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refactor(indicators): Cost moved to M5, Squeeze Engine integrated

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This commit is contained in:
Toh4iem9
2026-02-11 16:53:42 +01:00
parent 0b82f711db
commit 783a060ba4
1 changed files with 38 additions and 30 deletions
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Scripts/MyScripts/Market_Scanner_Pro.mq5
+38 -30
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@@ -1,10 +1,10 @@
//+------------------------------------------------------------------+
//| Market_Scanner_Pro.mq5 |
//| QuantScan 8.0 - Live & Value Precision |
//| QuantScan 8.1 - Optimization |
//| Copyright 2026, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "8.00" // Hybrid Locking (Live/Closed) + TSI Values
#property version "8.10" // Cost moved to M5, Squeeze Engine integrated
#property description "Exports 'QuantScan 8.0' dataset for LLM Analysis."
#property description "Features mixed Live/Closed logic and numeric TSI data."
#property script_show_inputs
@@ -25,6 +25,8 @@
#include <MyIncludes\SessionLevels_Calculator.mqh>
#include <MyIncludes\Metrics_Tools.mqh>
#include <MyIncludes\DataSync_Tools.mqh>
// NEW INCLUDE
#include <MyIncludes\Squeeze_Calculator.mqh>
//--- Input Parameters ---
input group "Scanner Config"
@@ -93,7 +95,7 @@ struct QuantData
double m15_vola_regime;
double m15_tsi_val;
double m15_tsi_hist;
double spread_cost;
// Cost moved from here
// --- Layer 3: M5 Trigger (ALL LIVE) ---
double m5_momentum;
@@ -101,6 +103,7 @@ struct QuantData
double m5_tsi_val;
double m5_tsi_hist;
double m5_velocity;
double spread_cost; // MOVED HERE
// --- Composites ---
double vol_thrust;
@@ -257,10 +260,12 @@ void OnStart()
header += StringFormat("TREND_SC_%s;TREND_QUAL_%s;TREND_SLOPE_%s;ZONE_%s;REL_STR_%s;BETA_%s;ALPHA_%s;TSI_VAL_%s;TSI_HIST_%s;",
str_slow, str_slow, str_slow, str_slow, str_slow, str_slow, str_slow, str_slow, str_slow);
header += StringFormat("DIST_PDH_%s;DIST_PDL_%s;MOM_%s;RVOL_%s;SQZ_%s;VWAP_SLOPE_%s;Z_SCORE_%s;VOL_REGIME_%s;COST_ATR_%s;TSI_VAL_%s;TSI_HIST_%s;",
str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid);
// M15 Header (Removed COST_ATR)
header += StringFormat("DIST_PDH_%s;DIST_PDL_%s;MOM_%s;RVOL_%s;SQZ_%s;VWAP_SLOPE_%s;Z_SCORE_%s;VOL_REGIME_%s;TSI_VAL_%s;TSI_HIST_%s;",
str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid);
header += StringFormat("MOM_%s;RVOL_%s;TSI_VAL_%s;TSI_HIST_%s;VEL_%s;", str_fast, str_fast, str_fast, str_fast, str_fast);
// M5 Header (Added COST_ATR)
header += StringFormat("MOM_%s;RVOL_%s;TSI_VAL_%s;TSI_HIST_%s;VEL_%s;COST_ATR_%s;", str_fast, str_fast, str_fast, str_fast, str_fast, str_fast);
header += "VOL_THRUST;REV_PROB;ABSORPTION;MTF_ALIGN";
@@ -301,7 +306,7 @@ void OnStart()
DoubleToString(data.m15_vwap_slope, 2),
DoubleToString(data.m15_z_score, 2),
DoubleToString(data.m15_vola_regime, 2),
DoubleToString(data.spread_cost, 2),
// Removed Spread Cost from here in CSV Write order!
DoubleToString(data.m15_tsi_val, 2),
DoubleToString(data.m15_tsi_hist, 2),
// M5
@@ -310,6 +315,7 @@ void OnStart()
DoubleToString(data.m5_tsi_val, 2),
DoubleToString(data.m5_tsi_hist, 2),
DoubleToString(data.m5_velocity, 2),
DoubleToString(data.spread_cost, 2), // Added Here
// Composites
DoubleToString(data.vol_thrust, 2),
DoubleToString(data.rev_prob, 0) + "%",
@@ -437,14 +443,14 @@ bool RunQuantAnalysis(string sym, double bench_change, QuantData &data)
data.m15_momentum = Calc_LaguerreRSI(mid_o, mid_h, mid_l, mid_c, idx_live_mid);
data.m15_vol_qual = Calc_RVOL(mid_v, InpRVOLPeriod, idx_live_mid);
data.m15_squeeze = Calc_Squeeze(sym, InpTFMiddle, mid_o, mid_h, mid_l, mid_c, idx_live_mid);
data.m15_squeeze = Calc_Squeeze(sym, InpTFMiddle, mid_o, mid_h, mid_l, mid_c, idx_live_mid);
data.m15_z_score = Calc_ZScore(mid_o, mid_h, mid_l, mid_c, InpZScorePeriod, idx_live_mid);
double vwap_series[];
Calc_VWAP_Series(mid_t, mid_o, mid_h, mid_l, mid_c, mid_v, PERIOD_SESSION, vwap_series);
data.m15_vwap_slope = CMetricsTools::CalculateSlope(vwap_series[idx_live_mid], vwap_series[idx_live_mid - InpSlopeLookback], mid_atr, InpSlopeLookback);
data.spread_cost = CMetricsTools::CalculateSpreadCost(sym, mid_atr);
//data.spread_cost = CMetricsTools::CalculateSpreadCost(sym, mid_atr);
double atr_f = Calc_ATR(mid_o, mid_h, mid_l, mid_c, 5, idx_live_mid);
double atr_s = Calc_ATR(mid_o, mid_h, mid_l, mid_c, 50, idx_live_mid);
@@ -473,12 +479,13 @@ bool RunQuantAnalysis(string sym, double bench_change, QuantData &data)
return false;
int idx_live_fast = ArraySize(fast_c) - 1;
double fast_atr = Calc_ATR(fast_o, fast_h, fast_l, fast_c, InpATRPeriod, idx_live_fast);
double fast_atr = Calc_ATR(fast_o, fast_h, fast_l, fast_c, InpATRPeriod, idx_live_fast);
data.m5_momentum = Calc_LaguerreRSI(fast_o, fast_h, fast_l, fast_c, idx_live_fast);
data.m5_vol_qual = Calc_RVOL(fast_v, InpRVOLPeriod, idx_live_fast);
Calc_TSI_Values(fast_o, fast_h, fast_l, fast_c, idx_live_fast, data.m5_tsi_val, data.m5_tsi_hist);
data.m5_velocity = Calc_Velocity(fast_c, fast_atr, 3, idx_live_fast);
data.spread_cost = CMetricsTools::CalculateSpreadCost(sym, fast_atr);
// =================================================================
// COMPOSITES
@@ -620,32 +627,33 @@ double Calc_RVOL(const long &vol[], int p, int idx)
calc.Init(p);
return calc.CalculateSingle(ArraySize(vol), vol, idx);
}
// Calc_DSMA_Score needs to take idx now inside logic if needed, but wrapper returns value?
// No, the previous wrapper returned doubl. I updated it above to logic.
// Please ensure all previous wrappers (Laguerre, Squeeze, etc) are updated to take 'int idx' and use it.
// (I am including them in the final code block implicitly, ensure they are copied from v7.40 and updated).
//+------------------------------------------------------------------+
//| |
//| WRAPPER UPDATE: Calc_Squeeze using Engine |
//+------------------------------------------------------------------+
string Calc_Squeeze(string sym, ENUM_TIMEFRAMES tf, const double &o[], const double &h[], const double &l[], const double &c[], int idx)
{
int total = ArraySize(c);
CBollingerBandsCalculator bb;
bb.Init(InpSqueezeLength, InpBBMult, SMA);
CKeltnerChannelCalculator kc;
kc.Init(InpSqueezeLength, SMA, InpSqueezeLength, InpKCMult, ATR_SOURCE_STANDARD);
double b_ma[], b_up[], b_lo[];
ArrayResize(b_ma, total);
ArrayResize(b_up, total);
ArrayResize(b_lo, total);
double k_ma[], k_up[], k_lo[];
ArrayResize(k_ma, total);
ArrayResize(k_up, total);
ArrayResize(k_lo, total);
bb.Calculate(total, 0, PRICE_CLOSE, o, h, l, c, b_ma, b_up, b_lo);
kc.Calculate(total, 0, o, h, l, c, PRICE_CLOSE, k_ma, k_up, k_lo);
return ((b_up[idx] < k_up[idx]) && (b_lo[idx] > k_lo[idx])) ? "ON" : "OFF";
CSqueezeCalculator sqz;
// Init with Inputs: Period, BB Mult, KC Mult, Mom Period(dummy 12)
if(!sqz.Init(InpSqueezeLength, InpBBMult, InpKCMult, 12))
return "ERR";
double mom[], val[], col[];
ArrayResize(mom, total);
ArrayResize(val, total);
ArrayResize(col, total);
// Wrapper expects Calc call.
sqz.Calculate(total, 0, PRICE_CLOSE, o, h, l, c, mom, val, col);
// Check color index at idx.
// CSqueezeCalculator logic: out_sqz_color[i] = is_squeeze ? 1.0 : 0.0;
// 1.0 = Red (ON), 0.0 = Green (OFF)
if(idx < total)
return (col[idx] == 1.0) ? "ON" : "OFF";
return "N/A";
}
//+------------------------------------------------------------------+