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refactor(indicators): Timezone input + RS Lookback + History Control

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Toh4iem9
2026-02-03 15:00:31 +01:00
parent 42626cef9d
commit a59b4c89a0
1 changed files with 140 additions and 52 deletions
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Scripts/MyScripts/Market_Scanner_Pro.mq5
+140 -52
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@@ -1,12 +1,12 @@
//+------------------------------------------------------------------+
//| Market_Scanner_Pro.mq5 |
//| QuantScan 2.1 - Professional Market Export |
//| QuantScan 3.1 - Professional Market Export |
//| Copyright 2026, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "3.10" // Added Squeeze & TSI inputs
#property description "Exports 'QuantScan 2.0' dataset for LLM Analysis."
#property description "Combines Trend Quality, Volume, and Statistical metrics."
#property version "3.30" // Timezone input + RS Lookback + History Control
#property description "Exports 'QuantScan 3.0' dataset for LLM Analysis."
#property description "Includes Relative Strength and Institutional Metrics."
#property script_show_inputs
//--- Include Custom Calculators
@@ -23,6 +23,9 @@
input group "Scanner Config"
input bool InpUseMarketWatch = false; // Scan Market Watch?
input string InpSymbolList = "EURUSD,USDJPY,GBPUSD,USDCHF,AUDUSD,XAUUSD,US500,DE40,XTIUSD,ETHUSD";
input string InpBenchmark = "US500"; // Benchmark for Relative Strength
input string InpBrokerTimeZone = "EET (UTC+2)"; // Broker Timezone Name (for CSV Header)
input int InpScanHistory = 500; // Max History Bars to fetch
input group "Timeframes"
input ENUM_TIMEFRAMES InpTFFast = PERIOD_M15; // Trigger / Execution
@@ -33,21 +36,22 @@ input int InpDSMAPeriod = 40;
input double InpLaguerreGamma = 0.50;
input int InpMurreyPeriod = 64;
input int InpATRPeriod = 14;
input int InpRSBars = 24; // Relative Strength Lookback (Bars on Slow TF)
input int InpRVOLPeriod = 20; // Relative Volume Lookback
input int InpERPeriod = 10; // Efficiency Ratio Lookback
input int InpZScorePeriod = 20; // Z-Score Lookback
input group "TSI Settings"
input int InpTSI_Slow = 25; // TSI Slow Period
input int InpTSI_Fast = 13; // TSI Fast Period
input int InpTSI_Signal = 13; // TSI Signal Period
input int InpTSI_Slow = 25;
input int InpTSI_Fast = 13;
input int InpTSI_Signal = 13;
input group "Squeeze Settings"
input int InpSqueezeLength = 20; // Indicators Length
input double InpBBMult = 2.0; // Bollinger Deviation
input double InpKCMult = 1.5; // Keltner Multiplier
input int InpSqueezeLength = 20;
input double InpBBMult = 2.0;
input double InpKCMult = 1.5;
//--- Struct for QuantScan 2.0 Data
//--- Struct for QuantScan 3.0 Data
struct QuantData
{
string timestamp;
@@ -58,6 +62,7 @@ struct QuantData
double trend_score; // DSMA Normalized Score
double trend_qual; // Efficiency Ratio (ER)
string zone; // Murrey Math Zone
double rel_strength; // Relative Strength vs Benchmark
// --- M15 Execution ---
double momentum; // Laguerre RSI
@@ -65,7 +70,11 @@ struct QuantData
string squeeze; // ON/OFF
double z_score; // Statistical Deviation
double vola_regime; // ATR(5)/ATR(50) Ratio
string tsi_dir; // TSI Direction (BULL/BEAR)
string tsi_dir; // TSI Direction
// --- Composite Metrics ---
double rev_prob; // Mean Reversion Probability (0-100)
string absorption; // Institutional Absorption (YES/NO)
};
//+------------------------------------------------------------------+
@@ -91,7 +100,27 @@ void OnStart()
total_symbols = StringSplit(InpSymbolList, u_sep, symbols);
}
// 2. Prepare CSV
// 2. Pre-Calculate Benchmark Performance
double bench_change_pct = 0.0;
if(!SymbolSelect(InpBenchmark, true))
{
Print("Warning: Benchmark '", InpBenchmark, "' not found. RS will be 0.");
}
else
{
double b_close[], b_open[];
// Lookback based on InpRSBars input
if(CopyClose(InpBenchmark, InpTFSlow, 1, 1, b_close) > 0 &&
CopyOpen(InpBenchmark, InpTFSlow, InpRSBars, 1, b_open) > 0) // Uses user defined lookback
{
if(b_open[0] != 0)
bench_change_pct = ((b_close[0] - b_open[0]) / b_open[0]) * 100.0;
PrintFormat("Benchmark (%s) %d-Bar Change: %.2f%%", InpBenchmark, InpRSBars, bench_change_pct);
}
}
// 3. Prepare CSV
string filename = "QuantScan_" + TimeToString(TimeCurrent(), TIME_DATE|TIME_MINUTES) + ".csv";
StringReplace(filename, ":", "");
StringReplace(filename, " ", "_");
@@ -103,14 +132,17 @@ void OnStart()
return;
}
// 3. Header (QuantScan 2.0 Format)
// 4. Header - Now includes Timezone info
string time_header = "TIME (" + InpBrokerTimeZone + ")";
FileWrite(file_handle,
"TIME", "SYMBOL", "PRICE",
"TREND_SCORE", "TREND_QUAL", "ZONE", // H1 Context
"MOMENTUM", "VOL_QUAL", "SQUEEZE", "Z_SCORE", "VOL_REGIME", "TSI_DIR" // M15 Data
time_header, "SYMBOL", "PRICE",
"TREND_SCORE", "TREND_QUAL", "ZONE", "REL_STRENGTH", // H1 Context
"MOMENTUM", "VOL_QUAL", "SQUEEZE", "Z_SCORE", "VOL_REGIME", "TSI_DIR", // M15 Data
"REVERSION_PROB", "ABSORPTION" // Composites
);
// 4. Main Loop
// 5. Main Loop
PrintFormat("Scanning %d symbols...", total_symbols);
for(int i=0; i<total_symbols; i++)
@@ -123,7 +155,7 @@ void OnStart()
ZeroMemory(data);
// Compute
if(RunQuantAnalysis(sym, data))
if(RunQuantAnalysis(sym, bench_change_pct, data))
{
FileWrite(file_handle,
data.timestamp,
@@ -132,12 +164,15 @@ void OnStart()
DoubleToString(data.trend_score, 2),
DoubleToString(data.trend_qual, 2),
data.zone,
DoubleToString(data.rel_strength, 2) + "%",
DoubleToString(data.momentum, 2),
DoubleToString(data.vol_qual, 2),
data.squeeze,
DoubleToString(data.z_score, 2),
DoubleToString(data.vola_regime, 2),
data.tsi_dir
data.tsi_dir,
DoubleToString(data.rev_prob, 0) + "%",
data.absorption
);
}
else
@@ -153,64 +188,80 @@ void OnStart()
//+------------------------------------------------------------------+
//| Core Logic: Run Quant Analysis |
//+------------------------------------------------------------------+
bool RunQuantAnalysis(string sym, QuantData &data)
bool RunQuantAnalysis(string sym, double bench_change, QuantData &data)
{
// --- Common Data ---
data.timestamp = TimeToString(TimeCurrent(), TIME_DATE|TIME_MINUTES);
StringReplace(data.timestamp, ".", "."); // Ensure format YYYY.MM.DD
StringReplace(data.timestamp, ".", ".");
data.symbol = sym;
data.price = SymbolInfoDouble(sym, SYMBOL_BID);
// =================================================================
// PHASE 1: H1 CONTEXT (Trend, Structure, Quality)
// PHASE 1: H1 CONTEXT
// =================================================================
// Fetch H1 Data
double h1_o[], h1_h[], h1_l[], h1_c[];
long h1_v[];
datetime h1_t[];
if(!FetchData(sym, InpTFSlow, 300, h1_t, h1_o, h1_h, h1_l, h1_c, h1_v))
// Use InpScanHistory instead of hardcoded 300
if(!FetchData(sym, InpTFSlow, InpScanHistory, h1_t, h1_o, h1_h, h1_l, h1_c, h1_v))
return false;
// 1. H1 ATR (Normalization Base)
// 1. H1 ATR
double h1_atr = Calc_ATR(h1_o, h1_h, h1_l, h1_c, InpATRPeriod);
if(h1_atr == 0)
return false;
// 2. Trend Score (DSMA Deviation)
// 2. Trend Score
data.trend_score = Calc_DSMA_Score(h1_o, h1_h, h1_l, h1_c, h1_atr);
// 3. Trend Quality (Kaufman Efficiency Ratio)
// 3. Trend Quality
data.trend_qual = Calc_EfficiencyRatio(h1_c, InpERPeriod);
// 4. Zone (Murrey Math)
// 4. Zone
data.zone = Calc_MurreyZone(sym, InpTFSlow);
// 5. Relative Strength
double sym_change = 0;
int total_h1 = ArraySize(h1_c);
// Uses InpRSBars input for lookback
if(total_h1 > InpRSBars + 1)
{
double c_now = h1_c[total_h1-2]; // Close[1]
double o_old = h1_o[total_h1-2-(InpRSBars-1)]; // Match Benchmark logic
if(o_old != 0)
sym_change = ((c_now - o_old) / o_old) * 100.0;
}
data.rel_strength = sym_change - bench_change;
// =================================================================
// PHASE 2: M15 TRIGGER (Momentum, Vol, Stats)
// PHASE 2: M15 TRIGGER
// =================================================================
// Fetch M15 Data
double m15_o[], m15_h[], m15_l[], m15_c[];
long m15_v[];
datetime m15_t[];
if(!FetchData(sym, InpTFFast, 300, m15_t, m15_o, m15_h, m15_l, m15_c, m15_v))
if(!FetchData(sym, InpTFFast, InpScanHistory, m15_t, m15_o, m15_h, m15_l, m15_c, m15_v))
return false;
// 1. Momentum (Laguerre RSI)
double m15_atr = Calc_ATR(m15_o, m15_h, m15_l, m15_c, InpATRPeriod);
// 1. Momentum
data.momentum = Calc_LaguerreRSI(m15_o, m15_h, m15_l, m15_c);
// 2. Volume Quality (RVOL)
// 2. Volume Quality
data.vol_qual = Calc_RVOL(m15_v, InpRVOLPeriod);
// 3. Squeeze (BB inside Keltner)
// 3. Squeeze
data.squeeze = Calc_Squeeze(sym, InpTFFast, m15_o, m15_h, m15_l, m15_c);
// 4. Z-Score (Mean Reversion)
// 4. Z-Score
data.z_score = Calc_ZScore(m15_c, InpZScorePeriod);
// 5. Volatility Regime (Fast/Slow Vola)
// 5. Volatility Regime
double atr_fast = Calc_ATR(m15_o, m15_h, m15_l, m15_c, 5);
double atr_slow = Calc_ATR(m15_o, m15_h, m15_l, m15_c, 50);
if(atr_slow != 0)
@@ -221,6 +272,46 @@ bool RunQuantAnalysis(string sym, QuantData &data)
// 6. TSI Direction
Calc_TSI_Dir(m15_o, m15_h, m15_l, m15_c, data.tsi_dir);
// =================================================================
// PHASE 3: COMPOSITE METRICS
// =================================================================
// A. Mean Reversion Probability
double score = 0;
double abs_z = MathAbs(data.z_score);
if(abs_z > 3.0)
score += 40;
else
if(abs_z > 2.0)
score += 20;
if(StringFind(data.zone, "Extreme") >= 0 || StringFind(data.zone, "8/8") >= 0 || StringFind(data.zone, "0/8") >= 0)
score += 30;
if(data.momentum > 0.90 || data.momentum < 0.10)
score += 30;
data.rev_prob = score;
// B. Institutional Absorption
int last_idx = ArraySize(m15_c) - 2; // Index of last completed bar
if(last_idx >= 0 && m15_atr > 0)
{
double body = MathAbs(m15_c[last_idx] - m15_o[last_idx]);
double bar_rvol = Calc_RVOL_Single(m15_v, InpRVOLPeriod, last_idx);
if(bar_rvol > 2.0 && body < (0.4 * m15_atr))
data.absorption = "YES";
else
data.absorption = "NO";
}
else
{
data.absorption = "-";
}
return true;
}
@@ -284,20 +375,27 @@ double Calc_DSMA_Score(const double &o[], const double &h[], const double &l[],
}
//+------------------------------------------------------------------+
//| WRAPPER: RVOL (Relative Volume) |
//| WRAPPER: RVOL (Average) |
//+------------------------------------------------------------------+
double Calc_RVOL(const long &vol[], int period)
{
int total = ArraySize(vol);
if(total <= period)
return Calc_RVOL_Single(vol, period, ArraySize(vol)-1);
}
//+------------------------------------------------------------------+
//| WRAPPER: RVOL (Specific Index) |
//+------------------------------------------------------------------+
double Calc_RVOL_Single(const long &vol[], int period, int index)
{
if(index < period)
return 1.0;
double sum = 0;
for(int i=1; i<=period; i++)
sum += (double)vol[total - 1 - i];
sum += (double)vol[index - i];
double avg = sum / period;
if(avg == 0)
return 0;
return (double)vol[total-1] / avg;
return (double)vol[index] / avg;
}
//+------------------------------------------------------------------+
@@ -339,13 +437,11 @@ double Calc_EfficiencyRatio(const double &price[], int period)
}
//+------------------------------------------------------------------+
//| WRAPPER: Squeeze (Uses Global Inputs) |
//| WRAPPER: Squeeze |
//+------------------------------------------------------------------+
string Calc_Squeeze(string sym, ENUM_TIMEFRAMES tf, const double &o[], const double &h[], const double &l[], const double &c[])
{
int total = ArraySize(c);
// 1. Calc BB (Uses Inputs)
CBollingerBandsCalculator bb;
if(!bb.Init(InpSqueezeLength, InpBBMult, SMA))
return "ERR";
@@ -355,7 +451,6 @@ string Calc_Squeeze(string sym, ENUM_TIMEFRAMES tf, const double &o[], const dou
ArrayResize(b_lo, total);
bb.Calculate(total, 0, PRICE_CLOSE, o, h, l, c, b_ma, b_up, b_lo);
// 2. Calc KC (Uses Inputs)
CKeltnerChannelCalculator kc;
if(!kc.Init(InpSqueezeLength, SMA, InpSqueezeLength, InpKCMult, ATR_SOURCE_STANDARD))
return "ERR";
@@ -363,14 +458,10 @@ string Calc_Squeeze(string sym, ENUM_TIMEFRAMES tf, const double &o[], const dou
ArrayResize(k_ma, total);
ArrayResize(k_up, total);
ArrayResize(k_lo, total);
// Correct call signature
kc.Calculate(total, 0, o, h, l, c, PRICE_CLOSE, k_ma, k_up, k_lo);
// 3. Logic
int idx = total - 1;
bool squeeze_on = (b_up[idx] < k_up[idx]) && (b_lo[idx] > k_lo[idx]);
return squeeze_on ? "ON" : "OFF";
}
@@ -391,25 +482,22 @@ double Calc_LaguerreRSI(const double &o[], const double &h[], const double &l[],
}
//+------------------------------------------------------------------+
//| WRAPPER: TSI Direction (Uses Global Inputs) |
//| WRAPPER: TSI Direction |
//+------------------------------------------------------------------+
void Calc_TSI_Dir(const double &o[], const double &h[], const double &l[], const double &c[], string &dir)
{
CTSICalculator calc;
// Using Global Inputs
if(!calc.Init(InpTSI_Slow, EMA, InpTSI_Fast, EMA, InpTSI_Signal, EMA))
{
dir="ERR";
return;
}
double tsi[], sig[], osc[];
int total = ArraySize(c);
ArrayResize(tsi, total);
ArrayResize(sig, total);
ArrayResize(osc, total);
calc.Calculate(total, 0, PRICE_CLOSE, o, h, l, c, tsi, sig, osc);
if(tsi[total-1] > sig[total-1])
dir = "BULL";
else