol == g_bench_symbol)
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{
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// Self-reference: Flat line
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return INIT_SUCCEEDED;
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}
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if(!SymbolSelect(g_bench_symbol, true))
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return INIT_FAILED;
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return(INIT_SUCCEEDED);
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}
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void OnDeinit(const int r) { if(CheckPointer(g_stats)==POINTER_DYNAMIC) delete g_stats; }
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//+------------------------------------------------------------------+
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//| Calculate |
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//+------------------------------------------------------------------+
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int OnCalculate(const int rates_total,
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const int prev_calculated,
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const datetime &time[],
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const double &open[],
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const double &high[],
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const double &low[],
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const double &close[],
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const long &tick_volume[],
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const long &volume[],
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const int &spread[])
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{
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if(_Symbol == g_bench_symbol)
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return rates_total; // Skip if self
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// 1. Fetch HTF Data (Asset)
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int htf_bars = iBars(_Symbol, InpTimeframe);
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if(htf_bars < InpLookback + 5)
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return 0;
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int count = MathMin(htf_bars, 3000);
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ArraySetAsSeries(h_asset_t, false);
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ArraySetAsSeries(h_asset_c, false);
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if(CopyTime(_Symbol, InpTimeframe, 0, count, h_asset_t) != count)
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return 0;
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if(CopyClose(_Symbol, InpTimeframe, 0, count, h_asset_c) != count)
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return 0;
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// 2. Calc on HTF
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if(ArraySize(h_res) != count)
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ArrayResize(h_res, count);
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// We skip incremental state for statistics to ensure sync accuracy on re-fetches
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// Loop through fetched HTF history
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for(int i = InpLookback; i < count; i++)
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{
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// A. Extract Asset Subset (Window on HTF)
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double asset_sub[];
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ArrayResize(asset_sub, InpLookback);
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for(int k=0; k<InpLookback; k++)
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asset_sub[k] = h_asset_c[i - InpLookback + 1 + k]; // Adjusted for loop
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// B. Extract Benchmark Subset (Sync by Time)
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double bench_sub[];
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ArrayResize(bench_sub, InpLookback);
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bool data_ok = true;
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for(int k=0; k<InpLookback; k++)
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{
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datetime t = h_asset_t[i - InpLookback + 1 + k];
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// Search on Benchmark TF (same as Asset TF)
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int b_idx = iBarShift(g_bench_symbol, InpTimeframe, t, false);
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if(b_idx < 0)
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{
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data_ok=false;
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break;
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}
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double vals[1];
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if(CopyClose(g_bench_symbol, InpTimeframe, b_idx, 1, vals)<=0)
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{
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data_ok=false;
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break;
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}
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bench_sub[k] = vals[0];
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}
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if(!data_ok)
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{
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h_res[i] = 0;
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continue;
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}
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// C. Compute
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double asset_ret[], bench_ret[];
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g_stats.ComputeReturns(asset_sub, asset_ret);
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g_stats.ComputeReturns(bench_sub, bench_ret);
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double beta = g_stats.CalculateBeta(asset_ret, bench_ret);
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double val = 0;
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if(InpMode == MODE_BETA)
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{
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val = beta;
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}
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else
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{
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double a_tot = (asset_sub[InpLookback-1] - asset_sub[0]) / asset_sub[0];
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double b_tot = (bench_sub[InpLookback-1] - bench_sub[0]) / bench_sub[0];
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val = g_stats.CalculateAlpha(a_tot, b_tot, beta);
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}
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h_res[i] = val;
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}
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// 3. Map to Current M5 Chart
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int start = (prev_calculated > 0) ? prev_calculated - 1 : 0;
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for(int i = start; i < rates_total; i++)
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{
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datetime t = time[i];
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int shift_htf = iBarShift(_Symbol, InpTimeframe, t, false);
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if(shift_htf >= 0)
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{
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int idx_htf = count - 1 - shift_htf;
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if(idx_htf >= 0 && idx_htf < count)
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{
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double val = h_res[idx_htf];
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BufDisplay[i] = val;
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// Color Logic
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if(InpMode == MODE_BETA)
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BufColors[i] = 3.0; // Gold
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else
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{
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if(val > 0)
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BufColors[i] = 1.0; // Lime
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else
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if(val < 0)
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BufColors[i] = 2.0; // Red
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else
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BufColors[i] = 0.0;
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}
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}
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else
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BufDisplay[i] = EMPTY_VALUE;
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}
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}
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return(rates_total);
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool IsForexPair(string sym)
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{
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// Safety: If symbol IS one of the benchmarks, we don't classify it as generic forex pair here
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if(sym == InpBenchmark || sym == InpForexBench)
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return false;
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if(StringFind(sym, "USD") != -1 || StringFind(sym, "EUR") != -1 ||
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StringFind(sym, "GBP") != -1 || StringFind(sym, "JPY") != -1 ||
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StringFind(sym, "CHF") != -1 || StringFind(sym, "AUD") != -1 ||
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StringFind(sym, "CAD") != -1 || StringFind(sym, "NZD") != -1 ||
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StringFind(sym, "XAU") != -1 || StringFind(sym, "XAG") != -1)
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{
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if(StringFind(sym, "XTI") != -1)
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return false;
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if(StringFind(sym, "UKO") != -1)
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return false;
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if(StringFind(sym, "USO") != -1)
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return false;
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if(StringFind(sym, "BTC") != -1)
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return false;
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if(StringFind(sym, "ETH") != -1)
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return false;
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return true;
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}
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return false;
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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