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//+------------------------------------------------------------------+
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//| AlphaBeta_Pro.mq5 |
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//| Rolling Alpha & Beta Statistics |
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//| Copyright 2026, xxxxxxxx |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2026, xxxxxxxx"
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#property version "1.20" // Fixed Display Logic using Unified Buffer
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#property description "Rolling Alpha (Excess Return) or Beta (Volatility)."
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#property indicator_separate_window
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#property indicator_buffers 2
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#property indicator_plots 1
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// Default layout (Will be overridden in OnInit based on Mode)
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#property indicator_label1 "Value"
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#property indicator_type1 DRAW_COLOR_HISTOGRAM
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#property indicator_color1 clrGray, clrLime, clrRed, clrGold
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#property indicator_style1 STYLE_SOLID
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#property indicator_width1 2
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#include <MyIncludes\MathStatistics_Calculator.mqh>
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enum ENUM_AB_MODE { MODE_ALPHA, MODE_BETA };
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//--- Parameters
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input ENUM_AB_MODE InpMode = MODE_ALPHA; // Calculation Mode
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input int InpLookback = 60; // Rolling Window (Bars)
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input string InpBenchmark = "US500"; // Global Bench
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input string InpForexBench = "DX"; // Forex Bench
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//--- Buffers
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double BufDisplay[]; // The Visible Output
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double BufColors[]; // The Color Index
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CMathStatisticsCalculator *g_stats;
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string g_bench_symbol;
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//+------------------------------------------------------------------+
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//| Init |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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SetIndexBuffer(0, BufDisplay, INDICATOR_DATA);
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SetIndexBuffer(1, BufColors, INDICATOR_COLOR_INDEX);
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g_stats = new CMathStatisticsCalculator();
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// Configure Mode
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if(InpMode == MODE_ALPHA)
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{
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IndicatorSetString(INDICATOR_SHORTNAME, StringFormat("Alpha(%d)", InpLookback));
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IndicatorSetInteger(INDICATOR_DIGITS, 4);
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PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_HISTOGRAM);
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PlotIndexSetString(0, PLOT_LABEL, "Alpha");
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// Levels
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IndicatorSetDouble(INDICATOR_LEVELVALUE, 0, 0.0);
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}
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else // BETA
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{
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IndicatorSetString(INDICATOR_SHORTNAME, StringFormat("Beta(%d)", InpLookback));
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IndicatorSetInteger(INDICATOR_DIGITS, 2);
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PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_LINE);
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PlotIndexSetString(0, PLOT_LABEL, "Beta");
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// Levels
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IndicatorSetDouble(INDICATOR_LEVELVALUE, 0, 1.0);
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}
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bool is_forex = IsForexPair(_Symbol);
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g_bench_symbol = is_forex ? InpForexBench : InpBenchmark;
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if(_Symbol == g_bench_symbol || !SymbolSelect(g_bench_symbol, true))
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return INIT_FAILED;
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return(INIT_SUCCEEDED);
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}
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void OnDeinit(const int r) { if(CheckPointer(g_stats)==POINTER_DYNAMIC) delete g_stats; }
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//+------------------------------------------------------------------+
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//| Calculate |
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//+------------------------------------------------------------------+
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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[])
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{
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if(rates_total < InpLookback + 5)
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return 0;
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int start = (prev_calculated > InpLookback) ? prev_calculated - 1 : InpLookback;
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for(int i = start; i < rates_total; i++)
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{
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// 1. Fetch Local Data
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double asset_sub[];
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ArrayResize(asset_sub, InpLookback);
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for(int k=0; k<InpLookback; k++)
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asset_sub[k] = close[i - InpLookback + 1 + k];
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// 2. Fetch Bench Data
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double bench_sub[];
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ArrayResize(bench_sub, InpLookback);
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bool data_ok = true;
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for(int k=0; k<InpLookback; k++)
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{
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datetime t = time[i - InpLookback + 1 + k];
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int b_idx = iBarShift(g_bench_symbol, Period(), t, false);
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if(b_idx < 0)
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{
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data_ok=false;
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break;
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}
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double vals[1];
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if(CopyClose(g_bench_symbol, Period(), b_idx, 1, vals)<=0)
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{
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data_ok=false;
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break;
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}
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bench_sub[k] = vals[0];
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}
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if(!data_ok)
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{
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BufDisplay[i]=0;
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continue;
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}
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// 3. Calc Returns
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double asset_ret[], bench_ret[];
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g_stats.ComputeReturns(asset_sub, asset_ret);
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g_stats.ComputeReturns(bench_sub, bench_ret);
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double beta = g_stats.CalculateBeta(asset_ret, bench_ret);
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// 4. Output Logic
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if(InpMode == MODE_BETA)
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{
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BufDisplay[i] = beta;
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// Color Logic for Beta Line: Gold normally, maybe Red/Green if extreme?
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// Let's stick to Gold (Index 3 from property list)
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BufColors[i] = 3.0;
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}
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else // ALPHA
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{
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double a_tot = (asset_sub[InpLookback-1] - asset_sub[0]) / asset_sub[0];
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double b_tot = (bench_sub[InpLookback-1] - bench_sub[0]) / bench_sub[0];
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double alpha = g_stats.CalculateAlpha(a_tot, b_tot, beta);
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BufDisplay[i] = alpha;
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if(alpha > 0)
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BufColors[i] = 1.0; // Lime
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else
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if(alpha < 0)
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BufColors[i] = 2.0; // Red
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else
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BufColors[i] = 0.0;
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}
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}
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return rates_total;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool IsForexPair(string sym)
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{
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// Safety: If symbol IS one of the benchmarks, we don't classify it as generic forex pair here
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if(sym == InpBenchmark || sym == InpForexBench)
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return false;
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if(StringFind(sym, "USD") != -1 || StringFind(sym, "EUR") != -1 ||
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StringFind(sym, "GBP") != -1 || StringFind(sym, "JPY") != -1 ||
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StringFind(sym, "CHF") != -1 || StringFind(sym, "AUD") != -1 ||
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StringFind(sym, "CAD") != -1 || StringFind(sym, "NZD") != -1 ||
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StringFind(sym, "XAU") != -1 || StringFind(sym, "XAG") != -1)
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{
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if(StringFind(sym, "XTI") != -1)
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return false;
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if(StringFind(sym, "UKO") != -1)
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return false;
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if(StringFind(sym, "USO") != -1)
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return false;
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if(StringFind(sym, "BTC") != -1)
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return false;
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if(StringFind(sym, "ETH") != -1)
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return false;
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return true;
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}
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return false;
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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