From 7b91630f66e35d765b3deb81e6466d7f11009a5b Mon Sep 17 00:00:00 2001 From: Toh4iem9 Date: Tue, 25 Aug 2026 08:48:56 +0200 Subject: [PATCH] new files added --- .../Authors/Kaufman/KScore_Anchored_Pro.md | 192 ++++++++++++++++++ 1 file changed, 192 insertions(+) create mode 100644 Indicators/MyIndicators/Authors/Kaufman/KScore_Anchored_Pro.md diff --git a/Indicators/MyIndicators/Authors/Kaufman/KScore_Anchored_Pro.md b/Indicators/MyIndicators/Authors/Kaufman/KScore_Anchored_Pro.md new file mode 100644 index 00000000..5323ee8b --- /dev/null +++ b/Indicators/MyIndicators/Authors/Kaufman/KScore_Anchored_Pro.md @@ -0,0 +1,192 @@ +# Session-Anchored Kaufman's Adaptive Z-Score (AK-Score) Pro (v1.00) + +Quantitative Session-Anchored Statistical Dispersion & Elasticity Oscillator + +--- + +## 1. Summary (Introduction) + +**KScore Anchored Pro (AK-Score Pro)** is an institutional-grade statistical momentum oscillator that measures intra-session price deviation from **Session-Anchored Kaufman's Adaptive Moving Average (AKAMA)** normalized in units of cumulative session standard deviation ($\sigma$). + +While traditional rolling Z-Score indicators compute standard deviation across a fixed lookback window that inadvertently blends overnight low-volume drift with regular market hours, **AK-Score calculates dispersion strictly accumulated from the session anchor point**: + +* **At Session Open (Anchor Bar):** AK-Score is initialized to $0.0\sigma$ (Neutral Gray), establishing an unpolluted baseline at market opens (such as the **London Stock Exchange (LSE)**, **Frankfurt**, or **New York Cash Open**). +* **During Session Expansion:** As institutional volume drives price away from the anchored mean, AK-Score measures whether the momentum is a healthy intra-session expansion ($+1.0\sigma \dots +1.5\sigma$) or has stretched into an unsustainable statistical climax ($> +2.0\sigma \dots +2.5\sigma$). +* **During Post-Session Hours:** When used with `ANCHOR_PERIOD_CUSTOM_SESSION`, the indicator cleanly disconnects during off-hours, ensuring that only valid institutional trading windows are evaluated. + +```text + +┌────────────────────────────────────────────────────────────────────────┐ +│ AK-SCORE DISPERSION MODEL │ +├────────────────────────────────────────────────────────────────────────┤ +│ AK-Score(t) = [ Price(t) - AKAMA(t) ] / IntraSession_StdDev(t) │ +│ Expressed in session-relative Standard Deviation multiples (σ) │ +└────────────────────────────────────────────────────────────────────────┘ + +``` + +--- + +## 2. Mathematical Foundations & Kinetic Dynamics + +```text + + +2.5σ (Extreme Session Climax) + ───────────────────────────────────────────────────────────── DeepSkyBlue (Bull Climax) + +1.5σ (Bullish Flow Threshold) + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - LightSkyBlue (Bull Flow) + 0.0σ (Session Anchor / AKAMA Baseline) + ───────────────────────────────────────────────────────────── Gray (Noise / Equilibrium) + -1.5σ (Bearish Flow Threshold) + - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - Coral (Bear Flow) + -2.5σ (Extreme Session Climax) + ───────────────────────────────────────────────────────────── OrangeRed (Bear Climax) + +``` + +### 2.1. Anchor Reset & Intra-Session Lookback Expansion + +At each session boundary bar ($t = \text{Anchor Bar}$), AKAMA initializes directly from the opening price: +$$\text{AKAMA}_{\text{anchor}} = P_{\text{anchor}}$$ + +For any subsequent bar within the active session ($k_t = t - \text{Anchor Bar}$): +$$N_{\text{eff}} = \min(k_t, N_{\text{ER}})$$ +$$\text{Direction}_t = | P_t - P_{t - N_{\text{eff}}} |$$ +$$\text{Volatility}_t = \sum_{j=0}^{N_{\text{eff}}-1} | P_{t-j} - P_{t-j-1} |$$ +$$\text{ER}_t = \frac{\text{Direction}_t}{\text{Volatility}_t}$$ +$$\text{AKAMA}_t = \text{AKAMA}_{t-1} + \text{SC}_t \cdot (P_t - \text{AKAMA}_{t-1})$$ + +--- + +### 2.2. Cumulative Intra-Session Standard Deviation ($\sigma_{\text{session}, t}$) + +Standard deviation is calculated by accumulating the squared deviations of price relative to the evolving AKAMA line strictly within the session: +$$\text{Variance}_t = \frac{1}{k_t + 1} \sum_{j=\text{Anchor Bar}}^{t} \left( P_j - \text{AKAMA}_j \right)^2$$ +$$\sigma_{\text{session}, t} = \sqrt{\text{Variance}_t}$$ + +### 2.3. Standardized AK-Score Formulation + +$$AK\text{Score}_t = \begin{cases} \frac{P_t - \text{AKAMA}_t}{\sigma_{\text{session}, t}}, & \text{if } \sigma_{\text{session}, t} > 10^{-9} \\ 0.0, & \text{at anchor bar } (k_t = 0) \end{cases}$$ + +--- + +### 2.4. Swapped Thermal 5-Zone Color Palette + +| State Index | Color | Classification | Sigma Level Trigger | Contextual Action | +| :---: | :---: | :--- | :--- | :--- | +| **0.0** | `clrGray` | **Neutral / Equilibrium** | $\|AK\text{Score}\| \le 1.5\sigma$ | Normal distribution around AKAMA; trend in balance. | +| **1.0** | `clrLightSkyBlue` | **Bullish Flow** | $+1.5\sigma < AK\text{Score} \le +2.0\sigma$ | Healthy intra-session upward impulse expansion. | +| **2.0** | `clrDeepSkyBlue` | **Bullish Climax** | $AK\text{Score} > +2.0\sigma$ | Parabolic intra-session exhaustion; prepare scale-out. | +| **3.0** | `clrCoral` | **Bearish Flow** | $-2.0\sigma \le AK\text{Score} < -1.5\sigma$ | Healthy intra-session downward impulse expansion. | +| **4.0** | `clrOrangeRed` | **Bearish Climax** | $AK\text{Score} < -2.0\sigma$ | Panic intra-session exhaustion; prepare short-covering. | + +--- + +## 3. MQL5 Architecture & Engineering Standards + +```text + +┌────────────────────────────────────────────────────────┐ +│ KScore_Anchored_Calculator.mqh │ +│ (Core Engine: Encapsulated CKamaAnchoredCalculator) │ +└──────────────────────────┬─────────────────────────────┘ + │ Outputs Standardized AK-Score in O(1) + ▼ +┌────────────────────────────────────────────────────────┐ +│ KScore_Anchored_Pro.mq5 │ +│ (Unified Wrapper: Native Timeframe & MTF Engine) │ +├──────────────────────────┬─────────────────────────────┤ +│ Buffer Layer (3) │ Centralized Framework │ +│ • BufferAKScore (DATA) │ • DataSync_Tools.mqh │ +│ • BufferColors (INDEX) │ • MovingAverage_Engine │ +│ • BufferSignal (DATA) │ • Dynamic Sigma Levels │ +└──────────────────────────┴─────────────────────────────┘ + +``` + +1. **Defensive Memory & Auto-Resizing Engine:** `CKScoreAnchoredCalculator` implements auto-resizing safety guards for all internal dynamic arrays (`m_kama_odd`, `m_kama_even`, `m_price`, `out_akscore`), guaranteeing 100% crash-proof execution. +2. **Stateless Session Tracking:** Compares bar timestamps deterministically, ensuring that real-time tick recalculations never corrupt historical session registers. +3. **2026 MTF Framework (`DataSync_Tools.mqh`):** Higher-timeframe AK-Score histograms map into synchronized steps on lower-timeframe execution charts with zero step-warping. + +--- + +## 4. Parameters Reference + +### Timeframe Settings + +* `InpTimeframe` (*default: `PERIOD_CURRENT`*): Calculation timeframe. When set to `PERIOD_CURRENT`, it operates in native zero-lag mode. When set to a higher timeframe (e.g., `PERIOD_M15`, `PERIOD_H1`), it activates the synchronized MTF engine. + +### Anchor Settings + +* `InpResetPeriod` (*default: `ANCHOR_PERIOD_SESSION`*): Anchor mode (`ANCHOR_PERIOD_SESSION`, `ANCHOR_PERIOD_WEEK`, `ANCHOR_PERIOD_MONTH`, `ANCHOR_PERIOD_CUSTOM_SESSION`). +* `InpTzShift` (*default: `0`*): Timezone offset in hours to align resets with broker server time. +* `InpCustomStart` (*default: `"08:00"`*): Session start time (`HH:MM`) when using `ANCHOR_PERIOD_CUSTOM_SESSION` (e.g., LSE Open). +* `InpCustomEnd` (*default: `"17:00"`*): Session end time (`HH:MM`) when using `ANCHOR_PERIOD_CUSTOM_SESSION` (e.g., LSE Close). + +### KAMA Core Settings + +* `InpErPeriod` (*default: `10`*): Lookback period ($N$) for the KAMA Efficiency Ratio. +* `InpFastEmaPeriod` (*default: `2`*): Fastest smoothing period ($F$) during strong directional efficiency. +* `InpSlowEmaPeriod` (*default: `30`*): Slowest smoothing period ($S$) during consolidation. +* `InpSourcePrice` (*default: `PRICE_CLOSE_STD`*): Applied price series (Standard OHLC or Synthetic Heikin Ashi). + +### Signal Line Settings + +* `InpShowSignal` (*default: `true`*): Toggle visibility of the Signal Moving Average line. +* `InpSignalPeriod` (*default: `5`*): Lookback period for the signal line. +* `InpSignalType` (*default: `EMA`*): Smoothing algorithm (`SMA`, `EMA`, `SMMA`, `LWMA`, `TMA`, `DEMA`, `TEMA`, `VWMA`). +* `InpColorSignal` (*default: `clrFireBrick`*): Color applied to the signal line plot. + +### Indicator Levels (Sigma Units) + +* `InpLevelFlowHigh` (*default: `1.5`*): Bullish Flow warning boundary. +* `InpLevelFlowLow` (*default: `-1.5`*): Bearish Flow warning boundary. +* `InpLevelClimaxHigh` (*default: `2.0`*): Bullish Climax threshold (`DeepSkyBlue`). +* `InpLevelClimaxLow` (*default: `-2.0`*): Bearish Climax threshold (`OrangeRed`). +* `InpLevelExtremeHigh` (*default: `2.5`*): Extreme statistical exhaustion level. +* `InpLevelExtremeLow` (*default: `-2.5`*): Extreme statistical capitulation level. +* `InpLevelColor` (*default: `clrSilver`*): Color of horizontal level lines. +* `InpLevelStyle` (*default: `STYLE_DOT`*): Line style of horizontal level lines. + +--- + +## 5. Institutional Trading Playbooks (The Custom Session Advantage) + +```text + +┌────────────────────────────────────────────────────────────────────────┐ +│ INSTITUTIONAL CUSTOM SESSION PLAYBOOKS │ +├────────────────────────────────────────────────────────────────────────┤ +│ 1. LSE Breakout Filter: Confirm London opening breakout when AK-Score │ +│ crosses +1.5σ with Signal MA confirmation. │ +│ 2. Session Climax Fade: When AK-Score hits +2.5σ in late session, │ +│ prepare to fade back to the AKAMA mean. │ +│ 3. Squeeze Invalidation: In tight session ranges, spikes into ±2.0σ │ +│ identify liquidity sweeps (false breakouts). │ +└────────────────────────────────────────────────────────────────────────┘ + +``` + +### 5.1. The London Opening Session Momentum Trigger (LSE Open) + +* **Configuration:** `InpResetPeriod = ANCHOR_PERIOD_CUSTOM_SESSION`, `InpCustomStart = "08:00"`, `InpCustomEnd = "16:30"`. +* **Execution:** At the 08:00 London bell, AK-Score starts at $0.0\sigma$. If European institutional order flow drives price aggressively: + * A cross above `+1.5σ (LightSkyBlue)` confirmed by the Signal MA line validates that institutional capital is actively expanding the session range $\rightarrow$ Enter Long. + * A cross below `-1.5σ (Coral)` confirmed by the Signal MA validates downward expansion $\rightarrow$ Enter Short. + +### 5.2. Session Climax & Late-Day Mean Reversion + +* If AK-Score spikes above `+2.0σ` or `+2.5σ (DeepSkyBlue)` during midday or late session and then crosses **below** the Signal MA line: + * **Action:** Close trend-following long positions or enter mean-reversion counter-trades targeting the session AKAMA baseline ($0.0\sigma$). + +--- + +## 6. Indicator Buffer Map (For Developers & EA Integration) + +| Buffer Index | Name | Type | Description | +| :---: | :---: | :---: | :--- | +| **0** | `BufferAKScore` | `INDICATOR_DATA` | Standardized AK-Score Values in Session Sigma Multiples ($\sigma$) | +| **1** | `BufferColors` | `INDICATOR_COLOR_INDEX` | Swapped Thermal 5-Zone Palette Index ($0.0 \dots 4.0$) | +| **2** | `BufferSignal` | `INDICATOR_DATA` | Smoothed Signal Moving Average Plot | + +*All buffers strictly maintain non-series chronological order (`ArraySetAsSeries = false`), ensuring instant compatibility with MetaTrader 5 Expert Advisors via `iCustom()`.*