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refactor: Upgraded to 3 dynamic Z-Score bands and single comparison symbol

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Toh4iem9
2026-06-20 13:40:37 +02:00
parent 26ab2db493
commit ec6874ba24
1 changed files with 108 additions and 56 deletions
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Indicators/MyIndicators/Quant/PairsTrading_Bands_MTF_Pro.mq5
+108 -56
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@@ -3,12 +3,12 @@
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "1.12" // Fixed new_period and h_time compiler typos
#property version "1.30" // Upgraded to 3 dynamic Z-Score bands and single comparison symbol
#property description "Wyckoff-style Cointegration Bands (Multi-Timeframe)."
#property description "Displays Higher Timeframe Cointegration Channel directly on lower TF chart."
#property indicator_chart_window
#property indicator_buffers 5
#property indicator_plots 5
#property indicator_buffers 7
#property indicator_plots 7
//--- Plot 1: Cointegrated Equilibrium Line (Fair Value / Z=0)
#property indicator_label1 "Equilibrium Center"
@@ -45,6 +45,20 @@
#property indicator_style5 STYLE_DOT
#property indicator_width5 1
//--- Plot 6: Upper Extreme Band (Z = Stop/Reversal Zone)
#property indicator_label6 "Upper Extreme Band"
#property indicator_type6 DRAW_LINE
#property indicator_color6 clrCrimson
#property indicator_style6 STYLE_SOLID
#property indicator_width6 1
//--- Plot 7: Lower Extreme Band (Z = Stop/Reversal Zone)
#property indicator_label7 "Lower Extreme Band"
#property indicator_type7 DRAW_LINE
#property indicator_color7 clrDodgerBlue
#property indicator_style7 STYLE_SOLID
#property indicator_width7 1
#include <MyIncludes\PairsTrading_Calculator.mqh>
//--- Anchored Timeframe Resets Enum
@@ -58,20 +72,21 @@ enum ENUM_ANCHOR_PERIOD
};
//--- Input Parameters
input string InpSymbolA = "UKOIL"; // Symbol A (Main Chart Equivalent, e.g. UKOIL or BRENT)
input string InpSymbolB = "USOIL"; // Symbol B (Benchmark, e.g. USOIL or WTI)
input string InpSecondSymbol = "USOIL"; // Comparison Symbol (Symbol B)
input ENUM_TIMEFRAMES InpTimeframe = PERIOD_M5; // Target Higher Timeframe (Recommended: Higher than Chart)
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)
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)
//--- Dynamic Channel Options
input bool InpDrawCenterLine = true; // Draw Center Equilibrium Line?
input bool InpDrawInnerBands = true; // Draw Inner (Warning) Bands?
input double InpInnerMultiplier = 1.5; // Inner Band Z-Score Multiplier
input bool InpDrawOuterBands = true; // Draw Outer (Extreme) Bands?
input double InpOuterMultiplier = 2.0; // Outer Band Z-Score Multiplier
//--- Dynamic Channel Options (3 distinct Z-Score levels)
input bool InpDrawCenterLine = true; // Draw Center Equilibrium Line?
input bool InpDrawInnerBands = true; // Draw Inner (Warning) Bands?
input double InpInnerMultiplier = 1.5; // Inner Band Z-Score Multiplier
input bool InpDrawOuterBands = true; // Draw Outer (Extreme) Bands?
input double InpOuterMultiplier = 2.0; // Outer Band Z-Score Multiplier
input bool InpDrawExtremeBands = true; // Draw Extreme (Reversal) Bands?
input double InpExtremeMultiplier = 2.5; // Extreme Band Z-Score Multiplier
//--- Buffers
double BufMiddle[];
@@ -79,6 +94,8 @@ double BufUpperOuter[];
double BufLowerOuter[];
double BufUpperInner[];
double BufLowerInner[];
double BufUpperExtreme[];
double BufLowerExtreme[];
//--- Internal HTF Data Caches
datetime h_time[];
@@ -91,6 +108,7 @@ double h_res_std[];
//--- Global Engine and State Tracking
CPairsTradingCalculator *g_calc;
bool g_data_synced = false;
bool g_data_ready = false;
int g_htf_count = 0;
datetime g_last_htf_time = 0;
@@ -143,11 +161,13 @@ bool IsTimeInSession(datetime time_val, int start_hour, int start_min, int end_h
//+------------------------------------------------------------------+
void SetEmptyValues(int i)
{
BufMiddle[i] = EMPTY_VALUE;
BufUpperOuter[i] = EMPTY_VALUE;
BufLowerOuter[i] = EMPTY_VALUE;
BufUpperInner[i] = EMPTY_VALUE;
BufLowerInner[i] = EMPTY_VALUE;
BufMiddle[i] = EMPTY_VALUE;
BufUpperOuter[i] = EMPTY_VALUE;
BufLowerOuter[i] = EMPTY_VALUE;
BufUpperInner[i] = EMPTY_VALUE;
BufLowerInner[i] = EMPTY_VALUE;
BufUpperExtreme[i] = EMPTY_VALUE;
BufLowerExtreme[i] = EMPTY_VALUE;
}
//+------------------------------------------------------------------+
@@ -156,21 +176,26 @@ void SetEmptyValues(int i)
int OnInit()
{
g_data_ready = false;
g_data_synced = false;
g_last_htf_time = 0;
g_htf_count = 0;
g_htf_anchor_start = 0;
SetIndexBuffer(0, BufMiddle, INDICATOR_DATA);
SetIndexBuffer(1, BufUpperOuter, INDICATOR_DATA);
SetIndexBuffer(2, BufLowerOuter, INDICATOR_DATA);
SetIndexBuffer(3, BufUpperInner, INDICATOR_DATA);
SetIndexBuffer(4, BufLowerInner, INDICATOR_DATA);
SetIndexBuffer(0, BufMiddle, INDICATOR_DATA);
SetIndexBuffer(1, BufUpperOuter, INDICATOR_DATA);
SetIndexBuffer(2, BufLowerOuter, INDICATOR_DATA);
SetIndexBuffer(3, BufUpperInner, INDICATOR_DATA);
SetIndexBuffer(4, BufLowerInner, INDICATOR_DATA);
SetIndexBuffer(5, BufUpperExtreme, INDICATOR_DATA);
SetIndexBuffer(6, BufLowerExtreme, INDICATOR_DATA);
ArraySetAsSeries(BufMiddle, false);
ArraySetAsSeries(BufUpperOuter, false);
ArraySetAsSeries(BufLowerOuter, false);
ArraySetAsSeries(BufUpperInner, false);
ArraySetAsSeries(BufLowerInner, false);
ArraySetAsSeries(BufMiddle, false);
ArraySetAsSeries(BufUpperOuter, false);
ArraySetAsSeries(BufLowerOuter, false);
ArraySetAsSeries(BufUpperInner, false);
ArraySetAsSeries(BufLowerInner, false);
ArraySetAsSeries(BufUpperExtreme, false);
ArraySetAsSeries(BufLowerExtreme, false);
//--- Parse custom session times
string parts[];
@@ -189,7 +214,7 @@ int OnInit()
string anchor_name = EnumToString(InpAnchor);
string tf_name = StringSubstr(EnumToString(InpTimeframe), 7);
string short_name = StringFormat("PairsBands MTF(%s vs %s, %s, %s)",
InpSymbolA, InpSymbolB, tf_name,
_Symbol, InpSecondSymbol, tf_name,
(InpAnchor == ANCHOR_NONE ? (string)InpLookback : StringSubstr(anchor_name, 7)));
IndicatorSetString(INDICATOR_SHORTNAME, short_name);
@@ -203,6 +228,9 @@ int OnInit()
return INIT_FAILED;
}
//--- Initialize 1-second timer for weekend/async chart refreshes
EventSetTimer(1);
return(INIT_SUCCEEDED);
}
@@ -211,7 +239,8 @@ int OnInit()
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
if(CheckPointer(g_calc) == POINTER_DYNAMIC)
EventKillTimer();
if(CheckPointer(g_calc) != POINTER_INVALID)
delete g_calc;
}
@@ -234,13 +263,16 @@ int OnCalculate(const int rates_total,
required_bars = 1000; // Need larger history depth for monthly/weekly/custom anchors
//--- Ensure both symbol histories are fully loaded on the HTF in the terminal
if(!EnsureHTFDataReady(InpSymbolA, InpTimeframe, required_bars) ||
!EnsureHTFDataReady(InpSymbolB, InpTimeframe, required_bars))
if(!EnsureHTFDataReady(_Symbol, InpTimeframe, required_bars) ||
!EnsureHTFDataReady(InpSecondSymbol, InpTimeframe, required_bars))
{
g_data_ready = false;
g_data_synced = false;
return 0; // Wait for next tick to let history load
}
g_data_synced = true;
//--- 1. Check if a new HTF bar has formed
datetime htf_time_current = iTime(_Symbol, InpTimeframe, 0);
bool htf_updated = (htf_time_current != g_last_htf_time);
@@ -270,21 +302,22 @@ int OnCalculate(const int rates_total,
return 0;
}
//--- 2. High-Performance Linear Price Alignment on the HTF Timeline
double default_close_A = iClose(InpSymbolA, InpTimeframe, 0);
double default_close_B = iClose(InpSymbolB, InpTimeframe, 0);
//--- 2. High-Performance Hybrid Price Alignment on the HTF Timeline
//--- Step A: Copy chart native symbol close prices via ultra-fast block copy
if(CopyClose(_Symbol, InpTimeframe, 0, g_htf_count, h_close_A) != g_htf_count)
{
g_data_ready = false;
return 0;
}
//--- Step B: Sync comparison symbol prices via time-aligned fallback loop
double default_close_B = iClose(InpSecondSymbol, InpTimeframe, 0);
for(int j = 0; j < g_htf_count; j++)
{
int shift_A = iBarShift(InpSymbolA, InpTimeframe, h_time[j], false);
if(shift_A >= 0)
h_close_A[j] = iClose(InpSymbolA, InpTimeframe, shift_A);
else
h_close_A[j] = (j > 0) ? h_close_A[j-1] : default_close_A;
int shift_B = iBarShift(InpSymbolB, InpTimeframe, h_time[j], false);
int shift_B = iBarShift(InpSecondSymbol, InpTimeframe, h_time[j], false);
if(shift_B >= 0)
h_close_B[j] = iClose(InpSymbolB, InpTimeframe, shift_B);
h_close_B[j] = iClose(InpSecondSymbol, InpTimeframe, shift_B);
else
h_close_B[j] = (j > 0) ? h_close_B[j-1] : default_close_B;
}
@@ -334,14 +367,14 @@ int OnCalculate(const int rates_total,
TimeToStruct(h_time[j], dt_curr);
TimeToStruct(h_time[j-1], dt_prev);
if(dt_curr.mon != dt_prev.mon || dt_curr.year != dt_prev.year)
htf_new_period = true; // FIXED: corrected typo from new_period
htf_new_period = true;
break;
}
case ANCHOR_CUSTOM_SESSION:
{
MqlDateTime dt_curr, dt_prev;
TimeToStruct(h_time[j], dt_curr); // FIXED: aligned strictly to HTF times
TimeToStruct(h_time[j-1], dt_prev); // FIXED: aligned strictly to HTF times
TimeToStruct(h_time[j], dt_curr);
TimeToStruct(h_time[j-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;
@@ -394,12 +427,12 @@ int OnCalculate(const int rates_total,
double single_c_A[1], single_c_B[1];
// Synchronized live price copying from the forming HTF bar 0
int shift_A = iBarShift(InpSymbolA, InpTimeframe, htf_time_current, false);
int shift_B = iBarShift(InpSymbolB, InpTimeframe, htf_time_current, false);
int shift_A = iBarShift(_Symbol, InpTimeframe, htf_time_current, false);
int shift_B = iBarShift(InpSecondSymbol, InpTimeframe, htf_time_current, false);
if(shift_A >= 0 && shift_B >= 0 &&
CopyClose(InpSymbolA, InpTimeframe, shift_A, 1, single_c_A) == 1 &&
CopyClose(InpSymbolB, InpTimeframe, shift_B, 1, single_c_B) == 1)
CopyClose(_Symbol, InpTimeframe, shift_A, 1, single_c_A) == 1 &&
CopyClose(InpSecondSymbol, InpTimeframe, shift_B, 1, single_c_B) == 1)
{
h_close_A[live_idx] = single_c_A[0];
h_close_B[live_idx] = single_c_B[0];
@@ -455,11 +488,13 @@ int OnCalculate(const int rates_total,
if(fair_price != EMPTY_VALUE && std_dev > 0.0)
{
BufMiddle[i] = InpDrawCenterLine ? fair_price : EMPTY_VALUE;
BufUpperOuter[i] = InpDrawOuterBands ? (fair_price + InpOuterMultiplier * std_dev) : EMPTY_VALUE;
BufLowerOuter[i] = InpDrawOuterBands ? (fair_price - InpOuterMultiplier * std_dev) : EMPTY_VALUE;
BufUpperInner[i] = InpDrawInnerBands ? (fair_price + InpInnerMultiplier * std_dev) : EMPTY_VALUE;
BufLowerInner[i] = InpDrawInnerBands ? (fair_price - InpInnerMultiplier * std_dev) : EMPTY_VALUE;
BufMiddle[i] = InpDrawCenterLine ? fair_price : EMPTY_VALUE;
BufUpperOuter[i] = InpDrawOuterBands ? (fair_price + InpOuterMultiplier * std_dev) : EMPTY_VALUE;
BufLowerOuter[i] = InpDrawOuterBands ? (fair_price - InpOuterMultiplier * std_dev) : EMPTY_VALUE;
BufUpperInner[i] = InpDrawInnerBands ? (fair_price + InpInnerMultiplier * std_dev) : EMPTY_VALUE;
BufLowerInner[i] = InpDrawInnerBands ? (fair_price - InpInnerMultiplier * std_dev) : EMPTY_VALUE;
BufUpperExtreme[i] = InpDrawExtremeBands ? (fair_price + InpExtremeMultiplier * std_dev) : EMPTY_VALUE;
BufLowerExtreme[i] = InpDrawExtremeBands ? (fair_price - InpExtremeMultiplier * std_dev) : EMPTY_VALUE;
}
else
{
@@ -479,5 +514,22 @@ int OnCalculate(const int rates_total,
return(rates_total);
}
//+------------------------------------------------------------------+
//| OnTimer |
//| Handles loading checks and force-redraws |
//+------------------------------------------------------------------+
void OnTimer()
{
if(!g_data_synced)
{
int required_bars = InpLookback + 5;
if(EnsureHTFDataReady(InpSecondSymbol, _Period, required_bars))
{
g_data_synced = true;
ChartRedraw(); // Force MT5 to invoke OnCalculate
}
}
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+