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refactor: Optimized Global Multi-Asset Presets

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Indicators/MyIndicators/Quant/PairsTrading_Pro.md
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The **Pairs Trading Cointegration Pro Suite** is an institutional-grade, high-performance separate window statistical arbitrage trading suite comprising two advanced indicators: `PairsTrading_Pro` (Z-Score separate window oscillator) and `PairsTrading_Bands_Pro` (Main-chart overlay bands). Based on Modern Portfolio Theory and econometric cointegration, the suite decomposes the pricing relationship of two correlated assets into a stationary, volatility-normalized spread.
While traditional retail pairs trading methods rely on simple price correlation (which is highly unstable and prone to structural drift), the `PairsTrading_Pro` suite utilizes a dynamic rolling **Ordinary Least Squares (OLS) mathematical engine**. It dynamically calculates the rolling Hedge Ratio ($\beta$) and Intercept ($\alpha$) between any two assets (default: Brent vs. WTI Crude Oil) to extract the true stationary spread.
While traditional retail pairs trading methods rely on simple price correlation (which is highly unstable and prone to structural drift), the `PairsTrading_Pro` suite utilizes a dynamic rolling **Ordinary Least Squares (OLS) mathematical engine**. It dynamically calculates the rolling Hedge Ratio ($\beta$) and Intercept ($\alpha$) between any two assets to extract the true stationary spread.
Featuring **VWAP-style Anchored Resets** (Session, Weekly, Monthly, and Custom Session), the indicators can completely isolate intraday/intraweek price relationships from overnight gaps and illiquidity, delivering a highly visual and robust quantitative scanner system.
@@ -16,7 +16,7 @@ The statistical calculations operate on synchronized close prices for Asset $A$
### A. Rolling Ordinary Least Squares (OLS)
The calculator computes the rolling mean of Asset $A$ ($\bar{A}$) and Benchmark $B$ ($\bar{B}$). It solves the OLS regression of $A$ on $B$ to find the dynamic Hedge Ratio ($\beta$) and Intercept ($\alpha$):
The calculator computes the rolling mean of Asset $A$ ($\bar{A}$) and Benchmark $B$ ($\bar{B}$). It then solves the OLS regression of $A$ on $B$ to find the dynamic Hedge Ratio ($\beta$) and Intercept ($\alpha$):
$$\beta_i = \frac{\text{Covariance}(A, B)}{\text{Variance}(B)}$$
@@ -66,15 +66,15 @@ $$\text{Inner Lower Band (Warning / } Z=-M_{\text{inner}}\text{):} \quad \text{B
* **Strict $O(1)$ Real-Time Tick Optimization:**
The calculator uses the platform's `prev_calculated` parameter to process only the newest incoming bar on every tick. This keeps CPU usage at absolute zero, allowing both the separate-window histogram and the main-chart bands to update live in real-time.
* **Advanced Bar-Time Synchronization:**
Assets do not always share identical trading calendars or liquidity densities. `PairsTrading_Pro` aligns Symbol A and Symbol B prices perfectly by timestamp using `iBarShift(..., false)` and `iClose`, ensuring that different market open/close times do not distort the calculation. To ensure chart-independence, the synchronization uses a dedicated `iClose` fallback rather than the local chart's `close[0]`.
* **VWAP-Style Anchored Resets:**
In addition to standard rolling windows (`InpLookback`), the indicators support dynamic resets:
* **Daily Reset (`ANCHOR_SESSION`):** Resets daily. Excellent for intraday trading.
* **Weekly Reset (`ANCHOR_WEEK`):** Resets weekly. Ideal for swing trading.
* **Custom Session (`ANCHOR_CUSTOM_SESSION`):** Resets at a user-defined broker-time range (e.g. `09:00` to `18:00`). It completely filters out overnight gaps and illiquid trading hours, plotting `EMPTY_VALUE` during inactive periods to keep statistics pure.
* **Advanced Bar-Time Synchronization:**
Assets do not always share identical trading calendars or liquidity densities. `PairsTrading_Pro` aligns Symbol A and Symbol B prices perfectly by timestamp using `iBarShift(..., false)` and `iClose`, ensuring that different market open/close times do not distort the calculation. To ensure chart-independence, the synchronization uses a dedicated `iClose` fallback rather than the local chart's `close[0]`.
* **Hardlocked Separate Window Scale Bounds `[-3.5, 3.5]`:**
To prevent single extreme black-swan spikes (e.g., Z-score hitting $-10.0$ during weekend gaps) from squishing the entire historical chart into an unreadable flat line, the separate window's scale is fixed between `-3.5` and `3.5`. Outliers are simply clipped at the boundaries, maintaining a perfect, consistent visual aspect ratio across all timeframes.
@@ -119,3 +119,19 @@ A major drawback of classic pairs trading is that opening two legs is capital-in
2. **Identify the Leader:** Open the `LLD_Pro` indicator for the two symbols.
* **If Symbol B (WTI) is the Leader (leads Symbol A / Brent):** WTI has already moved, and Brent (Symbol A) is mathematically guaranteed to follow to close the gap. Since Symbol A is currently too cheap, you simply **BUY Symbol A (Brent) as a single directional trade!**
* This allows you to trade with half the margin requirement and zero execution hassle, leveraging the leader's predictive momentum to capture the gap-reversal.
---
## 6. Optimized Global Multi-Asset Presets
To ensure statistical validity, only trade assets that share a **fundamental, structural, or macroeconomic link**. Below are the most robust, cointegrated global pairs optimized for live execution, mapped in `PairsTrading_Preset_Manager.mqh`:
| Asset Class | Symbol A | Symbol B | Recommended TF | Lookback / Anchor | Inner / Outer Mult | Trading Style & Concept |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Energies** | `UKOIL` (Brent) | `USOIL` (WTI) | `M5` / `M15` | `120` / `ANCHOR_NONE` | `1.5` / `2.0` | **Crude Oil Spread.** Sweet/Light vs. Heavy/Sour grade arbitrage. Heavily mean-reverting. |
| **Precious Metals** | `XAUUSD` (Gold) | `XAGUSD` (Silver) | `M15` / `H1` | `120` / `ANCHOR_WEEK` | `1.5` / `2.0` | **Gold-to-Silver Ratio.** Decades-old commodity value parity. Highly stable weekly anchors. |
| **Forex Majors** | `EURUSD` | `GBPUSD` | `M5` / `M15` | `120` / `ANCHOR_CUSTOM_SESSION` <br>*(e.g., 09:00 - 18:00)* | `1.5` / `2.0` | **European Relative Value.** High cointegration due to close UK-Eurozone macro ties. Custom session filters out overnight illiquidity. |
| **Forex Commodity** | `AUDUSD` | `NZDUSD` | `M15` / `H1` | `120` / `ANCHOR_SESSION` | `1.5` / `2.0` | **Aussie vs. Kiwi.** Commodity export-driven Oceanic currencies. Daily reset captures session shifts beautifully. |
| **Equity Indices** | `US100` (Nasdaq) | `US500` (S&P500) | `M15` / `H1` | `144` / `ANCHOR_WEEK` | `1.5` / `2.0` | **Growth vs. Broad Market.** Tech sector rotations vs. global indexing. Excellent weekly trend reversion. |
| **Equity Indices** | `DE40` (DAX) | `EU50` (Stoxx50) | `M15` / `H1` | `120` / `ANCHOR_WEEK` | `1.5` / `2.0` | **European Equity Arbitrage.** Germany's industrial core vs. broader Eurozone blue-chip baskets. |
| **MAG7 Tech** | `NVDA` (Nvidia) | `AMD` (AMD) | `H1` / `H4` | `60` / `ANCHOR_NONE` | `1.8` / `2.5` | **Semiconductor Sector Spread.** Extreme retail/AI hype valuation discrepancies. Higher multipliers filter stock gap volatility. |