From 865c0a8744c9f514df08e4058affcb3329a45261 Mon Sep 17 00:00:00 2001 From: Toh4iem9 Date: Tue, 16 Jun 2026 15:22:13 +0200 Subject: [PATCH] new files added --- .../MyIndicators/Quant/PairsTrading_Pro.mq5 | 192 ++++++++++++++++++ 1 file changed, 192 insertions(+) create mode 100644 Indicators/MyIndicators/Quant/PairsTrading_Pro.mq5 diff --git a/Indicators/MyIndicators/Quant/PairsTrading_Pro.mq5 b/Indicators/MyIndicators/Quant/PairsTrading_Pro.mq5 new file mode 100644 index 0000000..ed2446b --- /dev/null +++ b/Indicators/MyIndicators/Quant/PairsTrading_Pro.mq5 @@ -0,0 +1,192 @@ +//+------------------------------------------------------------------+ +//| PairsTrading_Pro.mq5 | +//| Copyright 2026, xxxxxxxx| +//+------------------------------------------------------------------+ +#property copyright "Copyright 2026, xxxxxxxx" +#property version "1.10" // Upgraded with fixed window scale and 5-zone thermal histogram +#property description "Universal Dynamic Cointegration (Z-Score) Monitor." +#property description "Default: Brent (UKOIL) vs WTI (USOIL) relative value trader." +#property indicator_separate_window +#property indicator_buffers 2 +#property indicator_plots 1 + +//--- FIXED: Standardized window limits to prevent single-spike scale squishing! +#property indicator_minimum -3.5 +#property indicator_maximum 3.5 + +//--- Institutional Levels Configuration (Perfect alignment under fixed scale) +#property indicator_level1 2.5 +#property indicator_level2 2.0 +#property indicator_level3 1.5 +#property indicator_level4 -1.5 +#property indicator_level5 -2.0 +#property indicator_level6 -2.5 + +#property indicator_levelcolor clrSilver +#property indicator_levelstyle STYLE_DOT + +//--- Plot: Color Histogram (5-Zone Thermal Palette) +#property indicator_label1 "Spread Z-Score" +#property indicator_type1 DRAW_COLOR_HISTOGRAM +// 5-Color Palette: +// 0: Noise/Neutral (Gray) +// 1: Bull Flow (Coral - warning) +// 2: Bull Extreme (OrangeRed - Sell Spread zone) +// 3: Bear Flow (LightSkyBlue - warning) +// 4: Bear Extreme (DeepSkyBlue - Buy Spread zone) +#property indicator_color1 clrGray, clrCoral, clrOrangeRed, clrLightSkyBlue, clrDeepSkyBlue +#property indicator_style1 STYLE_SOLID +#property indicator_width1 2 + +#include + +//--- Input Parameters +input string InpSymbolA = "UKOIL"; // Symbol A (Brent Proxy, e.g. UKOIL or BRENT) +input string InpSymbolB = "USOIL"; // Symbol B (WTI Proxy, e.g. USOIL or WTI) +input int InpLookback = 120; // Rolling OLS Regression Window (Bars) + +//--- Buffers +double ExtZScoreBuffer[]; +double ExtColorsBuffer[]; + +//--- Aligned price arrays +double g_sync_close_A[]; +double g_sync_close_B[]; + +//--- Global Engine +CPairsTradingCalculator *g_calc; +bool g_data_synced = false; + +//+------------------------------------------------------------------+ +//| EnsureDataReady (Multi-symbol history sync helper) | +//+------------------------------------------------------------------+ +bool EnsureDataReady(const string symbol, const ENUM_TIMEFRAMES timeframe, const int required_bars) + { + ResetLastError(); + if(!SymbolInfoInteger(symbol, SYMBOL_SELECT)) + { + SymbolSelect(symbol, true); + } + datetime times[]; + int copied = CopyTime(symbol, timeframe, 0, required_bars, times); + return (copied >= required_bars); + } + +//+------------------------------------------------------------------+ +//| OnInit | +//+------------------------------------------------------------------+ +int OnInit() + { + g_data_synced = false; + + SetIndexBuffer(0, ExtZScoreBuffer, INDICATOR_DATA); + SetIndexBuffer(1, ExtColorsBuffer, INDICATOR_COLOR_INDEX); + + ArraySetAsSeries(ExtZScoreBuffer, false); + ArraySetAsSeries(ExtColorsBuffer, false); + +// Configure shortname dynamically + string short_name = StringFormat("PairsTrade Pro(%s vs %s, %d)", InpSymbolA, InpSymbolB, InpLookback); + IndicatorSetString(INDICATOR_SHORTNAME, short_name); + IndicatorSetInteger(INDICATOR_DIGITS, 2); + + g_calc = new CPairsTradingCalculator(); + if(CheckPointer(g_calc) == POINTER_INVALID || !g_calc.Init(InpLookback)) + { + Print("Error: Failed to initialize PairsTrading Calculator."); + return INIT_FAILED; + } + + return(INIT_SUCCEEDED); + } + +//+------------------------------------------------------------------+ +//| OnDeinit | +//+------------------------------------------------------------------+ +void OnDeinit(const int reason) + { + if(CheckPointer(g_calc) == POINTER_DYNAMIC) + delete g_calc; + } + +//+------------------------------------------------------------------+ +//| OnCalculate | +//+------------------------------------------------------------------+ +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[]) + { + int required_bars = InpLookback + 10; + +//--- Ensure both symbol histories are fully loaded in the terminal + if(!EnsureDataReady(InpSymbolA, _Period, required_bars) || + !EnsureDataReady(InpSymbolB, _Period, required_bars)) + { + g_data_synced = false; + return 0; // Wait for next tick to let history load + } + + g_data_synced = true; + +//--- 1. Advanced Bar-Time Synchronization & Alignment Loop (O(1) incremental) + ArrayResize(g_sync_close_A, rates_total); + ArrayResize(g_sync_close_B, rates_total); + + int loop_start = (prev_calculated == 0) ? 0 : prev_calculated - 1; + if(loop_start < 0) + loop_start = 0; + + for(int i = loop_start; i < rates_total; i++) + { + // Sync Symbol A Price + int shift_A = iBarShift(InpSymbolA, _Period, time[i], false); + if(shift_A >= 0) + g_sync_close_A[i] = iClose(InpSymbolA, _Period, shift_A); + else + g_sync_close_A[i] = (i > 0) ? g_sync_close_A[i-1] : close[i]; + + // Sync Symbol B Price + int shift_B = iBarShift(InpSymbolB, _Period, time[i], false); + if(shift_B >= 0) + g_sync_close_B[i] = iClose(InpSymbolB, _Period, shift_B); + else + g_sync_close_B[i] = (i > 0) ? g_sync_close_B[i-1] : close[i]; + } + +//--- 2. Calculate the rolling OLS Cointegration Z-Score + int calc_start = (prev_calculated == 0) ? InpLookback : prev_calculated - 1; + if(calc_start < InpLookback) + calc_start = InpLookback; + + for(int i = calc_start; i < rates_total; i++) + { + double z = g_calc.CalculateZScore(rates_total, i, g_sync_close_A, g_sync_close_B); + ExtZScoreBuffer[i] = z; + + //--- 3. 5-Zone Thermal Color Mapping + if(z >= 2.0) + ExtColorsBuffer[i] = 2.0; // Index 2: OrangeRed (Sell Spread - Short A, Long B) + else + if(z >= 1.5) + ExtColorsBuffer[i] = 1.0; // Index 1: Coral (Sell Warning) + else + if(z <= -2.0) + ExtColorsBuffer[i] = 4.0; // Index 4: DeepSkyBlue (Buy Spread - Long A, Short B) + else + if(z <= -1.5) + ExtColorsBuffer[i] = 3.0; // Index 3: LightSkyBlue (Buy Warning) + else + ExtColorsBuffer[i] = 0.0; // Index 0: Gray (Neutral Noise) + } + + return(rates_total); + } +//+------------------------------------------------------------------+ +//+------------------------------------------------------------------+