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refactor: Integrated double-volume array translation to support VWMA Signal lines

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This commit is contained in:
Toh4iem9
2026-06-21 15:11:16 +02:00
parent 5db1e5ada7
commit 986de5026a
1 changed files with 132 additions and 39 deletions
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Indicators/MyIndicators/Quant/ZScore_Pro.mq5
+132 -39
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@@ -3,64 +3,83 @@
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "1.40" // Upgraded with dynamic MA type selectors and volume support
#property description "Statistical Z-Score Oscillator."
#property version "1.70" // Integrated double-volume array translation to support VWMA Signal lines
#property description "Statistical Z-Score Oscillator with dynamic Signal Line."
#property description "Displays deviations from any selected Moving Average in Sigma units."
#property indicator_separate_window
#property indicator_buffers 2
#property indicator_plots 1
#property indicator_buffers 3
#property indicator_plots 2
//--- Institutional Levels Configuration (Sigma boundaries)
//--- Institutional Levels Configuration (6 Sigma boundaries)
#property indicator_level1 2.0
#property indicator_level2 -2.0
#property indicator_level3 3.0
#property indicator_level4 -3.0
#property indicator_level3 2.5
#property indicator_level4 -2.5
#property indicator_level5 3.0
#property indicator_level6 -3.0
#property indicator_levelcolor clrSilver
#property indicator_levelstyle STYLE_DOT
//--- Plot: Z-Score Histogram (Colored)
//--- Plot 1: Z-Score Histogram (5-Zone Thermal Palette)
#property indicator_label1 "Z-Score"
#property indicator_type1 DRAW_COLOR_HISTOGRAM
// Color Index: 0=Normal, 1=High(Red), 2=Low(Lime)
#property indicator_color1 clrGray, clrOrangeRed, clrSpringGreen
// 5-Color Palette:
// 0: Noise/Neutral (Gray)
// 1: Warning High (Coral)
// 2: Extreme High (OrangeRed)
// 3: Warning Low (LightSkyBlue)
// 4: Extreme Low (DeepSkyBlue)
#property indicator_color1 clrGray, clrCoral, clrOrangeRed, clrLightSkyBlue, clrDeepSkyBlue
#property indicator_style1 STYLE_SOLID
#property indicator_width1 2
//--- Plot 2: Optional Signal Line (Wyckoff Reversal Trigger)
#property indicator_label2 "Signal"
#property indicator_type2 DRAW_LINE
#property indicator_color2 clrFireBrick
#property indicator_style2 STYLE_SOLID
#property indicator_width2 1
#include <MyIncludes\ZScore_Calculator.mqh>
//--- Input Parameters
input int InpPeriod = 20; // Lookback Period
input ENUM_MA_TYPE InpMAType = SMA; // Moving Average Type
input ENUM_APPLIED_PRICE InpPrice = PRICE_CLOSE; // Applied Price
//--- Input Parameters ---
input int InpPeriod = 20; // Z-Score Lookback Period
input ENUM_MA_TYPE InpMAType = SMA; // Z-Score MA Type
input ENUM_APPLIED_PRICE InpPrice = PRICE_CLOSE; // Z-Score Applied Price
//--- Buffers
//--- Signal Line Parameters
input bool InpShowSignal = true; // Show Signal Line?
input int InpSignalPeriod= 5; // Signal Line Period
input ENUM_MA_TYPE InpSignalType = SMA; // Signal Line MA Type
//--- Buffers ---
double BufferZ[];
double BufferColors[];
double BufferSignal[];
//--- Global Calculator Object
CZScoreCalculator *g_calculator;
//--- Volume Cache to support Volume-Weighted types (VWMA) on custom arrays
double g_double_volume[];
//--- Global Calculator Objects ---
CZScoreCalculator *g_calculator;
CMovingAverageCalculator *g_signal_calculator;
//+------------------------------------------------------------------+
//| OnInit |
//+------------------------------------------------------------------+
int OnInit()
{
SetIndexBuffer(0, BufferZ, INDICATOR_DATA);
//--- Bind Buffers
SetIndexBuffer(0, BufferZ, INDICATOR_DATA);
SetIndexBuffer(1, BufferColors, INDICATOR_COLOR_INDEX);
SetIndexBuffer(2, BufferSignal, INDICATOR_DATA);
ArraySetAsSeries(BufferZ, false);
ArraySetAsSeries(BufferZ, false);
ArraySetAsSeries(BufferColors, false);
ArraySetAsSeries(BufferSignal, false);
//--- Dynamically set the indicator name based on MA selection
string ma_name = EnumToString(InpMAType);
StringToUpper(ma_name);
string short_name = StringFormat("ZScore(%d, %s)", InpPeriod, ma_name);
IndicatorSetString(INDICATOR_SHORTNAME, short_name);
PlotIndexSetString(0, PLOT_LABEL, "Z-Score");
IndicatorSetInteger(INDICATOR_DIGITS, 2); // Z-Score usually has 2 decimals (e.g., 1.96)
//--- Configure Core Z-Score Calculator
g_calculator = new CZScoreCalculator();
if(CheckPointer(g_calculator) == POINTER_INVALID || !g_calculator.Init(InpPeriod, InpMAType))
{
@@ -68,6 +87,47 @@ int OnInit()
return INIT_FAILED;
}
//--- Configure Optional Signal Line Calculator
if(InpShowSignal)
{
// Explicitly restore DRAW_LINE & Label in case it was previously disabled
PlotIndexSetInteger(1, PLOT_DRAW_TYPE, DRAW_LINE);
PlotIndexSetString(1, PLOT_LABEL, "Signal");
g_signal_calculator = new CMovingAverageCalculator();
if(CheckPointer(g_signal_calculator) == POINTER_INVALID || !g_signal_calculator.Init(InpSignalPeriod, InpSignalType))
{
Print("Error: Failed to initialize Signal Line Calculator.");
return INIT_FAILED;
}
}
else
{
// Set DRAW_NONE and clear Label to fully purge it from the MT5 Data Window
PlotIndexSetInteger(1, PLOT_DRAW_TYPE, DRAW_NONE);
PlotIndexSetString(1, PLOT_LABEL, NULL);
}
//--- Dynamically set the indicator short name
string ma_name = EnumToString(InpMAType);
StringToUpper(ma_name);
string short_name = "";
if(InpShowSignal)
{
string sig_name = EnumToString(InpSignalType);
StringToUpper(sig_name);
short_name = StringFormat("ZScore(%d, %s) %s(%d)", InpPeriod, ma_name, sig_name, InpSignalPeriod);
}
else
{
short_name = StringFormat("ZScore(%d, %s)", InpPeriod, ma_name);
}
IndicatorSetString(INDICATOR_SHORTNAME, short_name);
PlotIndexSetString(0, PLOT_LABEL, "Z-Score");
IndicatorSetInteger(INDICATOR_DIGITS, 2);
return(INIT_SUCCEEDED);
}
@@ -78,6 +138,8 @@ void OnDeinit(const int reason)
{
if(CheckPointer(g_calculator) != POINTER_INVALID)
delete g_calculator;
if(CheckPointer(g_signal_calculator) != POINTER_INVALID)
delete g_signal_calculator;
}
//+------------------------------------------------------------------+
@@ -100,7 +162,22 @@ int OnCalculate(const int rates_total,
//--- Determine best volume array (Use Real Volume if available, otherwise fallback to Tick Volume)
long volume_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
//--- Route calculations dynamically to support volume-weighted types (VWMA)
//--- Convert long volume to double cache array in O(1) incrementally
ArrayResize(g_double_volume, rates_total);
int start_sync = (prev_calculated > 0) ? prev_calculated - 1 : 0;
if(volume_limit > 0)
{
for(int i = start_sync; i < rates_total; i++)
g_double_volume[i] = (double)volume[i];
}
else
{
for(int i = start_sync; i < rates_total; i++)
g_double_volume[i] = (double)tick_volume[i];
}
//--- 1. Calculate Core Z-Score (Handles VWMA volume integration dynamically)
if(volume_limit > 0)
{
g_calculator.Calculate(rates_total, prev_calculated, InpPrice, open, high, low, close, volume, BufferZ);
@@ -110,24 +187,40 @@ int OnCalculate(const int rates_total,
g_calculator.Calculate(rates_total, prev_calculated, InpPrice, open, high, low, close, tick_volume, BufferZ);
}
//--- 2. Apply Dynamic Coloring Logic (O(1) incremental)
//--- 2. Calculate Optional Signal Line on top of Z-Score values
if(InpShowSignal && CheckPointer(g_signal_calculator) != POINTER_INVALID)
{
// Source start index is 'InpPeriod - 1' since Z-Score before that index is invalid/empty
// FIXED: Passed g_double_volume down to ensure VWMA signal line type calculates correctly
g_signal_calculator.CalculateOnArray(rates_total, prev_calculated, BufferZ, g_double_volume, BufferSignal, InpPeriod - 1);
}
//--- 3. Apply 5-Zone Thermal Coloring Logic (O(1) incremental)
int start_index = (prev_calculated > 0) ? prev_calculated - 1 : 0;
for(int i = start_index; i < rates_total; i++)
{
double z = BufferZ[i];
// Color Logic:
// > 2.0 -> OrangeRed (Extreme High / Overbought)
// < -2.0 -> SpringGreen (Extreme Low / Oversold)
// Else -> Gray (Normal Noise Zone)
if(z > 2.0)
BufferColors[i] = 1.0; // Index 1: OrangeRed
// 5-Zone Thermal Coloring:
// Z > 2.5 -> OrangeRed (Extreme High / Sell Reversal Zone)
// Z > 2.0 -> Coral (Warning High / Caution Zone)
// Z < -2.5 -> DeepSkyBlue (Extreme Low / Buy Reversal Zone)
// Z < -2.0 -> LightSkyBlue (Warning Low / Caution Zone)
// Else -> Gray (Neutral Noise Zone)
if(z > 2.5)
BufferColors[i] = 2.0; // Index 2: OrangeRed
else
if(z < -2.0)
BufferColors[i] = 2.0; // Index 2: SpringGreen
if(z > 2.0)
BufferColors[i] = 1.0; // Index 1: Coral
else
BufferColors[i] = 0.0; // Index 0: Gray
if(z < -2.5)
BufferColors[i] = 4.0; // Index 4: DeepSkyBlue
else
if(z < -2.0)
BufferColors[i] = 3.0; // Index 3: LightSkyBlue
else
BufferColors[i] = 0.0; // Index 0: Gray
}
return(rates_total);