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# Wyckoff Institutional Absorption Pro Suite (Standard & MTF)
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## Technical Specification & Integration Manual
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## 1. Summary (Introduction)
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The **Wyckoff Institutional Absorption Pro Suite** is an institutional-grade quantitative trade-execution, liquidity-profiling, and key-reversal detection suite. It comprises two advanced indicators: `Absorption_Pro` (Standard, local timeframe tracer) and `Absorption_MTF_Pro` (Multi-Timeframe, higher-regime boundary tracer).
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Developed upon the core tenets of **Volume Spread Analysis (VSA)** originated by Richard Wyckoff, the suite monitors the essential law of **Effort vs. Result**. In financial markets, institutional participants (smart money) cannot execute massive block orders without causing slippage. Instead, they accumulate or distribute positions using passive limit orders that "absorb" incoming aggressive market orders.
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This absorption leaves a distinct footprint: a massive surge in trading volume (Effort) paired with a very narrow candle body (Lack of Result), indicating that an opposing wall of passive liquidity has halted price progression.
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The suite provides traders with two synchronized instruments:
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1. **`Absorption_Pro` (Standard):** Designed for active trading on the local timeframe. It features highly responsive entry arrows (`BufBull[]` and `BufBear[]`) and real-time local supply/demand zones.
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2. **`Absorption_MTF_Pro` (Multi-Timeframe):** Designed strictly on a higher-timeframe (HTF) grid to project macro institutional blocks on lower timeframe charts. It is optimized for algorithmic scan integrations (such as the `Market_Scanner_Pro` script) by providing stateful calculations without any timeframe translation gaps.
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---
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## 2. Mathematical & Quant Foundations
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The core engines calculate volatility-adjusted spread and relative volume values on every bar:
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### A. Volatility Baseline via ATR (Average True Range)
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To determine if a candle body is statistically "small," the spread is normalized against immediate market volatility using Wilder's smoothed ATR:
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$$\text{TR}_t = \max \big( (H_t - L_t), |H_t - C_{t-1}|, |L_t - C_{t-1}| \big)$$
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$$\text{ATR}_t = \frac{\text{ATR}_{t-1} \times (N - 1) + \text{TR}_t}{N}$$
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Where $N$ represents the ATR period (typically `14`).
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### B. Relative Volume (RVOL) - The Effort Metric
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Relative Volume measures current trading volume against the average volume of the preceding $M$ bars (excluding the active bar), identifying institutional participation:
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$$\text{RVOL}_t = \frac{V_t}{\frac{1}{M}\sum_{j=1}^{M} V_{t-j}}$$
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Where $V$ represents tick volume (or exchange-supported real volume) and $M$ represents the RVOL lookback window (typically `20`).
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### C. VSA Absorption & Climax Logic
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On each bar $t$, the indicator evaluates the interaction between Effort (RVOL) and Result (Price Spread):
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1. **High Effort:** $\text{RVOL}_t > 2.0$ (Volume is more than double the rolling average).
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2. **Low Result:** $\text{Spread}_t < 0.35 \times \text{ATR}_t$ (Candle body is tight, indicating heavy resistance).
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3. **Close Position ($CP$):** Measures where the candle closed relative to its high-low range:
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$$CP_t = \frac{C_t - L_t}{H_t - L_t}$$
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* **Bullish Demand Absorption (Buyers absorbing Sellers):**
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Meets High Effort and Low Result conditions, and closes in the top third:
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$$CP_t > 0.66 \implies \text{BufState}_t = 1.0 \quad (\text{color: } \textbf{clrLightSteelBlue})$$
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* **Bearish Supply Absorption (Sellers absorbing Buyers):**
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Meets High Effort and Low Result conditions, and closes in the bottom third:
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$$CP_t < 0.33 \implies \text{BufState}_t = -1.0 \quad (\text{color: } \textbf{clrMistyRose})$$
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* **Volume Climax / Exhaustion Peak:**
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Triggered when absolute volume is extremely high, representing a massive exhaustion climax:
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$$\text{RVOL}_t > 3.5 \quad \text{AND} \quad \text{Spread}_t < 0.60 \times \text{ATR}_t \implies \text{BufState}_t = 2.0 \quad (\text{color: } \textbf{clrWheat})$$
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---
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## 3. Recommended Parameter Calibration
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The sensitivity of the absorption zones can be customized depending on the asset class and timeframe:
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| Market Asset | Recommended Timeframe | ATR / RVOL Periods | History Bars Limit | Quantitative Objective |
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| :--- | :--- | :---: | :---: | :--- |
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| **Intraday FX / Indices** | M5 to M30 | `14` / `20` | `200` to `500` | Captures quick institutional blocks on M5/M15 charts. Limits lag during heavy session opens. |
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| **Swing Commodities** | H1 to H4 | `14` / `24` | `500` | Tracks structural liquidity pools on H1/H4 charts. Identifies major reversal pivots. |
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| **Cryptocurrencies** | M15 to H4 | `20` / `30` | `300` | Normalizes extreme exchange-driven volume spikes on highly volatile assets. |
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---
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## 4. Visual & Technical Highlights
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* **Subtle Multi-Template Watermark Colors:**
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To prevent visual clutter on light or dark background templates, the indicators replace harsh, neon retail colors with soft, pastel MQL5 constants that act as native translucent background overlays:
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* **Demand Zone (Bullish):** `clrLightSteelBlue` (Soft Slate-Blue)
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* **Supply Zone (Bearish):** `clrMistyRose` (Soft Rose-Pink)
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* **Climax Zone (Exhaustion):** `clrWheat` (Soft Sand-Beige)
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* **Chronological Array Safety:**
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The engines enforce strict chronological array indexing (`ArraySetAsSeries(..., false)`) across all price inputs and indicator buffers, completely eliminating phase shift errors or out-of-range array crashes.
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---
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## 5. Broken Zone Lookahead (Breaker Candle Scanning)
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Once an absorption candle is identified, the indicators create a visual zone (rectangle object) starting at the signal bar. To determine how long this zone remains valid, the engines run a forward-scanning lookahead loop on every tick to find when the zone is broken by a future close price.
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### A. Standard Mode (`Absorption_Pro` - LTF Close Break)
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On standard local timeframe charts, the zóna is extended until the LTF Close price breaks the boundaries, converting the border style to a dotted format (`STYLE_DOT`):
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```mql5
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for(int k = i + 1; k < rates_total; k++)
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{
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if(is_bull && close[k] < low[i]) { end_time = time[k]; broken = true; break; }
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if(is_bear && close[k] > high[i]) { end_time = time[k]; broken = true; break; }
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}
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```
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### B. Unified HTF-Grid MTF Mode (`Absorption_MTF_Pro` - Unified HTF Close Break)
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To prevent visual warping on lower timeframe charts (e.g., when viewing H1 zónas on M5), the MTF engine calculates the VSA criteria and draws the rectangle coordinates **strictly on the HTF grid**. Since MT5 charts share the same horizontal time axis, a rectangle drawn at `h_time[i]` will automatically align with micro-precision on the lower timeframe chart.
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The forward-scanning breaker loop is executed on the **HTF close prices (`h_close[]`)**, ensuring absolute architectural stability and preventing memory lag or out-of-range errors caused by incomplete LTF history synchronization:
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```mql5
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for(int k = i + 1; k < g_htf_count; k++)
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{
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if(is_bull && h_close[k] < h_low[i]) { end_time = h_time[k]; broken = true; break; }
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if(is_bear && h_close[k] > h_high[i]) { end_time = h_time[k]; broken = true; break; }
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}
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```
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### C. Gapped-Safe Staircase Mapping for Scanners/EAs
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To allow Expert Advisors or the `Market_Scanner_Pro` script to query the MTF indicators, the MTF version populates the calculation buffers `BufATR`, `BufRVOL`, and `BufState` down to the lower timeframe using the non-repainting Staircase Solution. This ensures that the state buffer values are available on every LTF tick.
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---
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## 6. Quantitative VSA Trading Strategies
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### A. The Institutional Demand Rebound (Long Entry)
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This strategy seeks to enter the market when price returns to test an intact institutional Demand Absorption zone.
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```text
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[ Bearish Price Correction ] ======> [ Rebound / Touch ]
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│
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▼
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[ INTACT DEMAND ZONE ]
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(clrLightSteelBlue Box)
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```
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1. **Strategy Setup:**
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* Run `Absorption_Pro` on an M30 or H1 chart.
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* Identify a newly formed, intact **Demand Zone** (`clrLightSteelBlue` rectangle).
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2. **Entry Conditions:**
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* Wait for price to correct back downwards and touch the upper boundary of the intact Demand Zone.
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* The touch candle must show a low or average volume, indicating a lack of selling pressure (No Supply Test).
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* **BUY Trigger:** Enter Long when a bullish rejection candle forms and closes above the Demand Zone.
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3. **Risk Management:**
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* **Stop Loss:** Place Stop Loss 2-3 points below the lower boundary of the Demand Zone rectangle.
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* **Take Profit:** Exit at the opposing intact Supply Zone or at a 1:2 Risk-to-Reward ratio.
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### B. The Climax Zone Breakout (Momentum Entry)
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Volume Climax zones (`clrWheat`) represent major battlefields between bulls and bears where massive liquidity changed hands. Breaking this zone triggers explosive trend acceleration.
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1. **Strategy Setup:**
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* Locate an intact **Climax Zone** (`clrWheat` rectangle) on an H1 or H4 chart (or via `Absorption_MTF_Pro` mapped to your active chart).
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2. **Entry Conditions:**
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* Wait for the market to consolidate tightly inside or near the Climax Zone.
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* **BUY Breakout Trigger:** Enter Long when a strong bullish candle breaks out and closes completely above the high boundary of the Climax Zone.
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* **SELL Breakout Trigger:** Enter Short when a strong bearish candle breaks out and closes completely below the low boundary of the Climax Zone.
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3. **Execution Edge:** Because the Climax Zone represents a level of heavy institutional absorption, the side that finally wins the battle and breaks the zone will drive the price rapidly, generating low-lag breakout momentum.
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