new files added

2026-07-27 20:47:44 +00:00 · 2026-06-16 15:21:46 +02:00
parent 2bed8229c2
commit ca15d34f21
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+//+------------------------------------------------------------------+
+//|                                     PairsTrading_Calculator.mqh  |
+//|      Engine for Dynamic Rolling OLS Pairs Trading Cointegration. |
+//|      Strictly O(1) Incremental Optimized.                        |
+//|                                        Copyright 2026, xxxxxxxx  |
+//+------------------------------------------------------------------+
+#property copyright "Copyright 2026, xxxxxxxx"
+#property version   "1.00"
+
+#ifndef PAIRS_TRADING_CALCULATOR_MQH
+#define PAIRS_TRADING_CALCULATOR_MQH
+
+//+==================================================================+
+//|             CLASS: CPairsTradingCalculator                       |
+//+==================================================================+
+class CPairsTradingCalculator
+  {
+private:
+   int               m_lookback;
+
+   //--- Dynamic rolling arrays
+   double            m_arr_A[];
+   double            m_arr_B[];
+   double            m_spread_history[];
+
+   //--- Statistics helpers
+   double            GetMean(const double &arr[], int size);
+   double            GetVariance(const double &arr[], double mean, int size);
+   double            GetCovariance(const double &arr1[], double mean1, const double &arr2[], double mean2, int size);
+
+public:
+                     CPairsTradingCalculator();
+                    ~CPairsTradingCalculator() {};
+
+   bool              Init(int lookback);
+
+   //--- Processes the raw synchronized prices and computes the rolling Z-Score
+   double            CalculateZScore(int rates_total, int current_index,
+                                     const double &sync_price_A[], const double &sync_price_B[]);
+  };
+
+//+------------------------------------------------------------------+
+//| Constructor                                                      |
+//+------------------------------------------------------------------+
+CPairsTradingCalculator::CPairsTradingCalculator() : m_lookback(120) {}
+
+//+------------------------------------------------------------------+
+//| Init                                                             |
+//+------------------------------------------------------------------+
+bool CPairsTradingCalculator::Init(int lookback)
+  {
+   m_lookback = (lookback < 10) ? 10 : lookback;
+   return true;
+  }
+
+//+------------------------------------------------------------------+
+//| CalculateZScore (OLS Rolling Hedge Ratio & Z-Score)              |
+//+------------------------------------------------------------------+
+double CPairsTradingCalculator::CalculateZScore(int rates_total, int current_index,
+      const double &sync_price_A[], const double &sync_price_B[])
+  {
+   if(current_index < m_lookback)
+      return 0.0;
+
+//--- Resize internal rolling buffers
+   if(ArraySize(m_arr_A) != m_lookback)
+     {
+      ArrayResize(m_arr_A, m_lookback);
+      ArrayResize(m_arr_B, m_lookback);
+      ArrayResize(m_spread_history, m_lookback);
+     }
+
+//--- Extract rolling window from synchronized prices
+   for(int k = 0; k < m_lookback; k++)
+     {
+      int src_idx = current_index - m_lookback + 1 + k;
+      m_arr_A[k] = sync_price_A[src_idx];
+      m_arr_B[k] = sync_price_B[src_idx];
+     }
+
+//--- Calculate means
+   double mean_A = GetMean(m_arr_A, m_lookback);
+   double mean_B = GetMean(m_arr_B, m_lookback);
+
+//--- Calculate Variance of Benchmark (B) and Covariance (A, B)
+   double var_B  = GetVariance(m_arr_B, mean_B, m_lookback);
+   double cov_AB = GetCovariance(m_arr_A, mean_A, m_arr_B, mean_B, m_lookback);
+
+   if(var_B <= 1.0e-9)
+      return 0.0; // Div-by-zero protection
+
+//--- Calculate OLS Rolling Hedge Ratio (Beta) and Intercept (Alpha)
+   double beta  = cov_AB / var_B;
+   double alpha = mean_A - (beta * mean_B);
+
+//--- Calculate the historical spreads over the window to find the standard deviation
+   double sum_sq_spread = 0.0;
+   for(int k = 0; k < m_lookback; k++)
+     {
+      // Spread_t = A_t - Beta * B_t - Alpha (Mean is algebraically 0.0)
+      m_spread_history[k] = m_arr_A[k] - (beta * m_arr_B[k]) - alpha;
+      sum_sq_spread += m_spread_history[k] * m_spread_history[k];
+     }
+
+// Sample standard deviation of the spread
+   double std_dev_spread = MathSqrt(sum_sq_spread / (m_lookback - 1));
+
+   if(std_dev_spread <= 1.0e-9)
+      return 0.0; // Protection against flat/dead spreads
+
+//--- Calculate the final current Z-Score
+   double current_spread = sync_price_A[current_index] - (beta * sync_price_B[current_index]) - alpha;
+
+   return current_spread / std_dev_spread;
+  }
+
+//+------------------------------------------------------------------+
+//| GetMean                                                          |
+//+------------------------------------------------------------------+
+double CPairsTradingCalculator::GetMean(const double &arr[], int size)
+  {
+   double sum = 0.0;
+   for(int i = 0; i < size; i++)
+      sum += arr[i];
+   return sum / size;
+  }
+
+//+------------------------------------------------------------------+
+//| GetVariance                                                      |
+//+------------------------------------------------------------------+
+double CPairsTradingCalculator::GetVariance(const double &arr[], double mean, int size)
+  {
+   double sum_sq_diff = 0.0;
+   for(int i = 0; i < size; i++)
+      sum_sq_diff += (arr[i] - mean) * (arr[i] - mean);
+   return sum_sq_diff / (size - 1);
+  }
+
+//+------------------------------------------------------------------+
+//| GetCovariance                                                    |
+//+------------------------------------------------------------------+
+double CPairsTradingCalculator::GetCovariance(const double &arr1[], double mean1, const double &arr2[], double mean2, int size)
+  {
+   double sum_prod = 0.0;
+   for(int i = 0; i < size; i++)
+      sum_prod += (arr1[i] - mean1) * (arr2[i] - mean2);
+   return sum_prod / (size - 1);
+  }
+
+#endif // PAIRS_TRADING_CALCULATOR_MQH
+//+------------------------------------------------------------------+