mirror of
https://github.com/softwaredevelop/mql5.git
synced 2026-11-02 11:16:15 +00:00
new files added
This commit is contained in:
Toh4iem9
@@ -0,0 +1,218 @@
|
||||
# Universal Moving Average (Moving Average) Pro (v3.00)
|
||||
|
||||
Quantitative Universal Smoothing Engine & Multi-Algorithm Moving Average Suite
|
||||
|
||||
---
|
||||
|
||||
## 1. Summary (Introduction)
|
||||
|
||||
**Moving Average Pro** is the universal baseline trend overlay of the Professional MQL5 Suite. Built upon the core `MovingAverage_Engine.mqh`, it synthesizes eight classical, low-lag, and volume-weighted moving average algorithms into a single unified high-performance indicator.
|
||||
|
||||
Moving averages serve as the foundation for trend identification, dynamic support and resistance, and signal line smoothing across quantitative trading systems. **Moving Average Pro provides instant algorithm interchangeability without altering indicator pipelines or charting architecture**:
|
||||
|
||||
```text
|
||||
|
||||
┌────────────────────────────────────────────────────────────────────────┐
|
||||
│ THE 8 MOVING AVERAGE ALGORITHMS │
|
||||
├───────┬────────────────────────┬───────┬───────────────────────────────┤
|
||||
│ Type │ Full Mathematical Name │ Type │ Full Mathematical Name │
|
||||
├───────┼────────────────────────┼───────┼───────────────────────────────┤
|
||||
│ SMA │ Simple Moving Average │ TMA │ Triangular Moving Average │
|
||||
│ EMA │ Exponential Moving Avg │ DEMA │ Double Exponential Moving Avg │
|
||||
│ SMMA │ Smoothed MA (Wilder) │ TEMA │ Triple Exponential Moving Avg │
|
||||
│ LWMA │ Linear Weighted MA │ VWMA │ Volume-Weighted Moving Avg │
|
||||
└───────┴────────────────────────┴───────┴───────────────────────────────┘
|
||||
|
||||
```
|
||||
|
||||
### Key Capabilities
|
||||
|
||||
* **8 Native Smoothing Models:** Seamlessly switch between linear, exponential, multi-stage zero-lag, and volume-weighted smoothing.
|
||||
* **Full Volume Routing (VWMA):** Automatically queries broker `SYMBOL_VOLUME_LIMIT` to utilize Real Volume (`VOLUME_REAL`) or Tick Volume (`VOLUME_TICK`).
|
||||
* **Unified 2026 MTF Framework:** Higher-timeframe moving averages (e.g., H1 or Daily 50/200 MAs) map onto lower-timeframe execution charts (M1, M5, M15) with flat, non-warping steps via `DataSync_Tools.mqh`.
|
||||
* **Synthetic Heikin Ashi Support:** Computes smoothed curves from filtered Heikin Ashi price series via `CMovingAverageCalculator_HA` composition.
|
||||
* **State-Safe $O(1)$ Recursive Execution:** Stateful recursive smoothing registers (EMA, SMMA, DEMA, TEMA) update in zero latency on live market ticks.
|
||||
|
||||
---
|
||||
|
||||
## 2. Mathematical Foundations & The 8 Smoothing Models
|
||||
|
||||
```text
|
||||
|
||||
RAW INPUT SERIES: Close, Median, Typical, HA Close
|
||||
│
|
||||
┌───────────────┬───────────────────┼───────────────────┬───────────────┐
|
||||
▼ ▼ ▼ ▼ ▼
|
||||
Linear Exponential Double/Triple Triangular Volume-Weighted
|
||||
(SMA/LWMA) (EMA/SMMA) (DEMA/TEMA) (TMA) (VWMA)
|
||||
|
||||
```
|
||||
|
||||
### 2.1. Simple Moving Average (SMA)
|
||||
|
||||
Arithmetic mean of the previous $P = \text{InpPeriod}$ bars:
|
||||
$$\text{SMA}_t = \frac{1}{P} \sum_{j=0}^{P-1} P_{t-j}$$
|
||||
|
||||
---
|
||||
|
||||
### 2.2. Exponential Moving Average (EMA)
|
||||
|
||||
First-order recursive Infinite Impulse Response (IIR) filter:
|
||||
$$\alpha = \frac{2}{P + 1}, \quad\quad \text{EMA}_t = \alpha P_t + (1 - \alpha) \text{EMA}_{t-1}$$
|
||||
*The initial seed is computed as an SMA over the first $P$ bars.*
|
||||
|
||||
---
|
||||
|
||||
### 2.3. Smoothed Moving Average (SMMA / Wilder's RMA)
|
||||
|
||||
J. Welles Wilder Jr.'s recursive smoothing algorithm (equivalent to an EMA with $\alpha = 1/P$):
|
||||
$$\text{SMMA}_t = \frac{\text{SMMA}_{t-1} \cdot (P - 1) + P_t}{P}$$
|
||||
|
||||
---
|
||||
|
||||
### 2.4. Linear Weighted Moving Average (LWMA)
|
||||
|
||||
Weights prices linearly proportional to their temporal recency:
|
||||
$$W_j = P - j$$
|
||||
$$\text{LWMA}_t = \frac{\sum_{j=0}^{P-1} P_{t-j} \cdot (P - j)}{\sum_{j=0}^{P-1} (P - j)} = \frac{\sum_{j=0}^{P-1} P_{t-j} \cdot (P - j)}{\frac{P(P + 1)}{2}}$$
|
||||
|
||||
---
|
||||
|
||||
### 2.5. Triangular Moving Average (TMA)
|
||||
|
||||
Double-smoothed simple moving average producing a triangular weighting kernel:
|
||||
$$P_1 = \text{ceil}\left( \frac{P + 1}{2} \right), \quad\quad P_2 = P - P_1 + 1$$
|
||||
$$\text{TMA}_t = \text{SMA}\left( \text{SMA}(P, P_1), P_2 \right)$$
|
||||
|
||||
---
|
||||
|
||||
### 2.6. Double Exponential Moving Average (DEMA - Patrick Mulloy)
|
||||
|
||||
Eliminates first-order exponential phase lag:
|
||||
$$\text{EMA1}_t = \text{EMA}(P, P), \quad\quad \text{EMA2}_t = \text{EMA}(\text{EMA1}, P)$$
|
||||
$$\text{DEMA}_t = 2 \cdot \text{EMA1}_t - \text{EMA2}_t$$
|
||||
|
||||
---
|
||||
|
||||
### 2.7. Triple Exponential Moving Average (TEMA - Patrick Mulloy)
|
||||
|
||||
Eliminates second-order exponential phase lag for ultra-fast trend tracking:
|
||||
$$\text{EMA1}_t = \text{EMA}(P, P), \quad \text{EMA2}_t = \text{EMA}(\text{EMA1}, P), \quad \text{EMA3}_t = \text{EMA}(\text{EMA2}, P)$$
|
||||
$$\text{TEMA}_t = 3 \cdot \text{EMA1}_t - 3 \cdot \text{EMA2}_t + \text{EMA3}_t$$
|
||||
|
||||
---
|
||||
|
||||
### 2.8. Volume-Weighted Moving Average (VWMA)
|
||||
|
||||
Weights price bars directly proportional to transacted trade volume ($V$):
|
||||
$$\text{VWMA}_t = \frac{\sum_{j=0}^{P-1} P_{t-j} \cdot V_{t-j}}{\sum_{j=0}^{P-1} V_{t-j}}$$
|
||||
|
||||
---
|
||||
|
||||
### 2.9. Algorithm Selection & Performance Matrix
|
||||
|
||||
| Algorithm | Smoothness | Phase Latency (Lag) | Noise Resistance | Optimal Market Context |
|
||||
| :--- | :---: | :---: | :---: | :--- |
|
||||
| **SMA** | Medium | High | High | Long-term macro benchmarks (e.g., 200 SMA). |
|
||||
| **EMA** | High | Medium | Medium | General trend-following and MACD-style filtering. |
|
||||
| **SMMA** | Very High | High | Very High | Wilder-style indicators (RSI, ADX, ATR). |
|
||||
| **LWMA** | Medium | Low | Low | Short-term momentum tracking and signal lines. |
|
||||
| **TMA** | Ultra-High | Very High | Ultra-High | Wave cycle analysis; filters all high frequencies. |
|
||||
| **DEMA** | Medium | Very Low | Low | Fast trend trading; reduces 50% of EMA lag. |
|
||||
| **TEMA** | Low | Near-Zero | Very Low | High-frequency scalping; eliminates almost all lag. |
|
||||
| **VWMA** | High | Adaptive | High | Institutional liquidity analysis; volume-confirmed trends. |
|
||||
|
||||
---
|
||||
|
||||
## 3. MQL5 Architecture & Engineering Standards
|
||||
|
||||
```text
|
||||
|
||||
┌────────────────────────────────────────────────────────┐
|
||||
│ MovingAverage_Engine.mqh │
|
||||
│ (Core Universal Math: 8 MA Algorithms in O(1)) │
|
||||
├──────────────────────────┬─────────────────────────────┤
|
||||
│ Volume Routing Layer │ Composition Engine │
|
||||
│ • Real Volume Support │ • CMovingAverageCalc_HA │
|
||||
│ • Tick Volume Fallback │ • Dynamic Price Routing │
|
||||
└──────────────────────────┴─────────────────────────────┘
|
||||
│ Outputs MA Series in O(1)
|
||||
▼
|
||||
┌────────────────────────────────────────────────────────┐
|
||||
│ MovingAverage_Pro.mq5 │
|
||||
│ (Unified Wrapper: Native Timeframe & MTF Engine) │
|
||||
├──────────────────────────┬─────────────────────────────┤
|
||||
│ Direct Mode (O(1)) │ Synchronized MTF Pipeline │
|
||||
│ • Current Timeframe │ • DataSync_Tools Daemon │
|
||||
│ • 1 Output Plot │ • Staircase Flat-Force │
|
||||
└──────────────────────────┴─────────────────────────────┘
|
||||
|
||||
```
|
||||
|
||||
1. **State-Safe Recursive Lifecycles:** EMA, SMMA, DEMA, and TEMA calculators maintain persistent state registers without historical array corruption on live bar additions.
|
||||
2. **Unified Volume Routing:** Automatically extracts real trade volume (`CopyRealVolume`) on supported exchange assets (Equities, Futures, Crypto) and seamlessly falls back to tick volume (`CopyTickVolume`) on Forex CFDs.
|
||||
3. **2026 MTF Framework with Staircase Solution:** Higher-timeframe moving averages map onto lower-timeframe execution charts with flat, synchronized steps via `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_H1`, `PERIOD_D1`), it activates the synchronized MTF engine.
|
||||
|
||||
### Moving Average Core Settings
|
||||
|
||||
* `InpPeriod` (*default: `20`*): Lookback smoothing period ($P$).
|
||||
* `InpMAType` (*default: `SMA`*): Mathematical algorithm selection (`SMA`, `EMA`, `SMMA`, `LWMA`, `TMA`, `DEMA`, `TEMA`, `VWMA`).
|
||||
* `InpSourcePrice` (*default: `PRICE_CLOSE_STD`*): Input price series (Supports all 7 Standard and 7 Heikin Ashi modes).
|
||||
|
||||
### Visual Settings
|
||||
|
||||
* `InpColorMA` (*default: `clrDodgerBlue`*): Line color.
|
||||
* `InpStyleMA` (*default: `STYLE_SOLID`*): Line style (Solid, Dash, Dot).
|
||||
* `InpWidthMA` (*default: `2`*): Line thickness.
|
||||
|
||||
---
|
||||
|
||||
## 5. Quantitative Trading Playbooks
|
||||
|
||||
```text
|
||||
|
||||
┌────────────────────────────────────────────────────────────────────────┐
|
||||
│ MOVING AVERAGE TRADING PLAYBOOKS │
|
||||
├────────────────────────────────────────────────────────────────────────┤
|
||||
│ 1. Trend Baseline Retest: Pullbacks to rising EMA/VWMA offer low-risk │
|
||||
│ continuation entries in strong markups. │
|
||||
│ 2. Institutional Cross: 50 EMA crossing above 200 SMA confirms a │
|
||||
│ macro Golden Cross regime shift. │
|
||||
│ 3. MTF Macro Step Filter: Only execute M5 long setups when price is │
|
||||
│ trading above the H1 50 EMA flat step. │
|
||||
└────────────────────────────────────────────────────────────────────────┘
|
||||
|
||||
```
|
||||
|
||||
### 5.1. Dynamic Support & Resistance Pullbacks
|
||||
|
||||
* **Bullish Setup:** Price is trending upward above a rising **`20 EMA`** or **`20 VWMA`**. When price pulls back to test the moving average line and prints a rejection wick $\rightarrow$ High-conviction long continuation entry.
|
||||
* **Bearish Setup:** Price is trending downward below a falling moving average line. Retests of the line from below offer short entry triggers.
|
||||
|
||||
### 5.2. Golden Cross & Death Cross Confirmation
|
||||
|
||||
* **Golden Cross (Macro Bullish):** Faster moving average (e.g., `50 EMA`) crosses **above** a slower baseline (e.g., `200 SMA`) $\rightarrow$ Institutional confirmation of a long-term bull market.
|
||||
* **Death Cross (Macro Bearish):** Faster moving average crosses **below** the slower baseline $\rightarrow$ Institutional confirmation of a bear market.
|
||||
|
||||
### 5.3. Multi-Timeframe Macro Alignment Filter
|
||||
|
||||
* Attach an **H1-calculated 50 EMA** or **H4-calculated 200 SMA** onto an **M5 execution chart**.
|
||||
* **Rule:** Only take intraday long trades when **price is above the higher-timeframe flat step**. This ensures zero counter-trend trading against macro institutional liquidity.
|
||||
|
||||
---
|
||||
|
||||
## 6. Indicator Buffer Map (For Developers & EA Integration)
|
||||
|
||||
| Buffer Index | Name | Type | Description |
|
||||
| :---: | :---: | :--- | :--- |
|
||||
| **0** | `BufferMA` | `INDICATOR_DATA` | Universal Moving Average Plot Line |
|
||||
|
||||
*The buffer strictly maintains non-series chronological order (`ArraySetAsSeries = false`), ensuring instant compatibility with Expert Advisors and scanner dashboards via `iCustom()`.*
|
||||
Reference in New Issue
Block a user