diff --git a/Indicators/MyIndicators/Quant/VScore_Bands_Pro.md b/Indicators/MyIndicators/Quant/VScore_Bands_Pro.md deleted file mode 100644 index ddc9de0b..00000000 --- a/Indicators/MyIndicators/Quant/VScore_Bands_Pro.md +++ /dev/null @@ -1,195 +0,0 @@ -# Volume-Weighted Z-Score (V-Score) Projected Bands Pro (v3.10) - -Quantitative Rolling Gaussian Volatility Envelopes & Dynamic Fair-Value Bands Suite - ---- - -## 1. Summary (Introduction) - -**V-Score Bands Pro** is an institutional-grade on-chart volatility envelope that projects the statistical deviation thresholds of the **V-Score (VWAP Z-Score)** directly onto the candlestick chart around the Volume-Weighted Average Price. - -While standard Bollinger Bands project moving standard deviations around an unweighted, lagging Moving Average (SMA), **V-Score Bands Pro anchors its centerline to the true Volume-Weighted Average Price (VWAP)**. It projects three dynamic, rolling standard deviation bands above and below VWAP: - -1. **Flow Bands ($\pm 1.50\sigma$):** The institutional momentum flow channel (Point of No Return). -2. **Extreme Bands ($\pm 2.00\sigma$):** Statistical overbought/oversold boundaries. -3. **Wall Bands ($\pm 2.50\sigma$):** Extreme climax exhaustion caps (Reversal Walls). - -```text - -┌────────────────────────────────────────────────────────────────────────┐ -│ V-SCORE BANDS ON-CHART ENVELOPE │ -├────────────────────────────────────────────────────────────────────────┤ -│ Upper Wall: VWAP(t) + [2.50 × σ_rolling(t)] (clrMidnightBlue) │ -│ Upper Extreme: VWAP(t) + [2.00 × σ_rolling(t)] (clrDeepSkyBlue) │ -│ Upper Flow: VWAP(t) + [1.50 × σ_rolling(t)] (clrLightSkyBlue) │ -│ Centerline: Volume-Weighted Average Price (clrOrange) │ -│ Lower Flow: VWAP(t) - [1.50 × σ_rolling(t)] (clrCoral) │ -│ Lower Extreme: VWAP(t) - [2.00 × σ_rolling(t)] (clrOrangeRed) │ -│ Lower Wall: VWAP(t) - [2.50 × σ_rolling(t)] (clrDarkRed) │ -└────────────────────────────────────────────────────────────────────────┘ - -``` - -### Core Architectural Distinctions - -* **`VWAP_Bands_Pro` vs `VScore_Bands_Pro`:** `VWAP_Bands_Pro` calculates *cumulative* standard deviation anchored from the session open (bands start at $\sigma=0$ and widen over time). `VScore_Bands_Pro` calculates *rolling* standard deviation over the last $N = \text{InpPeriod}$ bars, providing an **open-ended, continuous volatility channel** across all session opens. -* **14-Buffer Synchronized Architecture:** Employs dual Odd/Even buffers for the VWAP centerline and all 6 band levels, guaranteeing zero diagonal connecting lines across session resets. -* **Open-Ended Session Sampling:** Intelligently samples across overnight non-session gaps to preserve authentic rolling market volatility at custom session opens (e.g. LSE 08:00). -* **Unified 2026 MTF Framework:** Synchronized with `DataSync_Tools.mqh` to project higher-timeframe V-Score envelopes (e.g. H1 or Daily) onto lower-timeframe execution charts (M1, M5, M15) with flat, non-warping steps. - ---- - -## 2. Mathematical Foundations & Rolling Dispersion - -```text - - Upper Wall: VWAP + (2.50 · σ) - ═══════════════════════════════════════════════════════════ clrMidnightBlue - Upper Extreme: VWAP + (2.00 · σ) - ─────────────────────────────────────────────────────────── clrDeepSkyBlue - Upper Flow: VWAP + (1.50 · σ) - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - clrLightSkyBlue - Centerline: VWAP Equilibrium - ─────────────────────────────────────────────────────────── clrOrange - Lower Flow: VWAP - (1.50 · σ) - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - clrCoral - Lower Extreme: VWAP - (2.00 · σ) - ─────────────────────────────────────────────────────────── clrOrangeRed - Lower Wall: VWAP - (2.50 · σ) - ═══════════════════════════════════════════════════════════ clrDarkRed - -``` - -### 2.1. Volume-Weighted Centerline ($\mu_{\text{VWAP}, t}$) - -$$\mu_{\text{VWAP}, t} = \frac{\sum_{k=\text{anchor}}^{t} \text{TP}_k \cdot V_k}{\sum_{k=\text{anchor}}^{t} V_k}$$ - -### 2.2. Rolling Standard Deviation Around VWAP ($\sigma_t$) - -To maintain natural open ends across custom session boundaries, standard deviation samples the last $P = \text{InpPeriod}$ valid in-session bars: -$$\text{Diff}_k = C_k - \mu_{\text{VWAP}, k}$$ -$$\sigma_t = \sqrt{\frac{1}{P} \sum_{k \in \text{valid session bars}}^{P} \left( \text{Diff}_k \right)^2}$$ - -### 2.3. Dynamic Envelope Band Projections - -$$\text{Upper Flow}_t = \mu_{\text{VWAP}, t} + (L_{\text{Flow}} \cdot \sigma_t), \quad\quad \text{Lower Flow}_t = \mu_{\text{VWAP}, t} - (L_{\text{Flow}} \cdot \sigma_t)$$ -$$\text{Upper Extr}_t = \mu_{\text{VWAP}, t} + (L_{\text{Extr}} \cdot \sigma_t), \quad\quad \text{Lower Extr}_t = \mu_{\text{VWAP}, t} - (L_{\text{Extr}} \cdot \sigma_t)$$ -$$\text{Upper Wall}_t = \mu_{\text{VWAP}, t} + (L_{\text{Wall}} \cdot \sigma_t), \quad\quad \text{Lower Wall}_t = \mu_{\text{VWAP}, t} - (L_{\text{Wall}} \cdot \sigma_t)$$ -*where $L_{\text{Flow}} = 1.50$, $L_{\text{Extr}} = 2.00$, and $L_{\text{Wall}} = 2.50$.* - ---- - -## 3. MQL5 Architecture & Engineering Standards - -```text - -┌────────────────────────────────────────────────────────┐ -│ VWAP_Calculator.mqh │ -│ (Core Engine: Deterministic Stateless VWAP Evaluator)│ -└──────────────────────────┬─────────────────────────────┘ - │ Outputs Base VWAP Odd/Even Buffers in O(1) - ▼ -┌────────────────────────────────────────────────────────┐ -│ VScore_Bands_Pro.mq5 │ -│ (Unified Wrapper: Native Timeframe & MTF Engine) │ -├──────────────────────────┬─────────────────────────────┤ -│ Buffer Layer (14) │ Centralized Framework │ -│ • 2 Centerline Plots │ • DataSync_Tools.mqh │ -│ • 12 Volatility Bands │ • Staircase Flat-Force │ -│ • Gapped Odd/Even Lines│ • Open-Ended Sampling │ -└──────────────────────────┴─────────────────────────────┘ - -``` - -1. **14-Buffer Odd/Even Gapped Engine:** Prevents diagonal line artifacts across session resets by toggling odd session bars to `Buf..._Odd` and even session bars to `Buf..._Even`. -2. **Open-Ended In-Session Sampling:** Scans backward to collect genuine in-session variance across off-session gaps, ensuring the envelope begins with wide, natural boundaries on the opening bar of custom trading windows. -3. **2026 MTF Framework with Staircase Solution:** Maps higher-timeframe rolling envelopes onto lower-timeframe charts using `first_bar_of_forming_htf` dynamic anchoring and `DataSync_Tools.mqh`. - ---- - -## 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. - -### V-Score Core Settings - -* `InpPeriod` (*default: `20`*): Rolling lookback period ($P$) for computing standard deviation around VWAP. -* `InpVWAPReset` (*default: `PERIOD_SESSION`*): VWAP anchor reset mode (`PERIOD_SESSION`, `PERIOD_WEEK`, `PERIOD_MONTH`, `PERIOD_CUSTOM_SESSION`). -* `InpTzShift` (*default: `0`*): Timezone offset in hours vs broker server time. -* `InpCustomSessionStart` (*default: `"09:30"`*): Session start time (`HH:MM`). -* `InpCustomSessionEnd` (*default: `"16:00"`*): Session end time (`HH:MM`). - -### Calculation Settings - -* `InpVolumeType` (*default: `VOLUME_TICK`*): Volume data source (`VOLUME_TICK` or `VOLUME_REAL`). -* `InpCandleSource` (*default: `CANDLE_STANDARD`*): Price source (`CANDLE_STANDARD` or `CANDLE_HEIKIN_ASHI`). - -### V-Score Z-Levels (Standard Deviations) - -* `InpLevelFlow` (*default: `1.5`*): Flow boundary multiplier ($\pm 1.50\sigma$). -* `InpLevelExtreme` (*default: `2.0`*): Extreme boundary multiplier ($\pm 2.00\sigma$). -* `InpLevelWall` (*default: `2.5`*): Climax Exhaustion Wall multiplier ($\pm 2.50\sigma$). - -### Visual Settings - -* Independent color, style, and width controls for the VWAP centerline and all three level-pairs (`Flow`, `Extreme`, `Wall`). - ---- - -## 5. Institutional Trading Playbooks - -```text - -┌────────────────────────────────────────────────────────────────────────┐ -│ V-SCORE BANDS TRADING PLAYBOOKS │ -├────────────────────────────────────────────────────────────────────────┤ -│ 1. Flow Channel Breakout: Ride momentum when candles close beyond │ -│ Upper/Lower Flow Band (±1.5σ). │ -│ 2. Extreme Reversal Fade: Look for pin-bar rejection at Extreme (±2.0σ)│ -│ targeting mean reversion back to VWAP. │ -│ 3. Wall Climax Bounce: Touch of the ±2.5σ Wall represents an │ -│ exhaustion ceiling; initiate counter-trades. │ -└────────────────────────────────────────────────────────────────────────┘ - -``` - -### 5.1. The Flow Channel Trend Expansion ($\pm 1.50\sigma$) - -* **Bullish Expansion:** Price breaks above the `Bull Flow Band (+1.50σ)` and holds $\rightarrow$ Institutional momentum markup is confirmed. Ride long positions with trailing stop anchored to the VWAP centerline. -* **Bearish Expansion:** Price breaks below the `Bear Flow Band (-1.50σ)` and holds $\rightarrow$ Institutional markdown is active. - -### 5.2. The 2.0σ Extreme Mean Reversion Fade - -* **Context:** Market is in a rotational or ranging regime. -* **Short Entry:** Price thrusts into the `Bull Extreme Band (+2.00σ)` and forms a rejection wick $\rightarrow$ Target: VWAP Centerline ($0.0\sigma$). -* **Long Entry:** Price drops into the `Bear Extreme Band (-2.00σ)` and rejects $\rightarrow$ Target: VWAP Centerline ($0.0\sigma$). - -### 5.3. The 2.5σ Exhaustion Wall Reversal - -* A sharp spike into the **`Bull Wall (+2.50σ)`** (`clrMidnightBlue`) or **`Bear Wall (-2.50σ)`** (`clrDarkRed`) represents a $99\%$ statistical tail event. -* When this coincides with volume exhaustion or divergence on `VScore_Pro`, it signals an institutional blow-off climax, offering prime asymmetrical risk-to-reward reversal opportunities. - ---- - -## 6. Indicator Buffer Map (For Developers & EA Integration) - -| Buffer Index | Name | Type | Description | -| :---: | :---: | :--- | :--- | -| **0** | `BufVWAP_Odd` | `INDICATOR_DATA` | VWAP Centerline (Odd Periods) | -| **1** | `BufVWAP_Even` | `INDICATOR_DATA` | VWAP Centerline (Even Periods - Gapped) | -| **2** | `BufUpFlow_Odd` | `INDICATOR_DATA` | Upper Flow Band ($+1.50\sigma$, Odd Periods) | -| **3** | `BufUpFlow_Even` | `INDICATOR_DATA` | Upper Flow Band ($+1.50\sigma$, Even Periods) | -| **4** | `BufDnFlow_Odd` | `INDICATOR_DATA` | Lower Flow Band ($-1.50\sigma$, Odd Periods) | -| **5** | `BufDnFlow_Even` | `INDICATOR_DATA` | Lower Flow Band ($-1.50\sigma$, Even Periods) | -| **6** | `BufUpExtr_Odd` | `INDICATOR_DATA` | Upper Extreme Band ($+2.00\sigma$, Odd Periods) | -| **7** | `BufUpExtr_Even` | `INDICATOR_DATA` | Upper Extreme Band ($+2.00\sigma$, Even Periods) | -| **8** | `BufDnExtr_Odd` | `INDICATOR_DATA` | Lower Extreme Band ($-2.00\sigma$, Odd Periods) | -| **9** | `BufDnExtr_Even` | `INDICATOR_DATA` | Lower Extreme Band ($-2.00\sigma$, Even Periods) | -| **10** | `BufUpWall_Odd` | `INDICATOR_DATA` | Upper Wall Band ($+2.50\sigma$, Odd Periods) | -| **11** | `BufUpWall_Even` | `INDICATOR_DATA` | Upper Wall Band ($+2.50\sigma$, Even Periods) | -| **12** | `BufDnWall_Odd` | `INDICATOR_DATA` | Lower Wall Band ($-2.50\sigma$, Odd Periods) | -| **13** | `BufDnWall_Even` | `INDICATOR_DATA` | Lower Wall Band ($-2.50\sigma$, Even Periods) | - -*All buffers strictly maintain non-series chronological order (`ArraySetAsSeries = false`), ensuring seamless integration with Expert Advisors via `iCustom()`.*