From 6fd7bb3310cabe45de77a2d2f46a815c3a83e9de Mon Sep 17 00:00:00 2001 From: Toh4iem9 Date: Tue, 3 Mar 2026 21:52:50 +0100 Subject: [PATCH] new files added --- .../MyIndicators/Quant/AlphaBeta_MTF_Pro.mq5 | 267 ++++++++++++++++++ 1 file changed, 267 insertions(+) create mode 100644 Indicators/MyIndicators/Quant/AlphaBeta_MTF_Pro.mq5 diff --git a/Indicators/MyIndicators/Quant/AlphaBeta_MTF_Pro.mq5 b/Indicators/MyIndicators/Quant/AlphaBeta_MTF_Pro.mq5 new file mode 100644 index 0000000..82d1f7c --- /dev/null +++ b/Indicators/MyIndicators/Quant/AlphaBeta_MTF_Pro.mq5 @@ -0,0 +1,267 @@ +//+------------------------------------------------------------------+ +//| AlphaBeta_MTF_Pro.mq5 | +//| Copyright 2026, xxxxxxxx| +//+------------------------------------------------------------------+ +#property copyright "Copyright 2026, xxxxxxxx" +#property version "1.00" +#property description "Rolling Alpha & Beta (Multi-Timeframe)." +#property description "Displays Higher Timeframe Performance vs Benchmark." + +#property indicator_separate_window +#property indicator_buffers 2 +#property indicator_plots 1 + +// Dynamic Plot Styling (Default is Histogram for Alpha) +// Will be adjusted in OnInit based on Mode +#property indicator_label1 "Value MTF" +#property indicator_type1 DRAW_COLOR_HISTOGRAM +#property indicator_color1 clrGray, clrLime, clrRed, clrGold +#property indicator_style1 STYLE_SOLID +#property indicator_width1 2 + +#include + +enum ENUM_AB_MODE { MODE_ALPHA, MODE_BETA }; + +//--- Parameters +input ENUM_TIMEFRAMES InpTimeframe = PERIOD_H1; // Target Timeframe +input ENUM_AB_MODE InpMode = MODE_ALPHA; // Calculation Mode +input int InpLookback = 60; // Rolling Window (Bars) +input string InpBenchmark = "US500"; // Global Bench +input string InpForexBench = "DX"; // Forex Bench + +//--- Buffers +double BufDisplay[]; +double BufColors[]; + +//--- Internal HTF Data +double h_asset_c[]; +double h_bench_c[]; +datetime h_asset_t[]; +// HTF Results +double h_res[]; + +CMathStatisticsCalculator *g_stats; +string g_bench_symbol; + +//+------------------------------------------------------------------+ +//| Init | +//+------------------------------------------------------------------+ +int OnInit() + { + if(InpTimeframe <= Period() && InpTimeframe != PERIOD_CURRENT) + { + Print("Warning: Target Timeframe should be > Current."); + } + + SetIndexBuffer(0, BufDisplay, INDICATOR_DATA); + SetIndexBuffer(1, BufColors, INDICATOR_COLOR_INDEX); + +// Configure Mode + string name; + string tf_name = StringSubstr(EnumToString(InpTimeframe), 7); + + if(InpMode == MODE_ALPHA) + { + name = StringFormat("Alpha MTF %s", tf_name); + PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_HISTOGRAM); + PlotIndexSetString(0, PLOT_LABEL, "Alpha"); + IndicatorSetInteger(INDICATOR_DIGITS, 4); + IndicatorSetDouble(INDICATOR_LEVELVALUE, 0, 0.0); + } + else + { + name = StringFormat("Beta MTF %s", tf_name); + PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_LINE); + PlotIndexSetString(0, PLOT_LABEL, "Beta"); + IndicatorSetInteger(INDICATOR_DIGITS, 2); + IndicatorSetDouble(INDICATOR_LEVELVALUE, 0, 1.0); + } + IndicatorSetString(INDICATOR_SHORTNAME, name); + + g_stats = new CMathStatisticsCalculator(); + +// Benchmark Logic + bool is_forex = IsForexPair(_Symbol); + g_bench_symbol = is_forex ? InpForexBench : InpBenchmark; + + if(_Symbol == g_bench_symbol) + { + // Self-reference: Flat line + return INIT_SUCCEEDED; + } + if(!SymbolSelect(g_bench_symbol, true)) + return INIT_FAILED; + + return(INIT_SUCCEEDED); + } + +void OnDeinit(const int r) { if(CheckPointer(g_stats)==POINTER_DYNAMIC) delete g_stats; } + +//+------------------------------------------------------------------+ +//| Calculate | +//+------------------------------------------------------------------+ +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[]) + { + if(_Symbol == g_bench_symbol) + return rates_total; // Skip if self + +// 1. Fetch HTF Data (Asset) + int htf_bars = iBars(_Symbol, InpTimeframe); + if(htf_bars < InpLookback + 5) + return 0; + + int count = MathMin(htf_bars, 3000); + + ArraySetAsSeries(h_asset_t, false); + ArraySetAsSeries(h_asset_c, false); + + if(CopyTime(_Symbol, InpTimeframe, 0, count, h_asset_t) != count) + return 0; + if(CopyClose(_Symbol, InpTimeframe, 0, count, h_asset_c) != count) + return 0; + +// 2. Calc on HTF + if(ArraySize(h_res) != count) + ArrayResize(h_res, count); + +// We skip incremental state for statistics to ensure sync accuracy on re-fetches +// Loop through fetched HTF history + for(int i = InpLookback; i < count; i++) + { + // A. Extract Asset Subset (Window on HTF) + double asset_sub[]; + ArrayResize(asset_sub, InpLookback); + for(int k=0; k 0) ? prev_calculated - 1 : 0; + + 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 = count - 1 - shift_htf; + if(idx_htf >= 0 && idx_htf < count) + { + double val = h_res[idx_htf]; + BufDisplay[i] = val; + + // Color Logic + if(InpMode == MODE_BETA) + BufColors[i] = 3.0; // Gold + else + { + if(val > 0) + BufColors[i] = 1.0; // Lime + else + if(val < 0) + BufColors[i] = 2.0; // Red + else + BufColors[i] = 0.0; + } + } + else + BufDisplay[i] = EMPTY_VALUE; + } + } + + return(rates_total); + } + +//+------------------------------------------------------------------+ +//| | +//+------------------------------------------------------------------+ +bool IsForexPair(string sym) + { +// Safety: If symbol IS one of the benchmarks, we don't classify it as generic forex pair here + if(sym == InpBenchmark || sym == InpForexBench) + return false; + + if(StringFind(sym, "USD") != -1 || StringFind(sym, "EUR") != -1 || + StringFind(sym, "GBP") != -1 || StringFind(sym, "JPY") != -1 || + StringFind(sym, "CHF") != -1 || StringFind(sym, "AUD") != -1 || + StringFind(sym, "CAD") != -1 || StringFind(sym, "NZD") != -1 || + StringFind(sym, "XAU") != -1 || StringFind(sym, "XAG") != -1) + { + if(StringFind(sym, "XTI") != -1) + return false; + if(StringFind(sym, "UKO") != -1) + return false; + if(StringFind(sym, "USO") != -1) + return false; + if(StringFind(sym, "BTC") != -1) + return false; + if(StringFind(sym, "ETH") != -1) + return false; + return true; + } + return false; + } +//+------------------------------------------------------------------+ +//+------------------------------------------------------------------+