new files added

2026-08-06 17:17:45 +00:00 · 2026-02-14 14:42:00 +01:00
parent 71580fc6ae
commit c1cee85648
1 changed files with 167 additions and 0 deletions
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+//+------------------------------------------------------------------+
+//|                                     VarianceRatio_Calculator.mqh |
+//|      Engine for Lo-MacKinlay Variance Ratio Test.                |
+//|      VERSION 2.00: Integrated Price Preparation (Standard & HA). |
+//|                                        Copyright 2026, xxxxxxxx  |
+//+------------------------------------------------------------------+
+#property copyright "Copyright 2026, xxxxxxxx"
+
+//+==================================================================+
+//|             CLASS: CVarianceRatioCalculator                      |
+//+==================================================================+
+class CVarianceRatioCalculator
+  {
+protected:
+   int               m_window; // N
+   int               m_lag;    // q
+
+   //--- Persistent Buffers
+   double            m_price[];     // Source price
+   double            m_log_ret[];   // r1
+   double            m_q_log_ret[]; // rq
+
+   virtual bool      PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
+   void              PrepareReturns(int rates_total, int start_index);
+
+public:
+                     CVarianceRatioCalculator() : m_window(64), m_lag(2) {};
+   virtual          ~CVarianceRatioCalculator() {};
+
+   bool              Init(int window, int lag);
+
+   // Updated Calculate signature: Takes OHLC + PriceType
+   void              Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type,
+                               const double &open[], const double &high[], const double &low[], const double &close[],
+                               double &out_vr[]);
+  };
+
+//+------------------------------------------------------------------+
+//| Init                                                             |
+//+------------------------------------------------------------------+
+bool CVarianceRatioCalculator::Init(int window, int lag)
+  {
+   m_window = (window < 10) ? 10 : window;
+   m_lag    = (lag < 2) ? 2 : lag;
+   return true;
+  }
+
+//+------------------------------------------------------------------+
+//| Main Calculation                                                 |
+//+------------------------------------------------------------------+
+void CVarianceRatioCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type,
+      const double &open[], const double &high[], const double &low[], const double &close[],
+      double &out_vr[])
+  {
+   if(rates_total < m_window + m_lag + 1)
+      return;
+
+// 1. Resize Buffers
+   if(ArraySize(m_price) != rates_total)
+     {
+      ArrayResize(m_price, rates_total);
+      ArrayResize(m_log_ret, rates_total);
+      ArrayResize(m_q_log_ret, rates_total);
+     }
+
+   int start_calc = (prev_calculated > m_window + m_lag) ? prev_calculated - 1 : m_window + m_lag;
+   int start_prep = (prev_calculated > 0) ? prev_calculated - 1 : 0;
+
+// 2. Prepare Price Series (Standard or HA)
+   if(!PreparePriceSeries(rates_total, start_prep, price_type, open, high, low, close))
+      return;
+
+// 3. Prepare Log Returns based on m_price
+   PrepareReturns(rates_total, start_prep);
+
+// 4. Sliding Window Loop
+   for(int i = start_calc; i < rates_total; i++)
+     {
+      double sum_1 = 0;
+      double sum_sq_1 = 0;
+      double sum_q = 0;
+      double sum_sq_q = 0;
+
+      for(int k = 0; k < m_window; k++)
+        {
+         int idx = i - k;
+         double r1 = m_log_ret[idx];
+         sum_1 += r1;
+         sum_sq_1 += r1 * r1;
+
+         double rq = m_q_log_ret[idx];
+         sum_q += rq;
+         sum_sq_q += rq * rq;
+        }
+
+      double var_1  = (sum_sq_1 - (sum_1 * sum_1) / m_window) / (m_window - 1);
+      double var_q  = (sum_sq_q - (sum_q * sum_q) / m_window) / (m_window - 1);
+
+      if(var_1 > 1.0e-12)
+         out_vr[i] = var_q / (double)(m_lag * var_1);
+      else
+         out_vr[i] = 1.0;
+     }
+  }
+
+//+------------------------------------------------------------------+
+//| Prepare Price Series (Standard)                                  |
+//+------------------------------------------------------------------+
+bool CVarianceRatioCalculator::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
+  {
+   for(int i = start_index; i < rates_total; i++)
+     {
+      switch(price_type)
+        {
+         case PRICE_CLOSE:
+            m_price[i] = close[i];
+            break;
+         case PRICE_OPEN:
+            m_price[i] = open[i];
+            break;
+         case PRICE_HIGH:
+            m_price[i] = high[i];
+            break;
+         case PRICE_LOW:
+            m_price[i] = low[i];
+            break;
+         case PRICE_MEDIAN:
+            m_price[i] = (high[i]+low[i])*0.5;
+            break;
+         case PRICE_TYPICAL:
+            m_price[i] = (high[i]+low[i]+close[i])/3.0;
+            break;
+         case PRICE_WEIGHTED:
+            m_price[i] = (high[i]+low[i]+2*close[i])/4.0;
+            break;
+         default:
+            m_price[i] = close[i];
+            break;
+        }
+     }
+   return true;
+  }
+
+//+------------------------------------------------------------------+
+//| Prepare Log Returns                                              |
+//+------------------------------------------------------------------+
+void CVarianceRatioCalculator::PrepareReturns(int rates_total, int start_index)
+  {
+   int start = (start_index < m_lag) ? m_lag : start_index;
+
+   for(int i = start; i < rates_total; i++)
+     {
+      // 1-Period Log Return
+      if(m_price[i-1] != 0)
+         m_log_ret[i] = MathLog(m_price[i] / m_price[i-1]);
+      else
+         m_log_ret[i] = 0;
+
+      // q-Period Log Return
+      if(m_price[i-m_lag] != 0)
+         m_q_log_ret[i] = MathLog(m_price[i] / m_price[i-m_lag]);
+      else
+         m_q_log_ret[i] = 0;
+     }
+  }
+//+------------------------------------------------------------------+
+//+------------------------------------------------------------------+