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refactor: Added custom session time-range anchor reset and night filtering

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This commit is contained in:
Toh4iem9
2026-06-16 18:45:21 +02:00
parent 408d2be331
commit c2cb87b2b0
1 changed files with 90 additions and 11 deletions
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Indicators/MyIndicators/Quant/PairsTrading_Pro.mq5
+90 -11
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@@ -3,9 +3,9 @@
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "1.21" // Fixed index-0 fallback symbol dependency
#property version "1.30" // Added custom session time-range anchor reset and night filtering
#property description "Universal Dynamic & Anchored Cointegration (Z-Score) Monitor."
#property description "Default: Brent (UKOIL) vs WTI (USOIL) relative value trader."
#property description "Supports custom broker-time session ranges to eliminate gap distortion."
#property indicator_separate_window
#property indicator_buffers 2
#property indicator_plots 1
@@ -43,10 +43,11 @@
//--- Anchored Timeframe Resets Enum
enum ENUM_ANCHOR_PERIOD
{
ANCHOR_NONE, // Standard rolling window (InpLookback)
ANCHOR_SESSION, // Reset every day (Daily VWAP style)
ANCHOR_WEEK, // Reset every week (Weekly VWAP style)
ANCHOR_MONTH // Reset every month (Monthly VWAP style)
ANCHOR_NONE, // Standard rolling window (InpLookback)
ANCHOR_SESSION, // Reset every day (Daily VWAP style)
ANCHOR_WEEK, // Reset every week (Weekly VWAP style)
ANCHOR_MONTH, // Reset every month (Monthly VWAP style)
ANCHOR_CUSTOM_SESSION // Reset based on custom broker-time start/end range
};
//--- Input Parameters
@@ -54,6 +55,8 @@ input string InpSymbolA = "UKOIL"; // Symbol A (Brent Proxy, e.
input string InpSymbolB = "USOIL"; // Symbol B (WTI Proxy, e.g. USOIL or WTI)
input ENUM_ANCHOR_PERIOD InpAnchor = ANCHOR_NONE; // Dynamic Anchored Reset Period
input int InpLookback = 120; // Rolling Window size (Used if Anchor = NONE)
input string InpCustomStart = "09:00"; // Custom Session Start (HH:MM, Broker Time)
input string InpCustomEnd = "18:00"; // Custom Session End (HH:MM, Broker Time)
//--- Buffers
double ExtZScoreBuffer[];
@@ -68,6 +71,12 @@ CPairsTradingCalculator *g_calc;
bool g_data_synced = false;
int g_anchor_start_idx = 0; // Dynamic anchor index tracker
//--- Parsed Custom Session hours
int g_start_hour = 9;
int g_start_min = 0;
int g_end_hour = 18;
int g_end_min = 0;
//+------------------------------------------------------------------+
//| EnsureDataReady (Multi-symbol history sync helper) |
//+------------------------------------------------------------------+
@@ -83,6 +92,28 @@ bool EnsureDataReady(const string symbol, const ENUM_TIMEFRAMES timeframe, const
return (copied >= required_bars);
}
//+------------------------------------------------------------------+
//| IsTimeInSession |
//| Determines if broker time is within custom active session |
//+------------------------------------------------------------------+
bool IsTimeInSession(datetime time_val, int start_hour, int start_min, int end_hour, int end_min)
{
MqlDateTime dt;
TimeToStruct(time_val, dt);
int current_min = dt.hour * 60 + dt.min;
int start_total = start_hour * 60 + start_min;
int end_total = end_hour * 60 + end_min;
if(end_total < start_total) // Overlapping midnight session
{
return (current_min >= start_total || current_min < end_total);
}
else
{
return (current_min >= start_total && current_min < end_total);
}
}
//+------------------------------------------------------------------+
//| OnInit |
//+------------------------------------------------------------------+
@@ -97,6 +128,19 @@ int OnInit()
ArraySetAsSeries(ExtZScoreBuffer, false);
ArraySetAsSeries(ExtColorsBuffer, false);
//--- Parse custom session times
string parts[];
if(StringSplit(InpCustomStart, ':', parts) == 2)
{
g_start_hour = (int)StringToInteger(parts[0]);
g_start_min = (int)StringToInteger(parts[1]);
}
if(StringSplit(InpCustomEnd, ':', parts) == 2)
{
g_end_hour = (int)StringToInteger(parts[0]);
g_end_min = (int)StringToInteger(parts[1]);
}
// Configure shortname dynamically based on mode
string anchor_name = EnumToString(InpAnchor);
string short_name = StringFormat("PairsTrade Pro(%s vs %s, %s)",
@@ -141,7 +185,7 @@ int OnCalculate(const int rates_total,
{
int required_bars = InpLookback + 10;
if(InpAnchor != ANCHOR_NONE)
required_bars = 500; // Need larger history depth for monthly/weekly anchors
required_bars = 1000; // Need larger history depth for monthly/weekly/custom anchors
//--- Ensure both symbol histories are fully loaded in the terminal
if(!EnsureDataReady(InpSymbolA, _Period, required_bars) ||
@@ -153,7 +197,7 @@ int OnCalculate(const int rates_total,
g_data_synced = true;
//--- FIXED: Retrieve chart-independent default close values for index-0 fallbacks
//--- Get standalone default fallback values to ensure absolute chart independence
double default_close_A = iClose(InpSymbolA, _Period, 0);
double default_close_B = iClose(InpSymbolB, _Period, 0);
@@ -189,7 +233,18 @@ int OnCalculate(const int rates_total,
for(int i = calc_start; i < rates_total; i++)
{
//--- A. Check if a new Anchor period has started (Stateful tracking)
//--- A. Filter out inactive hours if custom session anchor is selected
if(InpAnchor == ANCHOR_CUSTOM_SESSION)
{
if(!IsTimeInSession(time[i], g_start_hour, g_start_min, g_end_hour, g_end_min))
{
ExtZScoreBuffer[i] = EMPTY_VALUE; // Plot absolutely nothing overnight to keep statistics pure!
ExtColorsBuffer[i] = 0.0;
continue;
}
}
//--- B. Check if a new Anchor period has started (Stateful tracking)
bool new_period = false;
switch(InpAnchor)
@@ -221,6 +276,30 @@ int OnCalculate(const int rates_total,
new_period = true;
break;
}
case ANCHOR_CUSTOM_SESSION:
{
MqlDateTime dt_curr, dt_prev;
TimeToStruct(time[i], dt_curr);
TimeToStruct(time[i-1], dt_prev);
int min_curr = dt_curr.hour * 60 + dt_curr.min;
int min_prev = dt_prev.hour * 60 + dt_prev.min;
int start_min = g_start_hour * 60 + g_start_min;
bool day_changed = (dt_curr.day_of_year != dt_prev.day_of_year || dt_curr.year != dt_prev.year);
if(day_changed)
{
if(min_curr >= start_min)
new_period = true;
}
else
{
if(min_prev < start_min && min_curr >= start_min)
new_period = true;
}
break;
}
default:
break;
}
@@ -230,7 +309,7 @@ int OnCalculate(const int rates_total,
g_anchor_start_idx = i;
}
//--- B. Compute the dynamic window size
//--- C. Compute the dynamic window size
int active_window_size = 0;
if(InpAnchor == ANCHOR_NONE)
{
@@ -241,7 +320,7 @@ int OnCalculate(const int rates_total,
active_window_size = i - g_anchor_start_idx + 1;
}
//--- C. Calculate Z-Score
//--- D. Calculate Z-Score
double z = g_calc.CalculateZScore(rates_total, i, active_window_size, g_sync_close_A, g_sync_close_B);
ExtZScoreBuffer[i] = z;